VYM Options History — December 2015

In December 2015, VYM traded between $65.78 and $68.67. ATM implied volatility averaged 13.0%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 2.3% (HV 20d: 15.3%). Max pain ranged from $65.00 to $68.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2015-12-30: Highest Volume — 654 contracts
  • 2015-12-31: Largest IV spike — 34.9% change
  • 2015-12-14: Highest IV Rank — 47.7%
  • 2015-12-14: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.18$65.78$68.67$68.67$66.95
Max Pain$65.55$65.00$68.00$68.00$67.00
ATM IV13.0%10.0%16.6%10.4%13.5%
Expected Move3.6%2.8%4.8%3.0%3.9%
HV 20d15.3%11.6%18.1%11.6%17.5%
HV 60d15.3%13.9%15.8%15.6%13.9%
IV Rank31.5%17.9%47.7%19.8%33.8%
IV Percentile64.3%27.8%88.9%34.5%73.0%
Term Structure0.7%-0.8%4.2%0.9%0.2%
VWIV13.1%10.7%16.1%12.8%12.4%
Skew 25d5.5%1.5%12.1%6.0%3.1%
Skew 10d8.7%2.8%16.8%8.4%3.9%
Call IV 25d10.3%7.4%14.4%8.3%10.9%
Put IV 25d15.9%11.8%21.5%14.4%14.0%
Bid-Ask Spread %100.1588.98117.67117.67104.83
Gamma HHI0.180.150.220.200.18
Net GEX149.3K7.2K296.4K251.3K7.2K
Net DEX-1.2M-1.9M-16.2K-1.9M-706.3K
Net VEX-10.6K-12.9K-9.1K-11.3K-12.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.171.480.840.52
Total Volume340.18216541458
Total OI1,470.2271,2981,8301,3351,830

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$68.67$68.0010.4%3.0%11.6%19.8%0.0%6.0%0.9%251.3K-1.9M-11.3K0.00117.67N/AN/A01822513
2015-12-02$67.85$68.0012.5%3.6%12.1%29.2%12.8%4.0%-0.5%204.8K-1.7M-11.0K0.84111.38N/AN/A179150822513
2015-12-03$67.01$65.0014.9%3.7%12.8%40.2%12.5%3.9%1.4%134.6K-1.0M-11.0K0.69106.17N/AN/A179124820548
2015-12-04$68.19$65.0012.6%3.2%14.4%29.8%12.9%7.7%1.3%204.9K-1.5M-9.5K0.81107.27N/AN/A153124820554
2015-12-07$67.78$65.0012.4%2.8%14.5%28.5%0.0%7.4%1.1%157.0K-1.4M-9.8K0.17107.71N/AN/A61827554
2015-12-08$67.22$65.0015.7%3.6%14.4%43.4%12.1%8.7%-0.1%168.4K-1.0M-10.6K0.82102.44N/AN/A144118833555
2015-12-09$66.91$65.0010.8%3.1%14.4%21.4%13.4%4.6%0.8%110.1K-694.8K-10.1K0.85105.60N/AN/A144123834555
2015-12-10$67.00$65.0013.6%3.9%14.4%34.1%14.0%5.8%-0.8%114.0K-972.4K-10.1K0.8390.14N/AN/A149123835561
2015-12-11$65.86$65.0015.4%4.4%14.4%42.4%14.6%5.8%-0.4%35.5K-100.2K-9.7K0.5890.59N/AN/A17199839560
2015-12-14$66.19$65.0016.6%4.8%14.3%47.7%16.1%7.8%0.1%19.1K-16.2K-10.5K0.5089.72N/AN/A18794860566
2015-12-15$67.15$65.0013.3%3.8%14.2%32.7%14.5%12.1%1.0%119.5K-916.5K-11.0K0.5088.98N/AN/A19296876568
2015-12-16$68.14$65.0012.3%3.5%15.1%28.4%15.2%5.4%-0.4%215.3K-1.6M-9.8K0.4991.96N/AN/A204100888572
2015-12-17$67.30$65.0013.6%3.9%15.1%34.1%13.7%3.8%0.6%221.4K-1.4M-9.9K0.4794.23N/AN/A21099910578
2015-12-18$66.18$65.0014.5%4.2%16.2%38.2%13.9%1.5%0.9%48.5K-574.9K-9.1K0.3895.22N/AN/A21883915583
2015-12-21$65.78$65.0014.6%4.2%16.2%38.6%13.6%5.0%-0.0%91.1K-475.6K-9.1K0.5992.74N/AN/A253150808490
2015-12-22$66.48$65.0013.8%3.9%16.8%34.8%13.0%3.7%0.4%148.6K-1.0M-11.4K0.5999.21N/AN/A257152917576
2015-12-23$67.49$65.0012.1%3.5%17.7%27.4%11.3%6.0%0.8%296.4K-1.7M-10.4K0.6098.54N/AN/A253152922578
2015-12-24$67.35$65.0010.3%3.0%17.7%19.2%10.7%5.6%2.0%261.3K-1.8M-11.1K0.60101.52N/AN/A253152923578
2015-12-28$67.16$65.0011.7%3.3%17.7%25.3%11.9%3.9%1.4%257.3K-1.7M-10.4K1.4899.76N/AN/A253374923579
2015-12-29$67.81$67.0011.8%3.4%18.1%26.1%12.0%5.6%1.0%133.7K-1.8M-11.7K1.18101.52N/AN/A299353923804
2015-12-30$67.42$67.0010.0%2.9%17.9%17.9%10.7%4.3%4.2%84.8K-1.6M-12.8K1.19106.01N/AN/A299355958855
2015-12-31$66.95$67.0013.5%3.9%17.5%33.8%12.4%3.1%0.2%7.2K-706.3K-12.9K0.52104.83N/AN/A302156958872