VYM Options History — February 2016

In February 2016, VYM traded between $62.50 and $66.03. ATM implied volatility averaged 19.0%, placing in the 58.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 0.3% (HV 20d: 19.3%). Max pain ranged from $63.00 to $68.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.33.

Notable Days

  • 2016-02-12: Highest Volume — 1,465 contracts
  • 2016-02-29: Largest IV spike — 73.2% change
  • 2016-02-29: Highest IV Rank — 96.0%
  • 2016-02-29: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.50$62.50$66.03$64.77$65.39
Max Pain$65.80$63.00$68.00$64.00$65.00
ATM IV19.0%13.9%27.2%14.8%27.2%
Expected Move5.4%4.0%7.8%4.3%7.8%
HV 20d19.3%15.0%22.3%22.1%15.0%
HV 60d18.0%17.5%18.4%17.5%18.4%
IV Rank58.9%35.6%96.0%39.7%96.0%
IV Percentile86.7%69.4%99.6%77.4%99.6%
Term Structure-0.8%-4.7%2.9%-0.1%-1.9%
VWIV19.8%13.4%37.6%16.9%27.3%
Skew 25d6.9%2.5%23.4%2.9%13.2%
Skew 10d12.9%4.6%29.3%11.3%14.2%
Call IV 25d14.8%10.4%20.1%14.3%20.1%
Put IV 25d21.7%15.0%41.5%17.2%33.3%
Bid-Ask Spread %96.4467.06128.26101.61127.96
Gamma HHI0.290.170.600.180.32
Net GEX260.5K-47.8K1.0M47.9K367.5K
Net DEX1.0M-1.5M3.8M1.8M-381.2K
Net VEX-20.1K-24.5K-16.2K-16.9K-21.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.781.811.501.29
Total Volume1,192.79201,4659201,114
Total OI2,806.552,0693,5152,0693,343

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$64.77$64.0014.8%4.3%22.1%39.7%16.9%2.9%-0.1%47.9K1.8M-16.9K1.50101.61N/AN/A3685529741,095
2016-02-02$63.65$63.0015.7%4.5%22.2%43.8%16.2%2.5%2.1%48.8K2.3M-16.2K1.4198.67N/AN/A4065741,0131,100
2016-02-03$64.23$63.0018.5%5.3%22.3%56.5%17.6%7.0%-0.4%48.5K2.3M-17.5K1.3896.29N/AN/A4245861,0551,177
2016-02-04$64.33$68.0018.1%5.1%21.8%54.7%15.8%5.7%-1.5%71.1K2.0M-17.8K1.2481.23N/AN/A4815981,0861,186
2016-02-05$63.61$68.0019.1%5.5%21.4%58.9%18.4%5.6%-1.5%33.8K2.3M-18.0K1.4282.38N/AN/A4896941,0861,191
2016-02-08$63.41$68.0023.4%6.0%20.6%78.7%18.0%6.4%-1.4%-28.1K3.1M-17.8K1.4081.67N/AN/A4936921,0951,308
2016-02-09$63.38$68.0025.4%6.2%20.6%88.0%18.9%9.0%-1.2%-23.8K3.1M-17.7K1.4377.80N/AN/A4937061,1011,332
2016-02-10$63.10$68.0021.3%6.1%20.6%69.3%21.4%6.3%-2.1%-21.7K3.0M-17.6K1.4073.36N/AN/A5167211,1021,293
2016-02-11$62.50$68.0022.7%6.5%19.8%75.5%21.0%10.1%-1.9%-28.1K3.8M-16.3K1.8167.06N/AN/A4117421,1271,310
2016-02-12$63.51$68.0019.5%5.6%19.7%61.0%18.0%8.0%-0.8%-47.8K3.3M-17.3K0.7872.17N/AN/A8256401,1291,386
2016-02-16$64.33$65.0019.4%5.5%18.8%60.3%18.1%5.1%0.2%343.0K1.0M-20.9K1.3181.66N/AN/A4936441,6471,393
2016-02-17$65.28$65.0017.6%5.0%19.4%52.3%16.7%7.8%0.5%485.5K-774.7K-22.6K1.4888.83N/AN/A5508141,8441,393
2016-02-18$65.26$65.0015.6%4.5%18.2%43.1%14.7%4.4%-0.5%478.2K-847.0K-24.3K1.3994.55N/AN/A5958251,9321,518
2016-02-19$65.08$65.0015.0%4.3%18.1%40.5%13.4%4.0%0.9%1.0M-759.5K-24.5K1.2691.20N/AN/A6157751,9871,528
2016-02-22$65.88$65.0013.9%4.0%17.8%35.6%20.3%4.9%2.9%481.4K-1.3M-24.0K1.14120.20N/AN/A6547481,8771,368
2016-02-23$65.20$65.0018.3%5.2%17.5%55.3%22.1%4.4%-2.8%456.5K-393.3K-23.7K1.10119.11N/AN/A5996601,8601,371
2016-02-24$65.32$65.0025.2%7.2%16.8%86.7%27.3%23.4%-1.6%516.8K-210.2K-19.6K1.26125.71N/AN/A4976271,8681,409
2016-02-25$66.03$65.0014.3%4.1%16.9%37.5%15.8%4.5%-0.3%530.1K-1.1M-23.8K1.28119.12N/AN/A4946321,8771,433
2016-02-26$65.77$65.0015.7%4.5%17.0%43.7%37.6%3.4%-4.7%401.6K-1.5M-24.3K1.28128.26N/AN/A4866211,8881,449
2016-02-29$65.39$65.0027.2%7.8%15.0%96.0%27.3%13.2%-1.9%367.5K-381.2K-21.5K1.29127.96N/AN/A4866281,8921,451