VYM Options History — May 2016

In May 2016, VYM traded between $68.78 and $70.56. ATM implied volatility averaged 10.8%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 1.1% (HV 20d: 9.7%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.59.

Notable Days

  • 2016-05-06: Highest Volume — 818 contracts
  • 2016-05-27: Largest IV drop — 33.1% change
  • 2016-05-03: Highest IV Rank — 31.1%
  • 2016-05-03: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.55$68.78$70.56$69.95$70.56
Max Pain$70.00$70.00$70.00$70.00$70.00
ATM IV10.8%6.5%12.9%10.4%7.6%
Expected Move3.1%1.9%3.7%3.0%2.2%
HV 20d9.7%8.6%11.0%9.7%10.2%
HV 60d10.2%9.5%11.1%11.1%9.5%
IV Rank21.2%1.6%31.1%19.6%6.7%
IV Percentile31.1%0.4%54.0%27.0%2.0%
Term Structure0.5%-1.4%3.0%0.5%0.6%
VWIV11.2%8.0%13.4%10.1%9.1%
Skew 25d3.8%2.2%4.8%4.2%2.3%
Skew 10d6.8%0.9%14.2%14.2%12.8%
Call IV 25d9.3%6.3%11.2%8.8%8.1%
Put IV 25d13.0%10.4%15.6%13.0%10.4%
Bid-Ask Spread %101.3194.68110.07103.22107.98
Gamma HHI0.320.170.430.410.25
Net GEX531.1K-332.0K896.9K782.0K539.8K
Net DEX-2.9M-5.8M-246.6K-3.8M-5.8M
Net VEX-33.1K-36.4K-26.4K-36.0K-26.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.762.691.911.08
Total Volume668.905551818679646
Total OI3,610.7143,0703,8813,5563,315

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$69.95$70.0010.4%3.0%9.7%19.6%10.1%4.2%0.5%782.0K-3.8M-36.0K1.91103.22N/AN/A2334462,3451,211
2016-05-03$69.38$70.0012.9%3.7%9.6%31.1%11.3%2.4%-0.7%649.4K-3.0M-36.4K1.88106.46N/AN/A2334382,3471,211
2016-05-04$69.08$70.0012.5%3.6%9.3%29.3%11.7%2.2%0.1%637.7K-2.1M-34.8K2.66103.25N/AN/A2175782,3471,218
2016-05-05$68.92$70.0011.8%3.7%8.6%26.2%13.4%4.1%-0.2%570.6K-1.9M-35.7K2.6998.87N/AN/A2155782,3511,353
2016-05-06$69.25$70.0011.4%3.5%8.7%24.2%13.2%4.7%0.4%551.2K-1.6M-34.9K2.4195.48N/AN/A2405782,3511,353
2016-05-09$69.24$70.0011.7%3.5%8.7%25.6%12.4%2.9%0.8%594.6K-2.2M-35.9K2.42101.80N/AN/A2395782,3811,356
2016-05-10$70.03$70.009.6%3.1%9.1%16.0%12.9%4.3%0.1%896.9K-3.8M-35.0K2.5598.31N/AN/A2245712,3791,357
2016-05-11$69.67$70.0010.7%3.1%9.0%21.1%12.3%3.5%1.2%802.4K-3.7M-36.4K1.92100.25N/AN/A2244292,3961,463
2016-05-12$69.76$70.0011.6%3.3%9.0%25.1%11.6%4.1%-0.3%759.6K-3.5M-35.5K1.45100.36N/AN/A2253262,3961,465
2016-05-13$69.11$70.0011.7%3.4%9.6%25.5%11.5%2.7%0.5%638.8K-2.2M-34.7K1.4399.35N/AN/A2283262,4001,465
2016-05-16$69.69$70.0011.0%3.1%9.7%22.2%12.3%4.6%0.1%753.9K-2.7M-33.8K1.4797.60N/AN/A2283362,4051,462
2016-05-17$69.53$70.0011.2%3.2%9.6%23.2%12.4%3.3%0.9%797.5K-2.9M-34.0K1.49103.24N/AN/A2283392,4051,476
2016-05-18$68.78$70.0011.2%3.2%10.2%23.0%11.1%3.6%1.6%444.0K-887.2K-32.1K1.23102.72N/AN/A2883542,4001,478
2016-05-19$68.78$70.0012.2%3.5%9.9%27.8%11.9%4.4%-1.4%395.2K-246.6K-30.4K1.1699.22N/AN/A2913392,3991,430
2016-05-20$69.04$70.0011.6%3.3%10.0%25.1%11.2%4.6%1.2%-332.0K-1.0M-31.2K1.1694.68N/AN/A2923392,4071,448
2016-05-23$68.93$70.0011.1%3.2%10.0%22.7%11.0%4.8%1.1%214.7K-1.1M-30.0K0.7698.80N/AN/A3252461,7931,277
2016-05-24$69.79$70.009.2%2.6%10.9%14.2%9.5%3.0%1.4%257.9K-3.0M-30.7K0.9397.33N/AN/A3483241,8921,281
2016-05-25$70.32$70.0010.3%2.9%11.0%19.0%9.0%4.0%-0.6%309.9K-4.6M-31.2K0.91103.45N/AN/A3573241,9091,324
2016-05-26$70.29$70.009.7%2.8%10.4%16.1%8.7%4.6%0.1%394.4K-4.9M-31.3K0.97105.15N/AN/A3333241,9501,324
2016-05-27$70.54$70.006.5%1.9%10.4%1.6%8.0%4.5%3.0%495.5K-5.4M-29.4K0.98110.07N/AN/A3333271,9811,324
2016-05-31$70.56$70.007.6%2.2%10.2%6.7%9.1%2.3%0.6%539.8K-5.8M-26.4K1.08107.98N/AN/A3113351,9811,334