It doesn't matter whether I use VGA or HDMI, I've connected 3 external displays to my Lenovo Y500 and get a very red hue on all of them. For example royal blue displays as purple. The colors are also all obnoxiously bright, like a rap video from the early 90's. I've also tried adjusting all the monitors' settings and i can't get it to improve the image at all.
I have no problems with colors on displays, nor external or the built-in display. I use an external one almost all of the time I'm using the Y500. Try enabling/disabling SLI to see if it helps or not (of course if you have only the on-board GeForce GT 650M, you can't turn on SLI).