VYM Options History — January 2016

In January 2016, VYM traded between $61.52 and $66.25. ATM implied volatility averaged 18.7%, placing in the 57.5% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 0.3% (HV 20d: 19.0%). Max pain ranged from $64.00 to $66.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.88.

Notable Days

  • 2016-01-14: Highest Volume — 893 contracts
  • 2016-01-12: Largest IV drop — 34.3% change
  • 2016-01-11: Highest IV Rank — 90.6%
  • 2016-01-21: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.48$61.52$66.25$65.83$64.87
Max Pain$65.05$64.00$66.00$66.00$64.00
ATM IV18.7%13.5%26.0%17.9%13.5%
Expected Move5.0%3.9%6.0%4.3%3.9%
HV 20d19.0%16.9%22.2%18.0%22.2%
HV 60d15.8%14.4%17.5%14.4%17.5%
IV Rank57.5%33.7%90.6%53.6%33.7%
IV Percentile90.2%69.0%99.2%92.5%69.0%
Term Structure-0.1%-1.6%1.6%-0.0%1.5%
VWIV17.7%15.8%19.0%16.7%18.6%
Skew 25d5.8%2.5%11.1%4.9%5.2%
Skew 10d13.3%8.9%18.4%12.8%9.7%
Call IV 25d14.9%11.8%17.0%14.1%12.7%
Put IV 25d20.7%17.8%27.1%19.0%17.8%
Bid-Ask Spread %86.3176.9999.2686.9498.46
Gamma HHI0.200.120.440.190.18
Net GEX-118.0K-470.8K40.2K-89.1K32.9K
Net DEX2.0M185.5K3.7M728.0K616.6K
Net VEX-13.2K-16.7K-11.6K-12.6K-16.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.5112.720.5512.72
Total Volume649.368247893500247
Total OI1,788.1581,3052,1441,8611,879

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$65.83$66.0017.9%4.3%18.0%53.6%16.7%4.9%-0.0%-89.1K728.0K-12.6K0.5586.94N/AN/A323177959902
2016-01-05$66.25$66.0017.1%4.1%16.9%50.1%15.8%6.2%-0.7%40.2K185.5K-12.4K0.5176.99N/AN/A358181949924
2016-01-06$65.30$66.0018.9%4.4%17.5%58.1%17.7%5.5%-0.0%-46.2K973.1K-12.7K0.9886.84N/AN/A260255942941
2016-01-07$64.21$66.0021.3%5.3%18.1%69.2%18.1%4.9%-1.1%-157.0K2.3M-13.1K1.2180.70N/AN/A2152619481,044
2016-01-08$63.21$66.0022.7%5.3%18.7%75.6%18.1%5.7%-0.9%-185.5K3.0M-12.5K1.4481.88N/AN/A2173129441,066
2016-01-11$63.44$66.0026.0%5.3%18.8%90.6%18.6%6.0%-0.3%-258.6K3.6M-11.9K2.6884.78N/AN/A2045479401,137
2016-01-12$63.71$66.0017.1%4.6%18.2%50.0%17.1%5.8%-0.0%-313.9K2.5M-12.2K2.5082.33N/AN/A2235579481,007
2016-01-13$62.55$66.0017.5%5.0%18.9%52.0%17.7%3.2%-0.2%-349.4K3.3M-11.6K2.9788.28N/AN/A2046059511,039
2016-01-14$63.63$66.0016.8%4.8%19.2%48.5%18.2%8.0%-0.3%-470.8K2.7M-12.0K0.6580.94N/AN/A5413529571,071
2016-01-15$62.42$66.0020.0%5.7%19.0%63.4%19.0%5.9%-0.4%-53.2K3.7M-12.8K0.7579.24N/AN/A4723521,0821,062
2016-01-19$62.53$64.0018.3%5.3%18.8%55.6%18.5%5.8%0.4%-51.9K1.3M-12.7K0.8383.85N/AN/A292241646659
2016-01-20$61.52$64.0019.3%5.5%18.8%59.9%18.8%11.1%-0.4%-44.9K1.7M-11.7K1.1582.44N/AN/A301346702662
2016-01-21$62.05$64.0021.1%6.0%19.2%68.1%18.9%8.0%-1.6%-46.9K1.9M-13.6K1.2382.84N/AN/A305376735785
2016-01-22$63.04$64.0016.5%4.7%19.8%47.3%16.5%5.3%0.5%-50.7K1.7M-14.4K1.2591.74N/AN/A314394745817
2016-01-25$62.18$64.0019.6%5.6%19.0%61.2%17.5%4.3%-0.8%-60.6K1.9M-13.8K1.2688.09N/AN/A311391745840
2016-01-26$63.13$64.0017.8%5.1%20.2%53.4%17.2%6.3%-0.1%-55.3K1.7M-14.4K1.2290.11N/AN/A320391753842
2016-01-27$62.85$64.0017.2%4.9%20.2%50.5%17.8%2.5%1.6%-34.9K1.4M-14.9K1.1899.26N/AN/A331389799842
2016-01-28$63.35$64.0017.6%5.0%20.1%52.2%16.3%5.2%0.9%-46.1K1.8M-14.8K0.7094.22N/AN/A454319816895
2016-01-29$64.87$64.0013.5%3.9%22.2%33.7%18.6%5.2%1.5%32.9K616.6K-16.7K12.7298.46N/AN/A18229961918