VYM Options History — March 2016

In March 2016, VYM traded between $66.42 and $69.21. ATM implied volatility averaged 11.7%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 0.5% (HV 20d: 12.2%). Max pain ranged from $64.00 to $65.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2016-03-18: Highest Volume — 1,635 contracts
  • 2016-03-02: Largest IV spike — 55.5% change
  • 2016-03-09: Highest IV Rank — 66.4%
  • 2016-03-09: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.12$66.42$69.21$66.42$69.09
Max Pain$64.41$64.00$65.00$65.00$65.00
ATM IV11.7%8.2%20.7%11.2%9.1%
Expected Move3.4%2.3%5.9%3.2%2.6%
HV 20d12.2%8.7%16.0%16.0%8.7%
HV 60d17.3%16.1%18.5%18.5%16.1%
IV Rank25.4%9.4%66.4%23.2%13.6%
IV Percentile36.0%6.3%91.7%36.9%11.5%
Term Structure1.3%-4.0%3.0%2.8%1.9%
VWIV12.9%7.5%23.8%23.8%7.5%
Skew 25d5.4%1.5%10.3%8.5%4.0%
Skew 10d9.2%0.2%37.0%9.7%2.6%
Call IV 25d8.4%5.7%11.6%9.8%5.7%
Put IV 25d13.7%9.7%18.8%18.3%9.7%
Bid-Ask Spread %105.4891.48129.08122.33105.56
Gamma HHI0.200.130.350.350.29
Net GEX408.8K58.6K799.3K509.8K799.3K
Net DEX-3.7M-5.4M-1.3M-2.4M-5.0M
Net VEX-22.1K-26.0K-19.3K-21.2K-26.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.251.831.140.80
Total Volume1,168.5457021,6351,174718
Total OI3,219.6822,5223,6003,3453,434

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$66.42$65.0011.2%3.2%16.0%23.2%23.8%8.5%2.8%509.8K-2.4M-21.2K1.14122.33N/AN/A5486261,8921,453
2016-03-02$66.93$65.0017.4%5.0%14.5%51.4%23.2%1.5%-4.0%58.6K-4.4M-19.3K1.18129.08N/AN/A5466451,9601,458
2016-03-03$67.28$64.0011.6%4.0%14.3%24.9%16.7%7.4%0.7%243.1K-4.6M-20.3K1.18107.05N/AN/A5476441,9631,483
2016-03-04$67.56$64.0015.6%5.4%14.3%43.0%15.5%8.0%2.2%216.1K-5.4M-19.8K1.83109.51N/AN/A3666701,9991,483
2016-03-07$67.73$64.0011.7%3.2%13.4%25.4%15.7%10.3%2.0%185.1K-5.3M-20.6K1.37104.24N/AN/A4195742,0031,502
2016-03-08$67.22$64.0018.1%4.9%13.7%54.4%15.8%7.8%-0.6%549.0K-4.8M-22.8K0.61111.22N/AN/A9115582,0711,529
2016-03-09$67.56$64.0020.7%5.9%13.7%66.4%17.5%6.4%1.8%182.0K-2.1M-21.3K0.54105.03N/AN/A9275031,5771,529
2016-03-10$67.56$64.0013.3%3.8%13.5%32.6%13.1%3.9%-0.5%87.0K-1.9M-20.9K0.52110.46N/AN/A9284841,5941,540
2016-03-11$68.43$64.0010.8%3.1%12.9%21.6%10.9%4.2%1.0%189.4K-2.9M-21.6K0.59111.81N/AN/A8935251,5961,560
2016-03-14$68.38$64.0012.3%3.5%12.3%28.0%10.8%6.3%1.4%110.5K-3.5M-20.4K0.56115.04N/AN/A8934961,6761,570
2016-03-15$67.70$64.009.3%2.7%12.7%14.3%16.7%5.3%1.5%209.0K-1.3M-20.9K0.6891.48N/AN/A9346371,4991,586
2016-03-16$68.11$64.0010.2%2.9%12.0%18.4%13.5%4.5%2.8%283.4K-2.4M-20.6K0.6998.18N/AN/A9196351,5161,589
2016-03-17$68.68$64.008.6%2.5%12.1%11.3%9.5%4.7%2.7%470.8K-3.0M-19.3K0.4497.58N/AN/A1,1144891,5211,594
2016-03-18$68.89$64.008.2%2.3%12.0%9.4%9.3%4.2%3.0%574.5K-4.1M-22.7K0.4592.01N/AN/A1,1265091,7291,599
2016-03-21$68.98$64.0010.3%2.9%11.5%18.9%9.9%3.9%1.2%556.2K-4.4M-22.2K0.3798.33N/AN/A5121901,552970
2016-03-22$68.83$65.009.1%2.6%10.6%13.7%8.9%5.2%1.1%555.0K-3.9M-23.5K0.2597.86N/AN/A1,0072531,5921,055
2016-03-23$68.47$65.0010.4%3.0%11.0%19.5%8.5%4.3%2.0%568.4K-3.8M-23.9K0.65102.99N/AN/A4492902,0021,059
2016-03-24$68.38$65.0011.3%3.2%10.5%23.7%9.9%4.3%0.1%537.7K-3.1M-23.4K0.7797.57N/AN/A4133172,0181,102
2016-03-28$68.39$65.0010.2%2.9%10.4%18.6%8.6%3.8%1.9%567.4K-3.5M-23.4K0.50102.31N/AN/A6663362,0231,125
2016-03-29$68.91$65.009.1%2.6%10.1%13.6%9.4%5.3%1.8%743.8K-4.2M-25.6K0.70105.96N/AN/A4543182,2581,156
2016-03-30$69.21$65.009.1%2.6%8.9%13.6%8.3%4.3%1.8%798.4K-5.1M-25.8K0.78105.01N/AN/A4043152,2551,161
2016-03-31$69.09$65.009.1%2.6%8.7%13.6%7.5%4.0%1.9%799.3K-5.0M-26.0K0.80105.56N/AN/A4003182,2581,176