VYM Options History — April 2016

In April 2016, VYM traded between $68.35 and $70.40. ATM implied volatility averaged 10.3%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 1.1% (HV 20d: 9.1%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2016-04-20: Highest Volume — 1,382 contracts
  • 2016-04-11: Largest IV spike — 48.4% change
  • 2016-04-12: Highest IV Rank — 33.1%
  • 2016-04-05: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.47$68.35$70.40$69.33$69.53
Max Pain$69.76$65.00$70.00$65.00$70.00
ATM IV10.3%7.8%13.4%7.8%12.2%
Expected Move3.0%2.2%3.7%2.2%3.5%
HV 20d9.1%8.4%10.1%8.7%9.6%
HV 60d13.6%11.1%16.1%16.1%11.1%
IV Rank18.9%7.9%33.1%7.9%27.6%
IV Percentile26.0%4.8%59.5%4.8%45.6%
Term Structure1.1%-0.8%3.1%3.1%-0.1%
VWIV10.6%6.7%13.0%6.7%11.5%
Skew 25d4.6%1.6%10.3%10.3%1.6%
Skew 10d8.4%1.7%15.1%15.1%1.7%
Call IV 25d8.3%5.6%10.8%5.6%10.8%
Put IV 25d12.9%9.4%15.9%15.9%12.4%
Bid-Ask Spread %97.6088.50109.70109.70102.84
Gamma HHI0.350.260.470.310.35
Net GEX758.4K616.5K976.6K905.8K658.9K
Net DEX-4.5M-5.8M-3.3M-4.9M-3.3M
Net VEX-29.5K-38.4K-24.2K-24.9K-37.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.741.680.831.00
Total Volume865.3815371,382702893
Total OI3,388.9052,4653,7193,4563,537

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$69.33$65.007.8%2.2%8.7%7.9%6.7%10.3%3.1%905.8K-4.9M-24.9K0.83109.70N/AN/A3833192,2761,180
2016-04-04$69.06$70.0010.5%3.1%8.8%19.9%11.1%4.0%1.1%819.0K-5.0M-25.3K0.8688.62N/AN/A3843312,2761,186
2016-04-05$68.45$70.0010.5%3.7%9.5%19.9%11.1%4.6%-0.1%726.1K-4.0M-25.4K0.9188.50N/AN/A3843502,2741,221
2016-04-06$69.04$70.009.4%3.1%9.4%15.2%11.2%4.9%1.3%855.9K-4.3M-24.3K0.9791.69N/AN/A3763662,2681,237
2016-04-07$68.35$70.0013.0%3.7%10.1%31.3%12.2%4.0%0.6%690.9K-3.5M-25.0K1.0093.66N/AN/A3803802,2791,253
2016-04-08$68.55$70.008.9%3.3%10.1%12.7%12.1%5.3%0.6%787.9K-4.0M-25.2K1.0293.82N/AN/A3813902,2891,278
2016-04-11$68.55$70.0013.2%3.2%9.1%32.3%11.8%5.6%0.7%736.5K-3.8M-24.8K1.0794.24N/AN/A3633882,2871,294
2016-04-12$69.12$70.0013.4%3.1%9.5%33.1%13.0%4.9%1.3%837.1K-4.2M-24.2K1.0590.99N/AN/A3803992,2921,296
2016-04-13$69.63$70.009.6%2.8%8.9%16.0%11.0%2.9%1.5%876.5K-5.5M-26.1K0.9589.79N/AN/A4033842,3401,317
2016-04-14$69.59$70.0010.2%2.9%8.8%18.7%11.0%4.4%1.4%976.6K-5.7M-26.3K0.9691.93N/AN/A3943792,3741,335
2016-04-15$69.55$70.009.0%2.6%8.4%13.2%10.7%4.5%2.4%616.5K-5.8M-26.4K0.7498.64N/AN/A5043712,3811,338
2016-04-18$70.06$70.009.5%2.7%8.7%15.7%9.9%3.7%1.3%688.7K-4.3M-24.7K1.0897.16N/AN/A2582791,791674
2016-04-19$70.38$70.008.1%2.3%8.8%9.0%7.8%3.0%1.9%722.0K-5.0M-25.9K0.86102.58N/AN/A3142691,806674
2016-04-20$70.29$70.009.4%2.7%8.7%14.9%9.0%6.1%2.7%772.6K-5.3M-27.5K1.05103.69N/AN/A6757071,902679
2016-04-21$69.75$70.009.4%2.7%9.0%15.2%9.3%3.8%2.0%666.2K-4.4M-38.4K1.53101.67N/AN/A4727232,2751,130
2016-04-22$69.88$70.009.7%2.8%9.0%16.2%10.4%4.6%1.2%718.2K-3.7M-38.4K1.68101.54N/AN/A4317242,3221,155
2016-04-25$69.68$70.009.4%2.7%9.1%15.1%10.7%5.8%0.4%707.1K-3.5M-37.6K1.67104.94N/AN/A4297172,3211,153
2016-04-26$69.94$70.0010.7%3.1%8.8%21.1%10.8%4.3%0.4%711.2K-4.1M-37.8K1.6797.95N/AN/A4297172,3211,166
2016-04-27$70.40$70.0010.8%3.1%9.0%21.2%10.5%4.7%1.0%751.3K-5.1M-37.1K0.99103.82N/AN/A4304262,3201,166
2016-04-28$69.74$70.0010.7%3.1%9.6%20.7%11.2%2.6%-0.8%700.5K-4.2M-37.7K0.99101.81N/AN/A4474442,3251,179
2016-04-29$69.53$70.0012.2%3.5%9.6%27.6%11.5%1.6%-0.1%658.9K-3.3M-37.5K1.00102.84N/AN/A4474462,3451,192