VYM Options History — September 2016

In September 2016, VYM traded between $70.83 and $73.47. ATM implied volatility averaged 11.2%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 0.4% (HV 20d: 11.6%). Max pain ranged from $70.00 to $73.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 5.33.

Notable Days

  • 2016-09-14: Highest Volume — 1,854 contracts
  • 2016-09-21: Largest IV drop — 25.7% change
  • 2016-09-13: Highest IV Rank — 42.4%
  • 2016-09-20: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.14$70.83$73.47$72.84$72.33
Max Pain$70.29$70.00$73.00$73.00$70.00
ATM IV11.2%8.6%15.3%11.1%10.4%
Expected Move3.1%2.5%3.9%3.2%3.0%
HV 20d11.6%4.8%15.4%4.9%15.4%
HV 60d11.2%9.9%13.0%10.9%10.1%
IV Rank23.0%10.5%42.4%22.6%19.2%
IV Percentile41.5%9.5%78.2%38.5%35.3%
Term Structure1.0%-1.1%2.6%-1.1%1.0%
VWIV10.6%9.1%12.6%11.3%9.1%
Skew 25d4.1%1.6%7.3%1.6%3.6%
Skew 10d8.0%1.1%15.1%1.3%5.0%
Call IV 25d9.0%4.5%11.3%8.8%8.8%
Put IV 25d13.1%10.4%15.8%10.4%12.5%
Bid-Ask Spread %96.0483.93107.63107.3797.55
Gamma HHI0.170.150.190.180.17
Net GEX-54.0K-413.5K319.3K-98.5K264.8K
Net DEX-1.3M-3.9M2.8M-1.5M-3.8M
Net VEX-41.2K-47.9K-30.6K-46.8K-30.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.330.8614.9314.931.93
Total Volume1,319.2866081,8541,5771,328
Total OI4,606.9054,2294,9234,4704,273

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$72.84$73.0011.1%3.2%4.9%22.6%11.3%1.6%-1.1%-98.5K-1.5M-46.8K14.93107.37N/AN/A991,4781,6122,858
2016-09-02$73.22$73.008.6%2.5%4.9%10.5%9.8%7.3%0.0%-32.7K-2.9M-42.9K12.96107.63N/AN/A1131,4651,6132,858
2016-09-06$73.45$70.0010.3%2.6%5.0%18.3%12.3%3.7%1.7%-41.6K-2.9M-41.6K12.7991.42N/AN/A1141,4581,6182,862
2016-09-07$73.45$70.0010.0%2.7%5.0%17.3%12.6%5.4%2.6%-40.6K-3.1M-41.6K12.8397.99N/AN/A1141,4631,6252,862
2016-09-08$73.47$70.009.9%2.6%4.8%16.7%10.6%5.2%2.0%-29.3K-3.2M-41.0K8.7494.51N/AN/A1871,6351,6252,868
2016-09-09$71.81$70.0012.5%3.3%9.3%28.9%9.2%3.1%1.4%-243.6K324.4K-45.6K9.0695.56N/AN/A1761,5941,6612,997
2016-09-12$72.69$70.0012.7%2.8%10.4%30.2%10.6%4.3%1.5%-413.5K-1.7M-39.1K8.5392.33N/AN/A1861,5861,6793,057
2016-09-13$70.96$70.0015.3%3.8%13.3%42.4%11.4%4.0%0.2%-313.9K2.0M-46.6K5.6583.93N/AN/A2771,5641,7003,072
2016-09-14$70.83$70.0012.9%3.7%13.3%30.9%11.7%5.0%0.4%-299.1K2.8M-47.9K5.6791.27N/AN/A2781,5761,6893,090
2016-09-15$71.55$70.0010.8%3.1%13.9%20.7%10.1%5.0%1.3%-337.3K1.4M-45.2K1.2186.51N/AN/A2923521,6953,109
2016-09-16$71.33$70.0012.7%3.6%13.8%30.1%11.8%3.0%0.5%-239.5K1.7M-46.5K1.3290.90N/AN/A2823731,7203,111
2016-09-19$71.38$70.0012.6%3.6%13.8%29.8%10.5%4.7%0.6%-211.0K622.2K-43.8K1.3198.16N/AN/A2633451,6373,030
2016-09-20$71.41$70.0013.7%3.9%13.8%34.6%10.6%3.9%0.7%-192.2K473.2K-45.5K0.8695.22N/AN/A4253641,6513,035
2016-09-21$72.10$70.0010.1%2.9%14.3%17.7%10.0%5.1%0.9%15.9K-1.1M-42.7K0.98100.28N/AN/A3313241,8293,067
2016-09-22$72.49$70.009.9%2.8%14.4%16.5%9.5%5.1%1.0%89.7K-2.8M-42.6K2.5998.10N/AN/A3559191,8553,068
2016-09-23$72.16$70.0010.6%3.0%14.5%19.8%11.4%5.5%1.3%134.0K-2.6M-39.8K1.9895.81N/AN/A4148211,8842,835
2016-09-26$71.49$70.0010.4%3.0%14.8%19.0%10.9%1.7%0.8%104.9K-1.7M-40.1K2.1598.88N/AN/A4128851,9442,868
2016-09-27$71.87$70.0010.1%2.9%14.8%17.6%9.9%1.7%0.9%195.6K-2.8M-31.4K2.2193.75N/AN/A3998801,9442,285
2016-09-28$72.26$70.009.5%2.7%15.0%14.7%9.2%2.7%1.7%319.3K-3.9M-30.6K2.2297.67N/AN/A3998841,9852,290
2016-09-29$71.81$70.0011.8%3.4%15.1%25.5%10.9%4.4%0.8%235.5K-3.3M-33.4K2.08102.03N/AN/A4208751,9852,299
2016-09-30$72.33$70.0010.4%3.0%15.4%19.2%9.1%3.6%1.0%264.8K-3.8M-30.9K1.9397.55N/AN/A4538751,9722,301