VYM Options History — October 2016

In October 2016, VYM traded between $70.88 and $72.00. ATM implied volatility averaged 11.9%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.9% (HV 20d: 10.0%). Max pain ranged from $70.00 to $72.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.45.

Notable Days

  • 2016-10-19: Highest Volume — 1,738 contracts
  • 2016-10-11: Largest IV spike — 35.8% change
  • 2016-10-31: Highest IV Rank — 43.9%
  • 2016-10-31: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.33$70.88$72.00$72.00$71.26
Max Pain$71.43$70.00$72.00$70.00$71.00
ATM IV11.9%9.0%15.6%10.8%15.6%
Expected Move3.5%3.0%4.5%3.1%4.5%
HV 20d10.0%6.2%15.6%15.3%6.2%
HV 60d9.8%9.7%9.9%9.7%9.8%
IV Rank26.4%12.3%43.9%20.7%43.9%
IV Percentile52.7%13.5%83.7%38.9%83.7%
Term Structure-0.3%-2.6%1.2%1.2%-2.6%
VWIV12.3%8.8%14.9%9.8%13.7%
Skew 25d4.9%0.8%9.5%1.9%7.4%
Skew 10d8.7%2.4%13.8%6.3%8.7%
Call IV 25d9.3%5.9%11.0%9.1%9.2%
Put IV 25d14.3%11.0%16.6%11.0%16.6%
Bid-Ask Spread %95.8386.14101.95101.6095.12
Gamma HHI0.200.140.270.190.14
Net GEX296.7K46.4K682.6K367.8K199.9K
Net DEX-1.8M-4.1M-98.8K-3.7M-746.6K
Net VEX-27.9K-31.9K-23.9K-31.1K-29.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.451.333.901.893.90
Total Volume1,382.6671,1031,7381,3581,103
Total OI3,963.6672,4394,6334,3182,759

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$72.00$70.0010.8%3.1%15.3%20.7%9.8%1.9%1.2%367.8K-3.7M-31.1K1.89101.60N/AN/A4708882,0172,301
2016-10-04$71.45$70.0011.5%3.3%15.4%24.4%10.4%0.8%0.1%328.1K-2.7M-31.9K1.91101.95N/AN/A4819172,0682,319
2016-10-05$71.83$70.0010.9%3.1%15.6%21.6%9.6%5.2%0.1%348.8K-3.2M-31.5K2.02101.38N/AN/A4549172,0882,362
2016-10-06$71.84$72.0010.3%3.3%15.6%18.5%11.1%6.2%-1.4%434.8K-4.1M-28.1K2.0093.96N/AN/A4619202,0962,362
2016-10-07$71.75$72.009.0%3.4%13.3%12.3%12.7%5.0%-0.5%471.6K-3.0M-30.5K2.2596.19N/AN/A4471,0042,0892,367
2016-10-10$71.93$72.0010.5%3.3%12.5%19.5%13.1%5.2%-1.0%494.3K-3.4M-29.3K2.2587.39N/AN/A4461,0042,1052,368
2016-10-11$71.17$72.0014.3%3.7%9.8%37.6%13.0%3.0%-0.1%205.8K-1.6M-29.7K2.2591.49N/AN/A4439982,1092,368
2016-10-12$71.25$72.0012.9%3.7%9.8%31.2%13.9%4.2%-0.0%339.0K-2.0M-28.7K2.17100.70N/AN/A4539832,1132,376
2016-10-13$71.06$72.0012.8%3.7%9.1%30.3%14.7%4.8%-0.1%85.2K-1.4M-26.7K2.0586.14N/AN/A4839892,1142,373
2016-10-14$71.15$72.0013.3%3.8%9.0%32.9%14.5%5.4%-0.4%397.6K-2.0M-27.9K2.1688.78N/AN/A4589892,1362,401
2016-10-17$70.88$72.0013.3%3.8%9.1%32.7%14.9%4.4%-0.0%199.9K-98.8K-26.2K2.15101.51N/AN/A4619892,1382,401
2016-10-18$71.13$72.0013.0%3.7%9.2%31.3%13.7%3.7%-0.4%682.6K-2.0M-24.0K2.5094.89N/AN/A3959872,1372,406
2016-10-19$71.23$72.0012.7%3.6%8.5%30.0%14.1%5.7%-0.2%580.2K-2.0M-23.9K1.3388.24N/AN/A7469922,1552,400
2016-10-20$70.92$72.0011.4%3.3%8.3%23.8%13.7%4.7%0.6%160.9K-1.0M-25.3K1.7095.44N/AN/A5879972,1842,401
2016-10-21$70.95$72.0011.3%3.2%8.2%23.1%12.9%4.1%0.5%46.4K-864.4K-24.2K2.5592.82N/AN/A4301,0952,2002,433
2016-10-24$71.24$71.0011.3%3.3%7.7%23.5%11.3%4.9%-0.4%86.8K-167.1K-26.1K3.0794.58N/AN/A3219861,2661,173
2016-10-25$71.22$71.0010.7%3.1%7.5%20.2%8.8%5.5%-0.2%191.7K-701.5K-26.1K3.1499.72N/AN/A3201,0051,4041,180
2016-10-26$71.37$71.0011.4%3.3%7.2%23.6%10.4%5.0%0.3%209.4K-490.9K-27.4K2.6299.92N/AN/A3338711,4151,208
2016-10-27$71.23$71.0010.6%3.0%6.9%19.9%10.5%9.5%1.1%219.5K-1.0M-29.2K3.68101.09N/AN/A2378711,4771,220
2016-10-28$71.10$71.0013.2%3.8%6.3%32.4%12.1%7.3%-2.1%181.5K-573.3K-29.3K3.8799.50N/AN/A2278781,5121,236
2016-10-31$71.26$71.0015.6%4.5%6.2%43.9%13.7%7.4%-2.6%199.9K-746.6K-29.0K3.9095.12N/AN/A2258781,5131,246