VYM Options History — December 2016

In December 2016, VYM traded between $74.00 and $77.11. ATM implied volatility averaged 9.3%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 1.5% (HV 20d: 7.8%). 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 18 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2016-12-28: Highest Volume — 848 contracts
  • 2016-12-13: Largest IV spike — 45.3% change
  • 2016-12-05: Highest IV Rank — 30.6%
  • 2016-12-01: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.01$74.00$77.11$74.00$75.58
Max Pain$71.43$70.00$72.00$72.00$72.00
ATM IV9.3%6.3%12.8%10.9%9.1%
Expected Move2.6%1.8%3.1%3.1%2.6%
HV 20d7.8%6.5%9.3%9.3%8.8%
HV 60d8.9%8.3%11.2%11.1%8.3%
IV Rank14.1%0.0%30.6%21.2%13.3%
IV Percentile23.5%0.0%68.3%44.8%19.0%
Term Structure1.4%-2.5%3.5%-0.9%2.2%
VWIV9.9%7.5%13.2%11.2%9.8%
Skew 25d4.0%0.1%7.5%0.1%2.3%
Skew 10d5.7%0.5%21.6%0.5%3.0%
Call IV 25d7.1%5.3%10.2%10.2%8.6%
Put IV 25d11.1%8.8%12.9%10.3%10.9%
Bid-Ask Spread %101.2989.40113.39105.82103.08
Gamma HHI0.220.160.300.250.18
Net GEX721.7K424.7K1.1M832.0K513.8K
Net DEX-8.8M-12.6M-6.0M-6.4M-6.0M
Net VEX-24.9K-31.1K-19.4K-30.4K-22.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.421.361.060.56
Total Volume595425848446807
Total OI3,373.1432,9433,7483,3593,094

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$74.00$72.0010.9%3.1%9.3%21.2%11.2%0.1%-0.9%832.0K-6.4M-30.4K1.06105.82N/AN/A2162301,9901,369
2016-12-02$74.14$72.0010.7%3.1%8.9%20.6%10.5%2.6%-0.3%808.4K-6.4M-30.8K0.98103.85N/AN/A2152101,9861,379
2016-12-05$74.46$70.0012.8%2.7%8.8%30.6%10.0%4.3%-2.5%1.0M-7.8M-27.0K1.1097.38N/AN/A2182391,9941,384
2016-12-06$74.71$70.008.8%2.5%6.7%11.1%9.9%4.0%3.1%1.1M-7.7M-27.5K1.23103.41N/AN/A2112592,0291,413
2016-12-07$75.71$71.008.8%2.2%7.4%11.5%9.8%4.8%2.2%1.0M-9.4M-26.2K1.36104.12N/AN/A2042772,0411,445
2016-12-08$75.92$71.009.5%3.0%6.5%14.6%11.0%7.5%1.7%718.3K-9.9M-27.7K1.06104.99N/AN/A2172302,0581,448
2016-12-09$76.37$71.009.1%2.8%6.7%12.8%10.0%4.0%3.5%767.4K-11.1M-24.4K0.87110.84N/AN/A2652302,0751,471
2016-12-12$76.56$71.008.8%2.3%6.6%11.3%9.4%4.9%3.0%763.6K-11.5M-24.7K0.92102.07N/AN/A2422222,1181,471
2016-12-13$77.10$71.0012.8%2.6%6.7%30.6%9.8%6.4%2.7%792.9K-12.6M-21.7K1.03113.39N/AN/A2712782,1291,480
2016-12-14$76.42$71.0010.5%3.0%7.6%19.3%11.0%1.6%1.4%685.6K-11.0M-27.2K0.9297.07N/AN/A2892652,1081,539
2016-12-15$76.64$71.008.4%2.4%7.4%9.3%10.8%3.4%1.7%844.5K-11.5M-24.4K0.6994.99N/AN/A3852662,1421,546
2016-12-16$76.62$71.009.2%2.6%7.5%13.4%10.0%4.9%2.1%644.1K-11.0M-25.9K0.7389.40N/AN/A3922852,1361,612
2016-12-19$76.83$72.006.3%1.8%7.5%0.0%13.2%3.4%0.3%805.2K-7.8M-31.1K0.7295.13N/AN/A3492521,9121,490
2016-12-20$77.11$72.007.7%2.2%7.4%6.4%7.5%3.2%1.6%833.3K-11.2M-20.1K1.1198.28N/AN/A2162391,9581,497
2016-12-21$77.03$72.007.2%2.1%7.4%4.3%7.6%3.4%1.6%610.0K-11.5M-19.4K1.13106.37N/AN/A2212491,9931,499
2016-12-22$76.30$72.009.8%2.8%8.4%16.8%9.2%3.9%0.6%424.7K-6.1M-22.4K0.4297.53N/AN/A5602351,4221,521
2016-12-23$76.33$72.008.5%2.4%8.3%10.3%9.2%5.0%1.3%456.5K-6.4M-23.3K0.4298.20N/AN/A5542341,4841,525
2016-12-27$76.51$72.008.8%2.5%8.1%11.9%9.1%6.0%0.9%467.7K-6.7M-21.9K0.4497.44N/AN/A5492441,4871,526
2016-12-28$75.89$72.008.6%2.5%8.8%11.0%9.5%5.1%2.7%502.7K-6.5M-21.3K0.49101.66N/AN/A5712771,4921,540
2016-12-29$75.94$72.009.6%2.7%8.8%15.5%10.1%3.2%0.7%518.1K-6.1M-22.4K0.59102.08N/AN/A5173051,4961,537
2016-12-30$75.58$72.009.1%2.6%8.8%13.3%9.8%2.3%2.2%513.8K-6.0M-22.8K0.56103.08N/AN/A5172901,5101,584