VYM Options History — January 2017

In January 2017, VYM traded between $75.35 and $76.48. ATM implied volatility averaged 8.5%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 1.1% (HV 20d: 7.4%). Max pain ranged from $72.00 to $75.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.61.

Notable Days

  • 2017-01-20: Highest Volume — 1,024 contracts
  • 2017-01-11: Largest IV spike — 27.0% change
  • 2017-01-04: Highest IV Rank — 17.8%
  • 2017-01-05: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.90$75.35$76.48$76.08$75.76
Max Pain$74.50$72.00$75.00$72.00$75.00
ATM IV8.5%7.0%10.0%9.3%7.9%
Expected Move2.5%2.1%3.1%2.7%2.3%
HV 20d7.4%6.5%9.2%9.0%6.7%
HV 60d8.3%8.1%8.5%8.4%8.3%
IV Rank10.6%3.5%17.8%14.4%7.6%
IV Percentile14.8%1.6%38.5%24.2%6.7%
Term Structure1.7%0.5%3.0%0.5%0.8%
VWIV8.7%7.3%10.1%8.8%7.7%
Skew 25d2.3%-0.6%4.1%0.8%3.9%
Skew 10d4.5%0.2%9.7%1.4%1.5%
Call IV 25d8.1%5.7%11.6%8.4%5.7%
Put IV 25d10.4%8.6%13.3%9.1%9.6%
Bid-Ask Spread %101.9190.96109.94104.74106.94
Gamma HHI0.200.170.240.180.17
Net GEX605.1K424.1K723.4K529.5K534.2K
Net DEX-5.7M-7.1M-3.7M-6.4M-3.9M
Net VEX-22.3K-23.5K-21.1K-21.4K-23.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.401.050.520.82
Total Volume728.93321,024837388
Total OI2,823.41,8383,4943,0852,043

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$76.08$72.009.3%2.7%9.0%14.4%8.8%0.8%0.5%529.5K-6.4M-21.4K0.52104.74N/AN/A5492881,5101,575
2017-01-04$76.46$72.0010.0%2.9%9.0%17.8%9.7%3.0%0.8%616.6K-7.1M-21.9K0.49103.70N/AN/A5862871,5911,577
2017-01-05$76.18$73.008.0%3.1%9.2%8.0%10.0%4.0%0.9%594.3K-6.8M-21.9K0.5190.96N/AN/A5642891,5871,577
2017-01-06$76.32$74.008.3%2.8%7.9%9.4%9.2%2.3%2.1%577.4K-6.9M-21.5K0.4995.39N/AN/A5892891,5911,579
2017-01-09$75.84$74.008.7%2.6%8.2%11.5%10.1%-0.6%3.0%623.4K-6.5M-22.0K0.4899.69N/AN/A6152931,6341,579
2017-01-10$75.72$75.007.0%2.6%7.9%3.5%8.4%3.0%1.9%700.2K-6.5M-22.8K0.4898.00N/AN/A6233011,7111,589
2017-01-11$75.84$75.008.9%2.6%7.9%12.5%9.0%2.9%2.5%686.8K-6.4M-22.7K0.5194.91N/AN/A5973031,7261,600
2017-01-12$75.68$75.008.9%2.5%7.4%12.2%9.3%0.8%2.6%624.8K-6.3M-22.3K0.5297.14N/AN/A6163191,7221,592
2017-01-13$75.81$75.009.5%2.7%6.8%15.1%9.3%3.1%1.4%695.6K-6.4M-22.0K0.5198.98N/AN/A6223191,7221,618
2017-01-17$75.49$75.009.4%2.7%6.8%15.0%8.9%2.9%1.7%652.2K-6.0M-21.4K0.5299.59N/AN/A5933111,7281,618
2017-01-18$75.66$75.008.8%2.5%6.9%11.7%9.0%3.7%1.5%723.4K-5.9M-21.7K0.51100.75N/AN/A6093111,7391,649
2017-01-19$75.35$75.008.7%2.5%6.9%11.5%8.5%2.9%2.7%668.6K-5.8M-21.1K0.4698.95N/AN/A6953231,7621,649
2017-01-20$75.61$75.008.6%2.5%6.9%10.9%9.0%1.8%2.0%424.1K-6.0M-22.5K0.40105.42N/AN/A7312931,8251,669
2017-01-23$75.43$75.008.9%2.6%6.9%12.6%8.8%2.1%1.9%488.8K-3.7M-21.4K0.46102.74N/AN/A3141431,303535
2017-01-24$75.91$75.007.2%2.1%6.6%4.4%7.9%4.1%2.0%545.5K-4.0M-23.1K0.67106.36N/AN/A2231501,363537
2017-01-25$76.48$75.007.8%2.3%7.2%7.3%8.3%1.6%1.6%674.8K-4.9M-22.1K1.05107.44N/AN/A1621701,386559
2017-01-26$76.31$75.007.6%2.2%7.1%6.3%7.3%1.8%2.2%598.1K-4.9M-23.0K0.96108.17N/AN/A1911841,394579
2017-01-27$76.24$75.008.1%2.3%6.5%8.5%7.5%2.3%0.7%586.4K-4.9M-23.5K0.85109.94N/AN/A1961671,424594
2017-01-30$75.76$75.008.6%2.5%6.9%10.8%8.1%-0.1%1.1%556.2K-4.2M-23.4K0.92108.41N/AN/A1951801,435597
2017-01-31$75.76$75.007.9%2.3%6.7%7.6%7.7%3.9%0.8%534.2K-3.9M-23.5K0.82106.94N/AN/A2131751,430613