VYM Options History — February 2017

In February 2017, VYM traded between $75.42 and $78.60. ATM implied volatility averaged 8.1%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 1.6% (HV 20d: 6.5%). Max pain ranged from $76.00 to $77.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.53.

Notable Days

2017-02-23: Highest Volume — 799 contracts
2017-02-28: Largest IV spike — 90.6% change
2017-02-28: Highest IV Rank — 25.9%
2017-02-28: Largest Expected Move — 3.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$77.14	$75.42	$78.60	$75.42	$78.40
Max Pain	$76.95	$76.00	$77.00	$76.00	$77.00
ATM IV	8.1%	6.0%	11.5%	8.1%	11.5%
Expected Move	2.4%	1.7%	3.3%	2.3%	3.3%
HV 20d	6.5%	5.5%	6.9%	6.4%	5.5%
HV 60d	7.3%	7.1%	8.3%	8.3%	7.2%
IV Rank	9.3%	0.0%	25.9%	8.3%	25.9%
IV Percentile	15.9%	0.0%	75.0%	9.1%	75.0%
Term Structure	0.6%	-3.3%	2.0%	2.0%	-3.3%
VWIV	8.7%	6.9%	11.5%	8.3%	11.5%
Skew 25d	2.5%	-1.1%	6.2%	-1.1%	6.2%
Skew 10d	4.9%	-0.3%	10.3%	-0.3%	2.8%
Call IV 25d	7.4%	4.4%	8.7%	8.4%	8.0%
Put IV 25d	10.0%	7.4%	14.2%	7.4%	14.2%
Bid-Ask Spread %	101.47	91.76	113.10	113.10	105.72
Gamma HHI	0.19	0.16	0.21	0.17	0.20
Net GEX	653.8K	443.6K	1.0M	479.3K	443.6K
Net DEX	-6.7M	-8.9M	-3.3M	-3.3M	-8.1M
Net VEX	-24.7K	-27.7K	-21.6K	-23.0K	-25.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.39	0.89	0.81	0.45
Total Volume	603.211	371	799	386	712
Total OI	2,322.474	2,058	2,501	2,058	2,440

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-02-01	$75.42	$76.00	8.1%	2.3%	6.4%	8.3%	8.3%	-1.1%	2.0%	479.3K	-3.3M	-23.0K	0.81	113.10	N/A	N/A	213	173	1,434	624
2017-02-02	$75.53	$77.00	7.6%	2.6%	6.1%	6.1%	9.1%	3.1%	0.0%	473.0K	-3.4M	-22.8K	0.83	91.76	N/A	N/A	212	175	1,431	636
2017-02-03	$76.16	$77.00	6.1%	2.7%	6.8%	0.0%	8.3%	2.3%	0.9%	556.3K	-4.3M	-22.5K	0.89	95.54	N/A	N/A	196	175	1,435	641
2017-02-06	$75.92	$77.00	7.3%	2.7%	6.8%	5.6%	9.4%	2.8%	0.6%	616.1K	-4.4M	-21.6K	0.42	93.42	N/A	N/A	410	171	1,436	641
2017-02-07	$75.88	$77.00	6.3%	2.1%	6.4%	0.8%	8.0%	3.9%	1.4%	727.1K	-5.3M	-27.7K	0.43	102.13	N/A	N/A	411	175	1,696	645
2017-02-08	$75.97	$77.00	8.4%	2.4%	6.4%	10.8%	8.4%	2.2%	0.7%	724.1K	-5.1M	-26.0K	0.40	94.80	N/A	N/A	411	166	1,697	653
2017-02-09	$76.37	$77.00	9.3%	2.7%	6.7%	14.9%	7.8%	4.2%	1.2%	989.2K	-5.8M	-26.4K	0.39	102.89	N/A	N/A	439	172	1,709	655
2017-02-10	$76.60	$77.00	8.0%	2.3%	6.7%	8.6%	8.8%	2.3%	0.5%	1.0M	-6.2M	-27.1K	0.39	99.48	N/A	N/A	441	170	1,743	660
2017-02-13	$77.03	$77.00	9.3%	2.7%	6.9%	14.9%	7.6%	5.6%	-0.0%	841.5K	-7.4M	-25.0K	0.48	101.95	N/A	N/A	451	216	1,757	658
2017-02-14	$77.25	$77.00	8.1%	2.3%	6.7%	9.2%	8.6%	1.5%	1.3%	883.1K	-7.4M	-25.8K	0.57	98.17	N/A	N/A	390	223	1,772	659
2017-02-15	$77.67	$77.00	9.0%	2.6%	6.8%	13.7%	8.5%	0.7%	0.5%	799.7K	-8.2M	-25.6K	0.57	99.28	N/A	N/A	406	230	1,790	672
2017-02-16	$77.67	$77.00	8.6%	2.5%	6.5%	11.8%	8.7%	2.6%	0.2%	815.0K	-8.5M	-25.2K	0.58	103.48	N/A	N/A	392	229	1,799	684
2017-02-17	$77.75	$77.00	8.2%	2.4%	6.5%	10.0%	8.5%	2.0%	0.3%	541.1K	-8.4M	-25.9K	0.56	99.73	N/A	N/A	400	223	1,815	686
2017-02-21	$78.31	$77.00	7.8%	2.2%	6.6%	8.1%	8.4%	0.7%	1.2%	580.3K	-7.7M	-24.8K	0.51	102.98	N/A	N/A	393	199	1,637	622
2017-02-22	$78.16	$77.00	8.4%	2.4%	6.6%	10.8%	8.9%	3.0%	0.7%	476.4K	-7.9M	-23.9K	0.48	107.70	N/A	N/A	415	200	1,642	645
2017-02-23	$78.40	$77.00	8.4%	2.4%	6.2%	10.8%	9.3%	2.9%	1.1%	500.3K	-8.2M	-23.7K	0.53	96.49	N/A	N/A	523	276	1,644	652
2017-02-24	$78.52	$77.00	7.4%	2.1%	6.1%	5.8%	10.3%	2.7%	0.8%	516.9K	-8.9M	-22.8K	0.41	110.78	N/A	N/A	534	218	1,671	733
2017-02-27	$78.60	$77.00	6.0%	1.7%	6.0%	0.0%	6.9%	0.5%	1.2%	449.7K	-8.5M	-24.3K	0.42	108.57	N/A	N/A	508	213	1,672	741
2017-02-28	$78.40	$77.00	11.5%	3.3%	5.5%	25.9%	11.5%	6.2%	-3.3%	443.6K	-8.1M	-25.9K	0.45	105.72	N/A	N/A	492	220	1,687	753