VYM Options History — March 2017

In March 2017, VYM traded between $77.22 and $79.53. ATM implied volatility averaged 8.7%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 1.0% (HV 20d: 7.8%). Max pain ranged from $73.00 to $77.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.80.

Notable Days

  • 2017-03-21: Highest Volume — 1,507 contracts
  • 2017-03-02: Largest IV spike — 40.8% change
  • 2017-03-21: Highest IV Rank — 32.5%
  • 2017-03-21: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.33$77.22$79.53$79.53$77.82
Max Pain$74.83$73.00$77.00$77.00$77.00
ATM IV8.7%6.7%10.7%6.7%7.4%
Expected Move2.5%1.9%3.1%1.9%2.1%
HV 20d7.8%7.0%9.0%7.0%7.0%
HV 60d7.3%6.9%7.7%7.6%7.1%
IV Rank18.7%4.1%32.5%4.1%9.4%
IV Percentile30.4%2.4%67.1%2.4%6.3%
Term Structure1.7%-0.5%8.4%2.3%2.0%
VWIV10.5%6.7%13.2%9.8%6.7%
Skew 25d3.2%0.1%4.9%2.6%4.2%
Skew 10d6.2%-0.3%9.7%-0.3%6.2%
Call IV 25d7.9%5.0%9.8%7.4%5.0%
Put IV 25d11.1%9.1%13.8%10.1%9.1%
Bid-Ask Spread %95.0985.92107.98107.9895.40
Gamma HHI0.230.180.270.210.25
Net GEX552.7K386.7K775.9K386.7K683.6K
Net DEX-7.7M-10.6M-3.4M-9.4M-4.9M
Net VEX-25.7K-27.9K-23.0K-23.0K-25.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.321.681.100.37
Total Volume9435461,5075501,347
Total OI2,636.7832,4362,9242,4472,576

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$79.53$77.006.7%1.9%7.0%4.1%9.8%2.6%2.3%386.7K-9.4M-23.0K1.10107.98N/AN/A2622881,686761
2017-03-02$79.02$77.009.4%2.7%7.3%22.6%9.7%1.9%0.1%416.1K-9.4M-24.3K1.04107.94N/AN/A2772891,726800
2017-03-03$78.97$77.009.6%2.7%7.4%24.0%9.3%0.1%-0.5%414.6K-9.2M-24.9K1.09106.09N/AN/A2642891,740805
2017-03-06$78.90$73.0010.1%2.5%7.1%27.7%9.7%4.2%2.0%442.4K-9.1M-25.0K0.9885.92N/AN/A3012951,760811
2017-03-07$78.52$73.0010.3%2.9%7.3%28.8%11.0%4.0%8.4%402.7K-9.5M-26.6K0.7394.26N/AN/A3672671,876821
2017-03-08$78.32$73.008.9%2.7%7.4%19.4%10.0%3.8%1.8%560.0K-9.5M-25.5K0.7387.05N/AN/A3672681,896832
2017-03-09$78.41$73.006.8%2.8%7.4%5.1%10.3%3.5%1.5%598.1K-9.2M-26.3K0.7386.52N/AN/A3672671,896828
2017-03-10$78.66$73.008.7%2.5%7.3%18.2%10.8%3.2%2.2%568.2K-9.5M-26.1K0.9686.71N/AN/A2792671,896833
2017-03-13$78.66$73.007.8%2.5%7.3%11.9%12.2%4.0%2.2%639.6K-9.8M-24.9K1.0290.27N/AN/A3193261,905833
2017-03-14$78.40$73.0010.5%2.8%7.3%30.9%12.7%2.9%1.4%683.4K-9.5M-26.2K1.0989.13N/AN/A3473781,987781
2017-03-15$79.19$73.007.3%2.1%7.9%8.9%13.1%4.9%1.7%492.0K-10.3M-25.0K1.14105.35N/AN/A3323791,998843
2017-03-16$78.92$73.007.9%2.3%7.9%13.1%10.3%3.4%3.0%569.6K-10.6M-25.1K1.5894.18N/AN/A2784392,007843
2017-03-17$79.03$73.007.6%2.2%7.9%10.7%11.5%3.0%3.0%615.9K-10.6M-26.0K1.6894.36N/AN/A2664482,021903
2017-03-20$78.82$73.007.7%2.2%8.0%11.6%10.0%3.4%0.6%584.2K-9.4M-25.7K1.2095.59N/AN/A3464141,925771
2017-03-21$77.95$73.0010.7%3.1%8.7%32.5%13.2%2.5%0.1%775.9K-8.6M-27.9K0.36101.08N/AN/A1,1093982,041839
2017-03-22$77.49$76.009.5%2.7%8.9%24.3%10.2%2.4%1.3%535.5K-4.1M-26.5K0.3593.21N/AN/A1,1093931,537899
2017-03-23$77.32$76.0010.3%2.9%8.8%29.6%12.5%3.5%0.8%512.3K-4.3M-27.0K0.3790.87N/AN/A1,0954011,539914
2017-03-24$77.29$77.0010.1%2.9%8.8%28.4%11.2%3.1%1.4%467.5K-4.3M-26.9K0.3293.08N/AN/A1,1143571,533919
2017-03-27$77.22$77.0010.1%2.9%8.7%27.9%10.0%3.4%1.1%503.1K-3.4M-25.1K0.3697.62N/AN/A9813561,550924
2017-03-28$77.64$77.008.1%2.3%9.0%14.6%8.6%2.7%1.9%588.8K-4.1M-25.6K0.3792.93N/AN/A9793601,569935
2017-03-29$77.61$77.008.3%2.4%7.1%15.5%11.9%1.9%1.3%601.5K-4.3M-25.6K0.3694.44N/AN/A9933621,579945
2017-03-30$77.86$77.007.6%2.2%7.0%10.9%7.4%4.1%0.7%670.6K-4.7M-25.9K0.3797.17N/AN/A9873621,612951
2017-03-31$77.82$77.007.4%2.1%7.0%9.4%6.7%4.2%2.0%683.6K-4.9M-25.9K0.3795.40N/AN/A9843631,621955