VYM Options History — April 2017

In April 2017, VYM traded between $76.54 and $78.08. ATM implied volatility averaged 9.4%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 3.2% (HV 20d: 6.2%). 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 12 of 19 days. Put/call ratio averaged 0.55.

Notable Days

2017-04-19: Highest Volume — 1,562 contracts
2017-04-05: Largest IV spike — 34.8% change
2017-04-17: Highest IV Rank — 40.9%
2017-04-17: Largest Expected Move — 3.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$77.32	$76.54	$78.08	$77.45	$77.56
Max Pain	$76.79	$76.00	$77.00	$77.00	$76.00
ATM IV	9.4%	6.1%	11.9%	8.9%	6.1%
Expected Move	2.8%	1.8%	3.4%	2.6%	1.8%
HV 20d	6.2%	4.7%	7.1%	7.1%	6.5%
HV 60d	7.0%	6.9%	7.3%	7.1%	7.1%
IV Rank	23.4%	0.6%	40.9%	20.2%	0.6%
IV Percentile	42.8%	0.4%	82.5%	32.5%	0.4%
Term Structure	0.2%	-1.5%	3.0%	0.5%	3.0%
VWIV	11.1%	7.6%	15.6%	9.0%	8.1%
Skew 25d	4.1%	2.1%	7.2%	3.1%	2.2%
Skew 10d	7.7%	1.1%	11.8%	2.4%	1.1%
Call IV 25d	7.8%	4.2%	10.2%	5.9%	6.6%
Put IV 25d	11.9%	8.8%	16.4%	9.0%	8.8%
Bid-Ask Spread %	93.30	81.51	103.79	99.09	90.05
Gamma HHI	0.21	0.14	0.27	0.23	0.21
Net GEX	619.8K	392.5K	722.4K	620.6K	712.8K
Net DEX	-5.3M	-6.9M	-3.9M	-4.5M	-5.2M
Net VEX	-23.9K	-25.7K	-21.8K	-25.7K	-24.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.37	0.99	0.37	0.98
Total Volume	1,239.105	644	1,562	1,348	644
Total OI	2,727.316	1,946	3,353	2,581	2,196

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
2017-04-03	$77.45	$77.00	8.9%	2.6%	7.1%	20.2%	9.0%	3.1%	0.5%	620.6K	-4.5M	-25.7K	0.37	99.09	N/A	N/A	981	367	1,622	959
2017-04-04	$77.57	$77.00	7.1%	2.0%	7.0%	7.3%	7.8%	4.0%	1.3%	700.5K	-4.1M	-24.5K	0.38	95.79	N/A	N/A	973	367	1,634	966
2017-04-05	$77.45	$77.00	9.6%	2.7%	7.0%	24.5%	15.6%	3.4%	-0.9%	658.1K	-4.5M	-25.0K	0.38	99.49	N/A	N/A	1,016	388	1,636	968
2017-04-06	$77.45	$77.00	8.7%	2.8%	7.0%	18.5%	10.5%	3.6%	0.8%	687.9K	-4.3M	-25.6K	0.39	89.92	N/A	N/A	1,016	399	1,691	978
2017-04-07	$77.43	$77.00	9.3%	3.0%	6.8%	22.7%	11.2%	3.8%	0.4%	676.4K	-4.4M	-25.2K	0.39	90.68	N/A	N/A	1,016	399	1,691	988
2017-04-10	$77.41	$77.00	8.4%	3.1%	6.8%	16.6%	12.2%	4.2%	0.1%	722.4K	-4.3M	-24.2K	0.38	86.07	N/A	N/A	1,041	394	1,691	1,000
2017-04-11	$77.26	$77.00	9.8%	3.4%	6.8%	26.2%	12.7%	3.9%	-0.3%	639.2K	-4.0M	-23.9K	0.38	91.03	N/A	N/A	1,041	399	1,719	1,002
2017-04-12	$77.10	$77.00	11.9%	3.4%	5.5%	40.7%	11.7%	4.1%	-0.8%	643.9K	-6.9M	-24.2K	0.37	89.72	N/A	N/A	1,038	389	2,115	1,011
2017-04-13	$76.70	$77.00	11.2%	3.2%	5.6%	35.9%	14.0%	4.9%	-0.6%	552.1K	-6.3M	-23.5K	0.44	86.23	N/A	N/A	1,043	457	2,117	996
2017-04-17	$76.65	$77.00	11.9%	3.4%	5.5%	40.9%	14.4%	4.6%	-0.8%	505.3K	-5.9M	-23.6K	0.44	99.31	N/A	N/A	1,042	458	2,125	1,066
2017-04-18	$76.94	$77.00	11.8%	3.4%	5.8%	40.1%	15.3%	5.1%	-1.5%	559.7K	-6.0M	-23.4K	0.49	81.51	N/A	N/A	1,035	507	2,131	1,150
2017-04-19	$76.54	$77.00	10.5%	3.0%	4.7%	30.7%	12.4%	4.0%	1.0%	514.8K	-6.4M	-23.5K	0.48	91.63	N/A	N/A	1,057	505	2,132	1,153
2017-04-20	$77.14	$77.00	11.2%	3.2%	5.3%	35.6%	11.8%	4.6%	-0.3%	686.6K	-6.6M	-23.2K	0.39	95.78	N/A	N/A	1,059	409	2,163	1,168
2017-04-21	$76.92	$77.00	10.4%	3.0%	5.3%	30.6%	13.1%	7.2%	0.2%	392.5K	-6.3M	-23.5K	0.38	96.44	N/A	N/A	1,067	409	2,166	1,187
2017-04-24	$77.67	$77.00	8.7%	2.5%	6.4%	18.3%	8.0%	3.6%	0.0%	480.7K	-3.9M	-21.8K	0.92	92.66	N/A	N/A	343	314	1,272	674
2017-04-25	$78.08	$76.00	7.8%	2.2%	6.6%	12.1%	7.7%	5.0%	0.3%	648.9K	-5.4M	-22.7K	0.91	103.79	N/A	N/A	344	314	1,436	680
2017-04-26	$77.95	$76.00	7.8%	2.2%	6.4%	11.9%	7.9%	5.2%	1.1%	670.6K	-5.5M	-23.1K	0.93	95.28	N/A	N/A	339	314	1,464	680
2017-04-27	$77.86	$76.00	7.6%	2.2%	6.4%	11.1%	7.6%	2.1%	0.7%	703.6K	-5.3M	-23.5K	0.99	98.27	N/A	N/A	331	328	1,505	687
2017-04-28	$77.56	$76.00	6.1%	1.8%	6.5%	0.6%	8.1%	2.2%	3.0%	712.8K	-5.2M	-24.2K	0.98	90.05	N/A	N/A	326	318	1,507	689