VYM Options History — May 2017

In May 2017, VYM traded between $76.53 and $77.93. ATM implied volatility averaged 8.2%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 1.5% (HV 20d: 6.7%). Max pain ranged from $76.00 to $78.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.10.

Notable Days

  • 2017-05-09: Highest Volume — 914 contracts
  • 2017-05-02: Largest IV spike — 29.4% change
  • 2017-05-03: Highest IV Rank — 26.5%
  • 2017-05-03: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.43$76.53$77.93$77.62$77.91
Max Pain$77.14$76.00$78.00$76.00$77.00
ATM IV8.2%6.4%9.8%6.4%7.6%
Expected Move2.4%1.8%2.8%1.8%2.2%
HV 20d6.7%6.3%7.8%6.5%6.5%
HV 60d6.9%6.6%7.3%7.1%6.6%
IV Rank14.9%2.2%26.5%2.2%10.7%
IV Percentile24.6%2.0%59.1%2.0%10.3%
Term Structure0.3%-1.3%1.5%1.5%0.5%
VWIV9.2%7.5%12.2%7.8%8.7%
Skew 25d3.7%2.0%5.5%3.8%4.3%
Skew 10d7.3%4.5%12.0%5.9%5.6%
Call IV 25d6.7%4.7%8.6%5.8%5.5%
Put IV 25d10.3%8.8%14.1%9.6%9.8%
Bid-Ask Spread %63.7429.56106.8996.0442.30
Gamma HHI0.230.150.400.220.20
Net GEX797.1K484.7K1.3M719.6K694.9K
Net DEX-4.5M-5.4M-2.8M-4.6M-5.1M
Net VEX-23.9K-26.5K-22.3K-23.6K-23.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.811.880.970.97
Total Volume710.636518914661518
Total OI2,464.6822,2132,7182,2132,467

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$77.62$76.006.4%1.8%6.5%2.2%7.8%3.8%1.5%719.6K-4.6M-23.6K0.9796.04N/AN/A3353261,507706
2017-05-02$77.41$76.008.2%2.4%6.3%15.3%7.5%3.1%0.4%772.2K-4.6M-23.7K0.9171.51N/AN/A3713371,551712
2017-05-03$77.49$76.009.8%2.8%6.3%26.5%9.8%3.9%-0.3%732.0K-4.7M-26.5K0.88106.89N/AN/A3853371,597722
2017-05-04$77.42$78.008.7%2.6%6.3%18.5%9.8%2.0%0.6%774.1K-4.6M-24.4K1.2182.65N/AN/A3494241,615722
2017-05-05$77.72$78.008.5%2.3%6.4%16.8%12.2%4.4%-0.9%754.3K-5.2M-26.2K1.1993.82N/AN/A3494151,639833
2017-05-08$77.61$78.006.8%2.2%6.4%5.2%9.7%2.9%0.1%899.4K-5.1M-25.0K1.3563.02N/AN/A3484711,646834
2017-05-09$77.36$78.007.5%2.6%6.6%10.3%9.4%2.6%-0.0%929.0K-5.0M-24.9K1.0573.26N/AN/A4454691,688776
2017-05-10$77.55$78.007.4%2.1%6.6%9.2%9.6%3.0%0.8%1.1M-5.3M-25.1K1.0765.28N/AN/A4384691,789790
2017-05-11$77.29$78.008.3%2.4%6.6%15.9%9.7%3.2%0.8%1.0M-4.7M-24.7K1.3049.59N/AN/A3604671,792790
2017-05-12$77.05$77.008.5%2.4%6.5%17.2%9.2%3.1%1.2%979.1K-4.4M-23.9K1.2763.06N/AN/A3744761,793790
2017-05-15$77.48$77.009.0%2.6%6.7%20.3%9.4%2.9%-0.6%1.1M-5.4M-23.7K1.2573.46N/AN/A3794751,792796
2017-05-16$77.49$77.008.1%2.3%6.6%14.5%9.3%3.2%0.6%1.3M-5.3M-22.4K1.8842.51N/AN/A2584851,796796
2017-05-17$76.53$77.009.6%2.7%7.8%24.7%11.0%4.5%0.1%738.8K-3.6M-23.1K1.3375.86N/AN/A3534701,783810
2017-05-18$76.56$77.009.8%2.8%7.3%26.0%11.3%5.5%-0.0%599.1K-2.8M-24.0K1.0771.14N/AN/A3513771,780917
2017-05-19$76.91$77.009.8%2.8%7.4%26.3%10.7%4.7%-1.3%628.5K-3.1M-23.7K1.0452.15N/AN/A3623781,779939
2017-05-22$77.33$77.008.9%2.5%6.8%19.6%9.0%3.9%0.2%484.7K-3.4M-22.5K0.9865.41N/AN/A2672621,487790
2017-05-23$77.48$77.008.5%2.4%6.5%16.7%8.2%3.5%-0.5%542.2K-3.8M-22.3K0.9239.54N/AN/A2812591,519803
2017-05-24$77.59$77.007.2%2.1%6.5%8.3%7.5%3.7%1.1%610.8K-4.0M-22.4K0.8160.04N/AN/A3212601,559813
2017-05-25$77.93$77.007.0%2.0%6.7%6.6%7.7%3.9%0.9%698.7K-4.9M-23.3K0.9037.78N/AN/A2842561,602812
2017-05-26$77.86$77.007.0%2.0%6.6%6.6%7.5%4.2%0.5%729.5K-5.0M-23.7K0.9247.36N/AN/A2842611,626813
2017-05-30$77.89$77.007.6%2.2%6.6%10.7%8.2%4.3%0.1%717.7K-5.0M-23.2K0.8829.56N/AN/A2912571,630822
2017-05-31$77.91$77.007.6%2.2%6.5%10.7%8.7%4.3%0.5%694.9K-5.1M-23.6K0.9742.30N/AN/A2632551,638829