VYM Options History — September 2017

In September 2017, VYM traded between $78.94 and $81.39. ATM implied volatility averaged 6.6%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded below realized volatility by 0.4% (HV 20d: 7.0%). Max pain ranged from $76.00 to $78.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.70.

Notable Days

2017-09-19: Highest Volume — 941 contracts
2017-09-05: Largest IV spike — 136.2% change
2017-09-08: Highest IV Rank — 34.2%
2017-09-05: Largest Expected Move — 2.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$80.40	$78.94	$81.39	$79.53	$81.04
Max Pain	$77.60	$76.00	$78.00	$78.00	$78.00
ATM IV	6.6%	3.7%	9.4%	3.7%	6.5%
Expected Move	1.9%	1.1%	2.6%	1.1%	1.9%
HV 20d	7.0%	6.0%	8.3%	7.5%	6.1%
HV 60d	6.7%	6.1%	7.0%	6.5%	6.1%
IV Rank	17.3%	0.0%	34.2%	0.0%	17.0%
IV Percentile	14.5%	0.0%	61.5%	0.0%	11.9%
Term Structure	2.1%	1.1%	4.2%	4.2%	1.1%
VWIV	7.5%	3.8%	13.7%	5.3%	4.6%
Skew 25d	4.9%	3.4%	6.3%	4.5%	3.9%
Skew 10d	8.2%	5.1%	11.7%	5.1%	5.8%
Call IV 25d	4.7%	2.7%	7.2%	3.6%	4.1%
Put IV 25d	9.5%	7.5%	12.9%	8.1%	8.0%
Bid-Ask Spread %	39.48	29.15	64.75	34.51	36.72
Gamma HHI	0.37	0.25	0.56	0.49	0.31
Net GEX	1.1M	550.5K	1.9M	1.6M	728.3K
Net DEX	-7.1M	-10.3M	-5.1M	-7.2M	-6.1M
Net VEX	-22.6K	-25.6K	-16.9K	-25.6K	-21.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.39	0.97	0.52	0.97
Total Volume	689.1	557	941	655	789
Total OI	2,384.55	2,028	2,716	2,595	2,089

Daily Data (20 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
2017-09-01	$79.53	$78.00	3.7%	1.1%	7.5%	0.0%	5.3%	4.5%	4.2%	1.6M	-7.2M	-25.6K	0.52	34.51	N/A	N/A	432	223	1,992	603
2017-09-05	$78.94	$76.00	8.7%	2.6%	8.0%	30.2%	13.7%	5.8%	1.9%	1.6M	-5.1M	-24.5K	0.62	38.24	N/A	N/A	386	239	2,000	599
2017-09-06	$79.22	$76.00	6.9%	2.5%	8.1%	18.9%	11.4%	6.3%	1.8%	1.9M	-6.5M	-25.3K	0.61	37.51	N/A	N/A	399	245	2,010	607
2017-09-07	$79.25	$77.00	8.3%	2.4%	8.1%	27.3%	11.3%	5.0%	2.1%	1.8M	-6.2M	-24.3K	0.63	34.89	N/A	N/A	399	250	2,013	646
2017-09-08	$79.25	$77.00	9.4%	2.5%	7.5%	34.2%	10.9%	5.4%	2.1%	1.7M	-6.2M	-24.8K	0.68	44.16	N/A	N/A	389	265	2,016	654
2017-09-11	$80.08	$78.00	6.6%	2.1%	8.3%	17.5%	9.7%	4.0%	2.1%	1.5M	-8.7M	-23.7K	0.94	38.82	N/A	N/A	329	310	2,015	663
2017-09-12	$80.40	$77.00	8.0%	2.1%	8.0%	25.6%	9.2%	4.2%	2.6%	1.2M	-9.6M	-22.9K	0.86	29.15	N/A	N/A	344	295	2,032	648
2017-09-13	$80.50	$77.00	7.1%	2.0%	8.0%	20.3%	8.6%	3.6%	2.9%	1.3M	-9.1M	-23.2K	0.78	44.54	N/A	N/A	338	262	2,029	653
2017-09-14	$80.68	$78.00	5.3%	1.5%	8.0%	9.8%	7.2%	6.3%	3.4%	1.0M	-10.2M	-22.8K	0.78	64.75	N/A	N/A	349	271	2,028	662
2017-09-15	$80.90	$78.00	5.9%	1.7%	6.1%	13.4%	7.4%	4.8%	3.4%	903.3K	-10.3M	-22.3K	0.80	37.97	N/A	N/A	330	265	2,029	687
2017-09-18	$81.20	$78.00	6.2%	1.8%	6.0%	15.1%	7.0%	6.3%	1.7%	914.0K	-7.2M	-21.9K	0.79	49.24	N/A	N/A	311	246	1,573	622
2017-09-19	$81.39	$78.00	5.5%	1.6%	6.0%	10.9%	3.8%	6.1%	2.1%	772.8K	-8.7M	-16.9K	0.39	31.35	N/A	N/A	679	262	1,586	620
2017-09-20	$80.82	$78.00	5.7%	1.6%	6.4%	12.1%	5.2%	3.4%	1.8%	819.7K	-6.1M	-20.0K	0.54	59.88	N/A	N/A	492	266	1,394	634
2017-09-21	$80.60	$78.00	6.1%	1.7%	6.4%	14.4%	6.5%	6.1%	1.2%	715.8K	-5.7M	-22.6K	0.53	32.48	N/A	N/A	506	268	1,421	668
2017-09-22	$80.78	$78.00	6.0%	1.7%	6.4%	14.1%	6.8%	5.1%	1.6%	726.6K	-5.7M	-22.6K	0.51	31.54	N/A	N/A	514	264	1,436	674
2017-09-25	$80.91	$78.00	6.3%	1.8%	6.3%	15.7%	5.0%	3.9%	1.9%	731.7K	-6.1M	-22.2K	0.66	40.86	N/A	N/A	399	263	1,447	685
2017-09-26	$80.79	$78.00	6.5%	1.9%	6.3%	16.9%	5.7%	4.7%	1.3%	550.5K	-5.3M	-21.5K	0.64	33.73	N/A	N/A	406	259	1,356	716
2017-09-27	$80.81	$78.00	6.2%	1.8%	6.3%	15.2%	5.2%	4.1%	1.2%	556.2K	-5.2M	-21.4K	0.88	37.55	N/A	N/A	406	359	1,377	741
2017-09-28	$80.97	$78.00	6.4%	1.8%	6.3%	16.3%	4.7%	3.6%	1.2%	694.8K	-6.0M	-21.6K	0.87	31.82	N/A	N/A	414	359	1,381	685
2017-09-29	$81.04	$78.00	6.5%	1.9%	6.1%	17.0%	4.6%	3.9%	1.1%	728.3K	-6.1M	-21.6K	0.97	36.72	N/A	N/A	400	389	1,404	685