VYM Options History — October 2017

In October 2017, VYM traded between $81.50 and $83.15. ATM implied volatility averaged 6.6%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 2.0% (HV 20d: 4.5%). Max pain ranged from $78.00 to $82.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2017-10-11: Highest Volume — 964 contracts
  • 2017-10-03: Largest IV drop — 28.6% change
  • 2017-10-30: Highest IV Rank — 24.5%
  • 2017-10-30: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.41$81.50$83.15$81.50$82.48
Max Pain$81.27$78.00$82.00$78.00$82.00
ATM IV6.6%4.5%7.8%6.3%7.8%
Expected Move1.9%1.3%2.2%1.8%2.2%
HV 20d4.5%3.3%6.3%6.3%4.5%
HV 60d6.0%5.9%6.2%6.2%6.2%
IV Rank17.2%4.8%24.5%15.6%24.3%
IV Percentile18.5%0.4%44.0%7.9%42.5%
Term Structure1.4%0.2%4.5%1.4%0.2%
VWIV7.0%5.0%8.5%5.0%6.7%
Skew 25d3.4%2.1%4.4%2.1%3.3%
Skew 10d6.4%4.3%8.5%4.3%6.5%
Call IV 25d5.4%3.4%6.9%4.8%5.9%
Put IV 25d8.8%6.9%10.9%6.9%9.3%
Bid-Ask Spread %67.0721.5094.3631.5392.28
Gamma HHI0.240.160.310.310.24
Net GEX704.8K424.6K935.9K788.5K741.6K
Net DEX-7.4M-9.3M-5.2M-6.8M-5.5M
Net VEX-22.5K-23.6K-20.9K-20.9K-22.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.520.940.940.90
Total Volume774.182491964774491
Total OI2,123.5911,5742,4382,1231,748

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$81.50$78.006.3%1.8%6.3%15.6%5.0%2.1%1.4%788.5K-6.8M-20.9K0.9431.53N/AN/A3993751,404719
2017-10-03$81.66$78.004.5%1.3%5.4%4.8%5.3%4.3%4.5%738.5K-7.1M-21.6K0.7726.85N/AN/A4983851,433749
2017-10-04$81.74$78.005.4%1.6%5.4%10.4%5.5%3.2%1.7%769.4K-7.1M-22.1K0.7721.50N/AN/A5013851,441758
2017-10-05$82.10$81.005.8%2.1%5.4%12.6%8.5%4.2%1.4%786.0K-7.8M-21.8K0.6922.91N/AN/A5243621,459758
2017-10-06$81.92$81.005.2%2.0%5.6%9.2%7.5%2.3%1.8%901.6K-7.9M-22.4K0.6524.43N/AN/A5583611,528756
2017-10-09$81.90$81.005.7%2.0%4.6%11.8%7.7%3.6%1.5%935.9K-8.1M-22.8K0.6424.75N/AN/A5703621,567761
2017-10-10$82.33$81.006.7%2.1%4.7%17.7%7.2%3.2%1.8%833.0K-8.7M-23.5K0.7027.53N/AN/A5583921,605787
2017-10-11$82.42$82.007.2%2.1%4.7%21.0%7.0%3.2%1.5%644.2K-8.7M-23.1K0.6944.10N/AN/A5713931,608817
2017-10-12$82.34$82.007.3%2.1%4.7%21.5%7.2%2.9%1.2%791.7K-8.7M-23.2K0.7284.44N/AN/A5433931,622816
2017-10-13$82.31$82.007.0%2.0%4.7%20.0%7.2%2.9%1.3%767.7K-8.6M-22.8K0.7887.61N/AN/A4723671,597811
2017-10-16$82.43$82.007.2%2.1%4.6%21.1%7.1%3.6%1.4%783.2K-8.6M-22.5K0.7188.48N/AN/A5183681,601811
2017-10-17$82.48$82.006.9%2.0%4.5%19.1%6.8%3.6%1.4%647.5K-7.7M-23.6K0.7289.67N/AN/A5233771,586813
2017-10-18$82.59$82.005.7%1.6%3.5%12.1%6.8%4.0%1.9%805.8K-8.6M-22.8K0.7289.95N/AN/A5343841,592813
2017-10-19$82.80$82.006.0%1.7%3.3%13.6%6.8%2.8%2.0%716.6K-8.7M-22.5K0.8591.21N/AN/A4463811,577817
2017-10-20$83.15$82.006.4%1.8%3.4%16.2%6.5%2.7%1.4%442.5K-9.3M-22.0K0.8592.88N/AN/A4503841,582826
2017-10-23$83.02$82.007.0%2.0%3.6%19.8%8.2%4.4%0.8%447.2K-5.8M-21.8K0.6686.85N/AN/A3142061,172402
2017-10-24$83.05$82.007.1%2.0%3.4%20.6%8.3%3.9%1.1%427.2K-5.7M-22.2K0.6690.40N/AN/A3142081,173435
2017-10-25$82.57$82.007.7%2.2%4.3%24.2%7.9%4.0%0.4%424.6K-5.2M-22.7K0.5283.81N/AN/A4042091,173435
2017-10-26$82.80$82.007.4%2.1%4.3%22.5%7.7%3.9%0.6%635.5K-5.9M-23.1K0.6887.17N/AN/A3102101,278434
2017-10-27$82.92$82.006.4%1.8%4.3%15.9%6.9%3.0%1.4%721.4K-6.3M-22.4K0.7692.79N/AN/A2902201,289435
2017-10-30$82.50$82.007.8%2.2%4.5%24.5%6.8%3.1%0.7%755.6K-5.5M-22.8K0.7794.36N/AN/A2952271,290441
2017-10-31$82.48$82.007.8%2.2%4.5%24.3%6.7%3.3%0.2%741.6K-5.5M-22.6K0.9092.28N/AN/A2582331,295453