VYM Options History — December 2017

In December 2017, VYM traded between $84.78 and $86.48. ATM implied volatility averaged 6.6%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 0.0% (HV 20d: 6.6%). Max pain ranged from $78.00 to $83.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.47.

Notable Days

  • 2017-12-27: Highest Volume — 1,216 contracts
  • 2017-12-18: Largest IV spike — 57.5% change
  • 2017-12-01: Highest IV Rank — 62.2%
  • 2017-12-01: Largest Expected Move — 2.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.59$84.78$86.48$84.98$85.70
Max Pain$78.25$78.00$83.00$83.00$78.00
ATM IV6.6%4.5%9.4%9.4%6.5%
Expected Move1.9%1.3%2.7%2.7%1.9%
HV 20d6.6%5.7%7.3%6.3%5.7%
HV 60d5.3%5.1%5.5%5.4%5.5%
IV Rank33.1%8.8%62.2%62.2%34.4%
IV Percentile25.8%0.4%82.5%82.5%22.2%
Term Structure1.7%-0.2%3.3%-0.2%0.6%
VWIV9.6%6.9%12.7%11.6%9.1%
Skew 25d3.3%1.6%5.3%3.3%5.3%
Skew 10d6.6%4.2%9.1%7.7%6.1%
Call IV 25d5.8%3.2%7.9%7.9%3.5%
Put IV 25d9.0%7.1%11.4%11.2%8.8%
Bid-Ask Spread %48.3123.1888.5185.3376.72
Gamma HHI0.160.110.300.180.13
Net GEX530.4K308.3K720.4K585.5K542.7K
Net DEX-9.3M-10.2M-8.5M-8.5M-9.5M
Net VEX-22.6K-26.8K-18.4K-23.2K-26.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.240.740.460.29
Total Volume935.457571,2167721,124
Total OI2,111.951,9092,3132,0072,313

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$84.98$83.009.4%2.7%6.3%62.2%11.6%3.3%-0.2%585.5K-8.5M-23.2K0.4685.33N/AN/A5282441,494513
2017-12-04$85.24$78.008.6%2.3%6.3%53.4%12.7%4.7%1.6%559.8K-9.1M-22.3K0.5143.51N/AN/A5222641,503525
2017-12-05$84.84$78.007.4%2.3%6.6%40.3%11.5%4.6%2.0%664.9K-8.6M-22.2K0.5742.50N/AN/A5223001,501500
2017-12-06$84.78$78.007.6%2.2%6.7%42.6%11.3%3.7%2.0%636.7K-8.6M-22.6K0.6443.84N/AN/A4703031,502543
2017-12-07$84.84$78.007.0%2.1%6.7%36.6%10.1%3.2%2.2%663.2K-8.6M-22.4K0.6537.77N/AN/A4673041,501546
2017-12-08$85.28$78.008.6%2.0%6.6%54.2%9.7%3.3%1.9%630.8K-9.4M-20.4K0.6036.19N/AN/A5043041,508547
2017-12-11$85.61$78.004.5%1.4%6.6%8.8%8.4%2.8%2.9%517.9K-9.8M-20.4K0.5752.65N/AN/A5202951,537547
2017-12-12$85.82$78.004.7%1.7%6.6%10.9%10.0%2.8%2.8%496.5K-9.9M-20.4K0.7245.43N/AN/A4803441,544549
2017-12-13$85.89$78.005.5%1.6%6.5%20.2%10.5%2.6%2.4%406.1K-10.2M-19.6K0.7488.51N/AN/A4733521,547568
2017-12-14$85.42$78.006.6%1.9%6.5%35.7%9.0%2.7%2.3%533.4K-9.7M-20.3K0.6856.50N/AN/A4503071,551572
2017-12-15$86.03$78.004.5%1.3%6.5%9.4%9.6%2.6%3.3%720.4K-10.1M-20.1K0.6347.81N/AN/A4883071,542577
2017-12-18$86.48$78.007.0%2.0%6.4%40.7%10.5%2.9%1.2%308.3K-9.0M-18.4K0.5356.53N/AN/A5052691,373536
2017-12-19$86.26$78.006.6%1.9%6.6%35.7%10.3%2.8%1.3%397.2K-8.8M-21.5K0.3429.48N/AN/A6392191,445553
2017-12-20$86.19$78.005.7%1.6%6.6%24.2%6.9%1.6%1.8%432.4K-9.4M-22.5K0.2468.16N/AN/A9702331,582563
2017-12-21$85.63$78.006.2%1.8%7.2%30.2%9.3%3.0%1.3%491.4K-9.0M-26.8K0.2447.76N/AN/A9702351,617579
2017-12-22$85.64$78.006.4%1.8%7.3%33.3%8.2%2.9%1.1%504.1K-9.1M-26.1K0.2428.16N/AN/A9812321,641580
2017-12-26$85.60$78.006.2%1.8%7.3%30.2%7.3%2.5%1.3%484.1K-9.1M-25.4K0.2530.14N/AN/A9742411,651581
2017-12-27$85.73$78.006.3%1.8%6.2%31.2%8.8%3.6%1.1%526.4K-9.2M-26.3K0.2526.04N/AN/A9762401,661591
2017-12-28$85.86$78.006.0%1.7%6.0%28.6%7.7%4.8%1.6%505.1K-9.3M-25.5K0.2623.18N/AN/A9122411,664592
2017-12-29$85.70$78.006.5%1.9%5.7%34.4%9.1%5.3%0.6%542.7K-9.5M-26.5K0.2976.72N/AN/A8712531,720593