VYM Options History — January 2018

In January 2018, VYM traded between $85.88 and $90.83. ATM implied volatility averaged 8.3%, placing in the 55.7% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 2.2% (HV 20d: 6.2%). Max pain ranged from $79.00 to $86.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2018-01-05: Highest Volume — 1,158 contracts
  • 2018-01-29: Largest IV spike — 31.0% change
  • 2018-01-30: Highest IV Rank — 100.0%
  • 2018-01-30: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.35$85.88$90.83$85.88$89.20
Max Pain$85.29$79.00$86.00$79.00$86.00
ATM IV8.3%6.0%12.6%6.0%11.5%
Expected Move2.5%1.7%3.6%1.7%3.3%
HV 20d6.2%5.4%9.1%5.7%9.1%
HV 60d5.9%5.4%7.1%5.4%7.1%
IV Rank55.7%28.5%100.0%28.5%88.2%
IV Percentile60.2%9.5%100.0%9.5%98.0%
Term Structure0.7%-0.9%1.6%1.1%0.1%
VWIV9.5%7.3%12.2%8.7%11.2%
Skew 25d2.8%1.6%4.5%3.7%3.7%
Skew 10d6.7%3.2%9.9%8.1%9.9%
Call IV 25d7.6%3.3%10.8%4.0%10.8%
Put IV 25d10.4%7.7%14.5%7.7%14.5%
Bid-Ask Spread %44.2625.8591.5927.8191.59
Gamma HHI0.160.120.210.130.13
Net GEX473.6K402.8K567.0K567.0K438.3K
Net DEX-9.6M-11.5M-7.5M-9.5M-7.5M
Net VEX-26.0K-31.7K-22.5K-26.0K-31.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.260.700.280.70
Total Volume1,013.3817411,1581,140741
Total OI2,211.3331,6632,3982,3462,262

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$85.88$79.006.0%1.7%5.7%28.5%8.7%3.7%1.1%567.0K-9.5M-26.0K0.2827.81N/AN/A8922481,745601
2018-01-03$86.21$79.006.7%1.9%5.8%36.6%7.5%4.5%0.6%525.2K-9.7M-26.5K0.2745.42N/AN/A8952461,727601
2018-01-04$86.59$86.006.0%2.0%5.6%28.6%7.3%3.2%1.0%541.6K-10.2M-26.4K0.2836.24N/AN/A8942511,727608
2018-01-05$86.97$86.006.2%2.2%5.6%30.9%8.5%2.2%1.3%547.5K-10.6M-26.5K0.2830.39N/AN/A9082501,761614
2018-01-08$87.13$86.006.1%2.2%5.6%29.3%8.4%2.8%1.5%497.0K-10.8M-25.5K0.2834.24N/AN/A8042281,756622
2018-01-09$87.25$86.007.2%2.3%5.5%42.4%8.1%2.2%1.1%461.3K-9.9M-26.3K0.3430.76N/AN/A7962731,644635
2018-01-10$87.12$86.007.6%2.2%5.4%47.5%8.4%2.2%1.6%517.6K-9.8M-25.9K0.3625.85N/AN/A8523061,670609
2018-01-11$87.67$86.007.5%2.2%5.7%46.5%8.9%2.0%1.3%527.0K-10.4M-24.6K0.3629.01N/AN/A8433051,672642
2018-01-12$88.17$85.008.3%2.4%6.0%55.8%10.1%2.7%1.1%479.3K-10.9M-24.8K0.4069.20N/AN/A7813101,684642
2018-01-16$87.99$86.008.8%2.5%5.6%62.7%10.7%4.1%0.4%474.7K-10.7M-24.7K0.4159.12N/AN/A7653161,696643
2018-01-17$88.85$86.008.7%2.5%6.0%60.3%11.1%2.0%0.1%435.9K-11.5M-23.7K0.4237.37N/AN/A7563211,707691
2018-01-18$88.59$86.008.2%2.4%6.0%55.3%10.8%3.1%0.5%410.3K-11.1M-24.1K0.4143.51N/AN/A7733201,702696
2018-01-19$88.86$86.008.1%2.3%5.9%53.6%8.5%1.8%1.6%419.8K-11.4M-23.4K0.3732.63N/AN/A7792921,707691
2018-01-22$89.63$86.008.1%2.3%6.3%53.6%9.1%2.8%0.6%402.8K-7.8M-22.5K0.2841.15N/AN/A5941641,261402
2018-01-23$89.56$86.008.1%2.3%5.6%53.6%9.4%2.8%0.6%455.6K-8.1M-22.8K0.2627.71N/AN/A6331671,342410
2018-01-24$89.53$86.009.0%2.6%5.6%64.1%9.5%2.1%0.3%455.6K-7.9M-24.7K0.2740.59N/AN/A8282221,369427
2018-01-25$89.58$86.009.3%2.7%5.6%68.7%9.2%2.3%0.4%489.3K-8.3M-28.3K0.4959.10N/AN/A6613221,516499
2018-01-26$90.83$86.009.0%2.6%6.9%64.5%10.2%1.6%1.2%433.9K-9.2M-28.1K0.4564.85N/AN/A5942661,533584
2018-01-29$90.44$86.0011.8%3.4%7.4%98.4%11.2%3.6%-0.9%447.3K-8.8M-28.8K0.5755.44N/AN/A5393061,543582
2018-01-30$89.31$86.0012.6%3.6%9.0%100.0%12.2%4.0%-0.3%419.4K-7.7M-31.7K0.5947.54N/AN/A5273131,589626
2018-01-31$89.20$86.0011.5%3.3%9.1%88.2%11.2%3.7%0.1%438.3K-7.5M-31.0K0.7091.59N/AN/A4353061,598664