VYM Options History — February 2018

In February 2018, VYM traded between $82.03 and $88.98. ATM implied volatility averaged 17.0%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 3.4% (HV 20d: 20.4%). Max pain ranged from $86.00 to $89.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.62.

Notable Days

  • 2018-02-16: Highest Volume — 1,046 contracts
  • 2018-02-05: Largest IV spike — 121.1% change
  • 2018-02-02: Highest IV Rank — 100.0%
  • 2018-02-08: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.21$82.03$88.98$88.98$85.11
Max Pain$86.74$86.00$89.00$89.00$86.00
ATM IV17.0%11.1%32.2%11.1%17.0%
Expected Move4.6%3.2%7.1%3.3%4.9%
HV 20d20.4%9.2%23.2%9.2%23.2%
HV 60d13.0%7.2%14.8%7.2%14.8%
IV Rank53.1%26.7%100.0%83.1%46.8%
IV Percentile97.3%91.3%100.0%96.0%97.6%
Term Structure-1.7%-4.4%0.2%0.0%-3.1%
VWIV17.0%12.8%25.7%12.8%18.1%
Skew 25d6.0%3.0%9.1%4.5%5.3%
Skew 10d10.1%6.6%12.7%8.5%9.7%
Call IV 25d13.9%9.9%21.1%9.9%13.5%
Put IV 25d19.8%13.9%29.2%14.3%18.8%
Bid-Ask Spread %72.1439.43128.3339.4380.32
Gamma HHI0.150.110.210.140.16
Net GEX219.8K105.2K444.2K444.2K191.6K
Net DEX-3.3M-7.3M-82.1K-7.3M-3.1M
Net VEX-37.9K-41.2K-31.1K-31.1K-40.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.450.880.710.45
Total Volume885.2117301,046739981
Total OI2,921.4212,2803,2412,2803,205

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$88.98$89.0011.1%3.3%9.2%83.1%12.8%4.5%0.0%444.2K-7.3M-31.1K0.7139.43N/AN/A4313081,604676
2018-02-02$87.19$89.0014.5%3.9%12.0%100.0%13.8%5.7%-1.0%371.7K-5.7M-32.1K0.7748.29N/AN/A4133171,611678
2018-02-05$84.00$89.0032.2%5.9%17.8%100.0%25.7%7.1%-2.9%235.0K-3.3M-36.0K0.80128.33N/AN/A4953981,619742
2018-02-06$84.53$89.0024.4%5.2%18.0%72.6%20.6%8.3%-2.2%203.9K-2.4M-37.5K0.8890.95N/AN/A4984361,678971
2018-02-07$84.75$87.0015.6%4.5%18.0%41.9%18.6%7.3%-1.7%180.7K-2.7M-37.6K0.8587.57N/AN/A4934201,7141,109
2018-02-08$82.03$87.0024.6%7.1%21.1%73.5%24.1%9.1%-4.4%105.2K-82.1K-37.1K0.6280.17N/AN/A5843611,7151,130
2018-02-09$82.94$86.0021.3%6.1%21.5%61.7%21.8%8.3%-2.1%127.8K-518.4K-38.3K0.5996.76N/AN/A5773411,7621,174
2018-02-12$83.86$86.0020.3%5.8%21.8%58.2%18.0%8.3%-4.2%135.5K-2.0M-38.6K0.60103.56N/AN/A5703411,8021,205
2018-02-13$84.22$86.0017.1%4.9%22.0%47.1%18.5%7.4%-1.9%142.0K-2.0M-38.3K0.5074.79N/AN/A5852901,8141,245
2018-02-14$84.97$86.0012.5%3.6%21.9%30.8%13.0%5.0%-0.2%187.3K-3.0M-37.7K0.5167.38N/AN/A5742931,8461,265
2018-02-15$85.85$86.0014.6%4.2%22.4%38.3%14.0%4.6%-1.7%267.3K-4.4M-37.8K0.4861.95N/AN/A6493121,8481,269
2018-02-16$86.26$86.0014.3%4.1%22.4%37.3%14.0%5.8%-1.0%267.6K-5.1M-38.6K0.7252.90N/AN/A6094371,9181,323
2018-02-20$85.37$86.0015.6%4.5%22.3%41.6%15.0%5.8%-1.6%160.7K-2.7M-39.2K0.6467.91N/AN/A4642951,6861,276
2018-02-21$84.76$86.0015.8%4.5%22.3%42.6%15.2%4.6%-0.9%176.2K-3.0M-41.2K0.6373.67N/AN/A4702971,7411,305
2018-02-22$84.76$86.0015.1%4.3%22.4%40.2%16.9%4.3%-1.8%135.0K-2.0M-39.1K0.5360.29N/AN/A5813071,7551,315
2018-02-23$86.07$86.0012.1%3.5%23.2%29.6%13.5%4.0%-1.0%234.7K-3.9M-39.6K0.5451.11N/AN/A5773101,8081,328
2018-02-26$87.04$86.0011.3%3.2%23.0%26.7%13.5%3.0%0.2%331.6K-5.5M-39.4K0.5340.22N/AN/A5903141,8301,343
2018-02-27$86.23$86.0014.4%4.1%23.2%37.4%16.2%5.4%-0.9%279.3K-4.3M-40.2K0.5165.12N/AN/A5983031,8481,349
2018-02-28$85.11$86.0017.0%4.9%23.2%46.8%18.1%5.3%-3.1%191.6K-3.1M-40.2K0.4580.32N/AN/A6753061,8471,358