VYM Options History — March 2018

In March 2018, VYM traded between $81.08 and $86.82. ATM implied volatility averaged 14.9%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 2.1% (HV 20d: 17.0%). Max pain ranged from $83.00 to $86.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2018-03-23: Highest Volume — 1,154 contracts
  • 2018-03-09: Largest IV drop — 35.7% change
  • 2018-03-27: Highest IV Rank — 57.2%
  • 2018-03-27: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.42$81.08$86.82$84.09$82.54
Max Pain$83.48$83.00$86.00$86.00$83.00
ATM IV14.9%9.4%20.0%19.1%16.0%
Expected Move4.1%2.9%5.7%5.5%4.6%
HV 20d17.0%14.0%23.6%23.4%17.3%
HV 60d15.9%15.0%17.6%15.0%17.6%
IV Rank39.4%20.0%57.2%54.1%43.3%
IV Percentile92.7%77.8%98.0%98.0%94.4%
Term Structure-0.0%-3.3%2.4%-2.9%-0.9%
VWIV18.4%13.4%24.4%18.9%18.6%
Skew 25d5.9%3.4%9.2%9.2%4.6%
Skew 10d11.6%7.0%15.7%10.2%12.6%
Call IV 25d12.5%9.5%17.4%16.0%14.1%
Put IV 25d18.5%13.3%25.3%25.3%18.7%
Bid-Ask Spread %56.1537.1178.0777.5361.32
Gamma HHI0.140.080.260.130.08
Net GEX219.6K88.3K407.6K135.2K180.3K
Net DEX-2.4M-5.9M1.4M-1.4M-953.4K
Net VEX-38.3K-40.7K-34.1K-40.7K-36.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.320.580.490.38
Total Volume980.5248731,154988892
Total OI3,386.6193,1963,5443,2673,435

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$84.09$86.0019.1%5.5%23.4%54.1%18.9%9.2%-2.9%135.2K-1.4M-40.7K0.4977.53N/AN/A6613271,9041,363
2018-03-02$84.48$86.0018.8%5.4%23.6%53.0%18.7%7.2%-3.3%133.2K-1.7M-40.6K0.4978.07N/AN/A6533211,9161,406
2018-03-05$85.39$83.0015.0%3.9%23.1%39.7%18.3%5.9%0.2%201.1K-3.3M-39.6K0.4943.42N/AN/A6793321,9191,429
2018-03-06$85.25$83.0014.7%3.8%18.7%38.7%17.0%6.9%0.4%210.4K-3.3M-40.0K0.4438.59N/AN/A6592931,9431,438
2018-03-07$85.22$83.0015.6%4.0%18.6%41.7%17.5%5.5%0.1%193.6K-3.1M-39.9K0.4957.50N/AN/A6593261,9591,440
2018-03-08$85.42$83.0014.6%3.7%18.6%38.4%18.3%4.9%0.2%217.5K-3.3M-39.6K0.4939.91N/AN/A6583211,9591,471
2018-03-09$86.82$83.009.4%2.9%14.8%20.0%15.2%3.4%2.3%378.9K-5.8M-38.2K0.4840.01N/AN/A6733211,9761,472
2018-03-12$86.76$83.0012.5%3.3%14.5%30.8%13.4%3.9%1.0%407.6K-5.9M-38.6K0.5143.73N/AN/A6493341,9981,476
2018-03-13$86.21$83.0016.2%3.5%14.4%44.0%16.6%5.7%0.5%312.8K-4.3M-38.9K0.5349.85N/AN/A6623501,9861,486
2018-03-14$85.57$83.0012.0%3.4%14.7%29.1%19.8%5.5%1.0%245.4K-3.3M-39.0K0.5137.11N/AN/A7023561,9691,471
2018-03-15$85.56$83.0010.8%3.1%14.4%24.9%17.1%4.8%2.4%287.3K-3.4M-38.3K0.5345.80N/AN/A6983692,0511,489
2018-03-16$85.93$83.0010.4%3.0%14.0%23.7%15.9%4.1%2.3%185.7K-4.1M-38.2K0.5854.27N/AN/A6833982,0531,491
2018-03-19$84.77$83.0012.2%3.5%14.6%29.8%17.6%5.2%0.2%277.8K-2.2M-36.3K0.5558.30N/AN/A6113351,9131,283
2018-03-20$84.76$84.0012.4%3.6%14.2%30.6%16.4%5.4%0.7%285.7K-2.9M-38.1K0.5137.62N/AN/A6123131,9611,312
2018-03-21$84.75$84.0012.2%3.5%14.0%29.9%16.6%5.6%1.5%305.6K-3.1M-38.9K0.5168.18N/AN/A6003081,9741,314
2018-03-22$82.66$84.0015.5%4.5%16.6%41.5%20.5%8.5%0.3%168.9K-133.8K-35.0K0.5470.22N/AN/A5843131,9771,311
2018-03-23$81.08$84.0019.0%5.4%16.5%53.7%21.8%6.5%-0.7%88.3K1.4M-34.1K0.3270.77N/AN/A8712831,9871,352
2018-03-26$82.45$83.0017.2%4.9%17.2%47.5%21.0%5.6%-1.2%126.7K-348.1K-37.0K0.3769.64N/AN/A7502811,9461,413
2018-03-27$81.46$83.0020.0%5.7%17.4%57.2%22.4%7.8%-2.4%124.0K397.2K-37.0K0.3873.54N/AN/A6382432,0241,424
2018-03-28$81.59$83.0019.6%5.6%17.0%55.7%24.4%8.2%-2.3%144.9K-206.6K-38.9K0.3863.68N/AN/A6332402,0141,414
2018-03-29$82.54$83.0016.0%4.6%17.3%43.3%18.6%4.6%-0.9%180.3K-953.4K-36.7K0.3861.32N/AN/A6472452,0201,415