VYM Options History — April 2018

In April 2018, VYM traded between $80.63 and $84.53. ATM implied volatility averaged 15.4%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 4.5% (HV 20d: 19.9%). Max pain ranged from $82.00 to $83.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2018-04-17: Highest Volume — 1,676 contracts
  • 2018-04-11: Largest IV drop — 18.4% change
  • 2018-04-02: Highest IV Rank — 61.4%
  • 2018-04-02: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.98$80.63$84.53$80.63$82.87
Max Pain$82.43$82.00$83.00$83.00$83.00
ATM IV15.4%10.4%21.2%21.2%13.2%
Expected Move4.3%3.0%6.1%6.1%3.8%
HV 20d19.9%15.5%21.9%18.9%15.5%
HV 60d19.2%18.2%19.5%18.2%19.5%
IV Rank41.2%23.4%61.4%61.4%33.5%
IV Percentile88.5%75.8%98.4%98.4%83.3%
Term Structure-0.4%-2.5%1.4%-2.5%-0.2%
VWIV16.0%9.8%23.9%23.9%14.1%
Skew 25d5.0%3.7%7.4%7.4%5.0%
Skew 10d9.8%7.7%12.9%11.0%8.6%
Call IV 25d12.8%9.5%18.0%18.0%11.4%
Put IV 25d17.7%13.2%25.4%25.4%16.3%
Bid-Ask Spread %52.3030.8678.5753.7955.81
Gamma HHI0.160.080.320.080.16
Net GEX538.2K104.4K1.1M104.4K791.0K
Net DEX-2.6M-6.7M1.3M1.3M-2.4M
Net VEX-35.4K-37.9K-31.8K-33.9K-36.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.250.550.390.38
Total Volume1,034.8578291,676891928
Total OI3,650.813,1414,3583,4783,726

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$80.63$83.0021.2%6.1%18.9%61.4%23.9%7.4%-2.5%104.4K1.3M-33.9K0.3953.79N/AN/A6402512,0631,415
2018-04-03$81.77$83.0018.9%5.4%19.2%53.2%20.6%5.2%-1.8%150.8K119.8K-35.6K0.4049.63N/AN/A6432552,1001,423
2018-04-04$82.86$83.0018.4%5.3%20.0%51.5%18.3%4.0%-2.3%252.3K-1.8M-37.0K0.5536.83N/AN/A6333502,1221,433
2018-04-05$83.33$82.0017.0%4.6%20.1%46.7%16.2%5.9%-0.0%325.2K-2.6M-36.8K0.5440.13N/AN/A6433482,1251,386
2018-04-06$81.59$82.0018.6%4.9%21.3%52.2%17.2%6.0%-0.5%211.5K-334.8K-35.1K0.5564.32N/AN/A6433522,1451,387
2018-04-09$82.34$82.0020.4%5.1%20.6%58.8%16.5%6.9%-1.2%265.7K-1.2M-34.7K0.5350.08N/AN/A6453432,1641,409
2018-04-10$83.32$82.0020.1%5.0%21.2%57.7%17.0%4.2%-0.5%327.4K-2.7M-36.6K0.5246.46N/AN/A6653492,1651,421
2018-04-11$82.84$82.0016.4%4.7%21.2%44.7%16.4%5.4%-0.7%345.1K-2.5M-36.7K0.5568.16N/AN/A6283442,2061,429
2018-04-12$83.62$82.0014.2%4.1%21.5%36.9%14.9%4.0%-0.1%395.8K-3.4M-34.7K0.4845.36N/AN/A7143452,2041,432
2018-04-13$83.13$82.0014.5%4.2%21.5%37.9%14.6%5.0%0.7%408.7K-2.6M-35.4K0.4956.63N/AN/A7013442,3381,429
2018-04-16$84.01$82.0012.6%3.6%21.9%31.3%13.4%4.6%0.1%518.3K-4.3M-35.2K0.4941.78N/AN/A7263552,3341,435
2018-04-17$84.53$82.0010.4%3.0%21.5%23.4%9.8%4.2%1.4%635.1K-5.8M-34.1K0.2849.96N/AN/A1,3133632,3591,436
2018-04-18$84.38$82.0011.8%3.4%21.5%28.5%12.0%3.7%0.4%1.1M-6.7M-37.9K0.4647.29N/AN/A8143722,8271,429
2018-04-19$83.74$82.0012.0%3.4%21.7%29.1%14.9%4.3%0.7%902.1K-5.1M-37.6K0.3878.57N/AN/A8793312,8521,431
2018-04-20$83.01$82.0013.4%3.8%19.9%34.2%16.5%5.3%0.2%1.1M-2.8M-34.7K0.4073.01N/AN/A8433382,8741,484
2018-04-23$83.18$83.0013.7%3.9%18.6%35.3%16.2%4.8%0.4%709.7K-2.4M-32.8K0.2558.21N/AN/A6741692,263878
2018-04-24$82.15$83.0015.6%4.5%18.2%41.6%18.0%5.0%-0.8%525.6K-1.3M-31.8K0.4659.01N/AN/A5682612,322892
2018-04-25$82.50$83.0015.5%4.5%17.7%41.6%16.0%4.2%-1.5%551.0K-1.5M-33.1K0.3546.14N/AN/A6872422,323998
2018-04-26$83.36$83.0013.1%3.8%18.1%33.1%15.4%4.7%-0.1%792.4K-2.7M-35.0K0.3646.29N/AN/A6952492,4201,026
2018-04-27$83.40$83.0012.9%3.7%17.6%32.4%14.8%4.1%-0.0%858.0K-3.1M-37.3K0.3030.86N/AN/A8352542,5451,017
2018-04-30$82.87$83.0013.2%3.8%15.5%33.5%14.1%5.0%-0.2%791.0K-2.4M-36.8K0.3855.81N/AN/A6742542,7021,024