VYM Options History — May 2018

In May 2018, VYM traded between $81.53 and $84.67. ATM implied volatility averaged 10.7%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 0.8% (HV 20d: 11.5%). Max pain ranged from $82.00 to $84.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.35.

Notable Days

  • 2018-05-08: Highest Volume — 1,925 contracts
  • 2018-05-29: Largest IV spike — 44.8% change
  • 2018-05-29: Highest IV Rank — 34.6%
  • 2018-05-29: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.63$81.53$84.67$82.25$83.99
Max Pain$82.82$82.00$84.00$83.00$84.00
ATM IV10.7%8.5%13.5%13.2%10.7%
Expected Move3.1%2.4%3.9%3.8%3.1%
HV 20d11.5%9.1%15.0%15.0%10.5%
HV 60d16.2%15.0%19.1%19.1%15.3%
IV Rank24.5%16.7%34.6%33.2%24.4%
IV Percentile71.4%57.5%83.7%82.9%72.2%
Term Structure0.1%-1.9%1.0%0.1%-0.5%
VWIV14.0%11.8%18.0%13.2%14.4%
Skew 25d4.0%2.9%6.2%4.4%5.1%
Skew 10d9.2%6.5%15.0%8.0%8.9%
Call IV 25d9.4%7.8%12.2%11.5%9.0%
Put IV 25d13.4%11.0%17.5%15.9%14.1%
Bid-Ask Spread %53.1626.9679.5926.9656.91
Gamma HHI0.250.130.370.150.31
Net GEX1.2M402.5K2.5M576.4K1.2M
Net DEX-4.9M-8.0M-750.7K-1.3M-4.9M
Net VEX-39.1K-43.8K-32.4K-34.0K-39.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.180.470.370.28
Total Volume1,127.0919361,9259681,044
Total OI3,885.4553,7094,1263,7343,870

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$82.25$83.0013.2%3.8%15.0%33.2%13.2%4.4%0.1%576.4K-1.3M-34.0K0.3726.96N/AN/A7082602,7051,029
2018-05-02$81.66$83.0013.0%3.7%14.4%32.6%12.6%4.1%-0.6%402.5K-750.7K-32.6K0.3679.59N/AN/A7122592,6841,035
2018-05-03$81.53$82.0012.8%3.7%14.2%31.9%15.5%3.7%-0.7%436.6K-781.1K-32.4K0.3961.35N/AN/A7833032,6951,035
2018-05-04$82.60$82.0011.2%3.3%13.0%26.2%15.0%4.1%0.8%815.9K-2.9M-38.2K0.3865.55N/AN/A7923032,7941,087
2018-05-07$82.64$82.0011.3%3.5%12.6%26.7%14.8%3.9%0.7%704.5K-2.5M-35.9K0.4161.92N/AN/A7343032,8311,084
2018-05-08$82.51$82.0010.6%3.3%11.8%24.4%14.6%4.1%0.9%618.1K-2.1M-35.3K0.1852.71N/AN/A1,6262992,8741,092
2018-05-09$83.15$82.0011.1%3.2%12.0%26.0%14.3%3.3%0.9%1.1M-4.6M-41.4K0.2754.22N/AN/A1,1383062,8741,095
2018-05-10$84.00$82.0010.6%3.0%12.0%24.3%14.7%3.6%0.2%1.4M-6.4M-43.3K0.2850.06N/AN/A1,1583212,8991,099
2018-05-11$84.26$82.0010.5%3.0%11.9%24.0%15.3%4.3%0.3%1.5M-7.1M-43.8K0.2865.74N/AN/A1,1543212,9171,103
2018-05-14$84.40$82.0010.8%3.1%11.3%25.0%14.1%3.1%1.0%1.7M-8.0M-42.2K0.4367.92N/AN/A7503262,9261,103
2018-05-15$83.82$82.0010.3%3.0%11.3%23.2%14.7%4.3%0.1%1.5M-5.7M-41.6K0.4162.60N/AN/A7473082,9341,101
2018-05-16$84.33$83.0010.5%3.0%11.5%24.1%13.7%3.7%0.0%1.8M-7.5M-42.6K0.4145.76N/AN/A7473082,9741,107
2018-05-17$84.25$83.0010.4%3.0%11.2%23.5%12.4%4.4%-0.0%1.8M-7.1M-40.7K0.4658.35N/AN/A7463442,9741,103
2018-05-18$84.14$83.0010.4%3.0%10.7%23.5%12.9%3.6%0.0%2.5M-6.6M-40.9K0.4737.68N/AN/A7863672,9811,145
2018-05-21$84.67$83.008.5%2.4%10.9%16.7%14.5%3.4%-0.0%1.2M-6.5M-40.7K0.3930.50N/AN/A7002732,6791,030
2018-05-22$84.63$83.008.6%2.5%9.7%17.3%11.8%2.9%-0.0%1.3M-6.3M-40.5K0.3466.91N/AN/A7002372,7011,041
2018-05-23$84.60$83.008.5%2.4%9.7%16.9%11.8%3.3%-0.1%1.4M-6.3M-40.4K0.3464.87N/AN/A7092412,7131,044
2018-05-24$84.47$84.009.4%2.7%9.1%20.0%12.7%3.4%1.0%1.3M-5.7M-40.2K0.3530.52N/AN/A7012422,7201,066
2018-05-25$84.13$84.009.3%2.7%9.2%19.8%13.7%4.0%0.0%1.3M-5.2M-40.6K0.3238.92N/AN/A7082282,7251,068
2018-05-29$83.27$84.0013.5%3.9%9.7%34.6%18.0%6.2%-1.9%828.4K-3.0M-36.8K0.2850.53N/AN/A8272302,7251,067
2018-05-30$84.53$84.009.5%2.7%10.6%20.5%14.4%5.9%0.4%1.3M-5.7M-37.6K0.2839.96N/AN/A8172302,6661,085
2018-05-31$83.99$84.0010.7%3.1%10.5%24.4%14.4%5.1%-0.5%1.2M-4.9M-39.0K0.2856.91N/AN/A8172272,7851,085