VYM Options History — September 2018

In September 2018, VYM traded between $86.99 and $89.40. ATM implied volatility averaged 7.6%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 0.7% (HV 20d: 7.0%). Max pain ranged from $82.00 to $86.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.42.

Notable Days

2018-09-21: Highest Volume — 787 contracts
2018-09-11: Largest IV spike — 41.4% change
2018-09-04: Highest IV Rank — 18.9%
2018-09-07: Largest Expected Move — 2.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.91	$86.99	$89.40	$87.20	$87.11
Max Pain	$82.42	$82.00	$86.00	$86.00	$82.00
ATM IV	7.6%	6.1%	9.1%	9.1%	8.1%
Expected Move	2.2%	1.8%	2.7%	2.6%	2.3%
HV 20d	7.0%	5.5%	8.2%	7.9%	7.2%
HV 60d	7.2%	6.7%	7.5%	7.3%	7.4%
IV Rank	11.5%	6.0%	18.9%	18.9%	13.2%
IV Percentile	35.1%	9.1%	57.1%	57.1%	42.1%
Term Structure	1.9%	-0.2%	3.2%	-0.2%	1.2%
VWIV	11.5%	8.5%	15.0%	10.3%	9.9%
Skew 25d	3.6%	2.6%	5.0%	2.8%	3.3%
Skew 10d	8.2%	5.3%	11.0%	8.7%	8.1%
Call IV 25d	6.8%	5.7%	8.1%	8.1%	7.4%
Put IV 25d	10.5%	8.8%	12.5%	10.9%	10.7%
Bid-Ask Spread %	45.12	27.81	61.76	61.76	40.35
Gamma HHI	0.22	0.18	0.28	0.22	0.27
Net GEX	1.7M	1.3M	2.0M	1.5M	1.4M
Net DEX	-13.4M	-17.8M	-9.4M	-11.1M	-9.4M
Net VEX	-35.2K	-41.0K	-30.1K	-41.0K	-30.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.26	0.61	0.54	0.43
Total Volume	678.474	548	787	573	686
Total OI	3,453.316	3,089	3,607	3,422	3,107

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2018-09-04	$87.20	$86.00	9.1%	2.6%	7.9%	18.9%	10.3%	2.8%	-0.2%	1.5M	-11.1M	-41.0K	0.54	61.76	N/A	N/A	371	202	2,594	828
2018-09-05	$87.72	$86.00	7.0%	2.0%	8.1%	9.1%	8.5%	3.2%	1.5%	1.6M	-12.6M	-39.2K	0.57	48.22	N/A	N/A	373	214	2,586	836
2018-09-06	$87.67	$82.00	8.1%	2.4%	8.1%	13.0%	14.0%	4.6%	2.0%	1.6M	-12.4M	-39.3K	0.61	44.78	N/A	N/A	353	215	2,595	833
2018-09-07	$87.38	$82.00	9.0%	2.7%	8.2%	16.4%	14.6%	4.4%	1.7%	1.7M	-11.5M	-39.6K	0.48	38.61	N/A	N/A	393	188	2,601	834
2018-09-10	$87.61	$82.00	6.3%	2.4%	7.6%	6.5%	13.8%	4.4%	2.3%	1.7M	-12.5M	-37.5K	0.58	43.92	N/A	N/A	346	202	2,595	844
2018-09-11	$87.50	$82.00	8.8%	2.6%	7.5%	15.8%	15.0%	5.0%	1.9%	1.7M	-12.0M	-37.9K	0.46	40.36	N/A	N/A	435	198	2,606	858
2018-09-12	$87.70	$82.00	7.2%	2.1%	7.4%	9.8%	12.0%	3.8%	3.1%	1.8M	-13.2M	-36.9K	0.45	42.40	N/A	N/A	435	196	2,673	858
2018-09-13	$87.87	$82.00	7.5%	2.2%	7.2%	11.1%	12.0%	3.4%	2.4%	1.9M	-13.9M	-36.1K	0.39	61.51	N/A	N/A	494	194	2,673	860
2018-09-14	$88.04	$82.00	7.0%	2.0%	5.8%	9.0%	11.7%	3.7%	3.2%	2.0M	-14.3M	-36.3K	0.40	52.08	N/A	N/A	485	194	2,730	857
2018-09-17	$87.96	$82.00	7.3%	2.1%	5.5%	10.3%	12.1%	3.8%	2.3%	1.9M	-14.3M	-35.8K	0.37	46.89	N/A	N/A	502	184	2,732	858
2018-09-18	$88.43	$82.00	7.8%	2.3%	5.7%	12.2%	14.1%	3.8%	2.2%	1.9M	-15.1M	-34.7K	0.32	50.21	N/A	N/A	569	184	2,723	856
2018-09-19	$88.44	$82.00	7.7%	2.2%	5.7%	11.7%	11.3%	3.6%	2.3%	1.9M	-15.7M	-32.5K	0.34	37.95	N/A	N/A	534	179	2,748	856
2018-09-20	$89.14	$82.00	6.6%	1.9%	6.1%	7.6%	12.9%	2.9%	2.6%	1.6M	-17.3M	-31.7K	0.32	40.66	N/A	N/A	561	179	2,749	858
2018-09-21	$89.40	$82.00	6.7%	1.9%	5.7%	8.2%	9.0%	3.2%	2.7%	1.4M	-17.8M	-30.1K	0.32	40.49	N/A	N/A	596	191	2,728	858
2018-09-24	$88.60	$82.00	6.1%	1.8%	6.7%	6.0%	8.5%	2.8%	1.3%	1.7M	-15.4M	-30.7K	0.26	50.55	N/A	N/A	570	146	2,585	731
2018-09-25	$88.18	$82.00	7.7%	2.2%	6.7%	11.7%	11.3%	4.0%	1.4%	1.8M	-13.4M	-33.5K	0.34	38.94	N/A	N/A	587	199	2,632	742
2018-09-26	$87.30	$82.00	8.7%	2.5%	7.6%	15.1%	9.2%	3.2%	1.1%	1.8M	-13.2M	-34.6K	0.36	49.84	N/A	N/A	564	201	2,689	811
2018-09-27	$86.99	$82.00	8.3%	2.4%	7.5%	13.7%	9.0%	2.6%	1.5%	1.3M	-9.4M	-30.6K	0.36	27.81	N/A	N/A	566	205	2,274	815
2018-09-28	$87.11	$82.00	8.1%	2.3%	7.2%	13.2%	9.9%	3.3%	1.2%	1.4M	-9.4M	-30.9K	0.43	40.35	N/A	N/A	481	205	2,288	819