VYM Options History — October 2018

In October 2018, VYM traded between $81.06 and $88.07. ATM implied volatility averaged 15.1%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.2% (HV 20d: 11.9%). Max pain ranged from $82.00 to $87.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.26.

Notable Days

  • 2018-10-17: Highest Volume — 1,536 contracts
  • 2018-10-10: Largest IV spike — 33.6% change
  • 2018-10-29: Highest IV Rank — 70.1%
  • 2018-10-29: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.89$81.06$88.07$87.32$83.54
Max Pain$84.91$82.00$87.00$82.00$84.00
ATM IV15.1%7.4%23.9%7.9%17.3%
Expected Move4.3%2.1%6.8%2.3%5.0%
HV 20d11.9%7.2%17.2%7.3%17.2%
HV 60d9.2%6.9%11.7%7.3%11.7%
IV Rank38.5%10.5%70.1%12.4%46.3%
IV Percentile80.3%29.0%98.8%38.1%91.3%
Term Structure-1.0%-4.8%2.2%2.2%-2.3%
VWIV15.6%8.5%22.1%8.5%16.9%
Skew 25d6.1%3.0%9.2%3.0%8.1%
Skew 10d10.2%4.1%14.2%5.5%11.5%
Call IV 25d12.6%6.5%22.6%6.5%14.6%
Put IV 25d18.8%9.5%27.0%9.5%22.6%
Bid-Ask Spread %62.1024.2699.0960.2278.18
Gamma HHI0.190.120.300.300.14
Net GEX763.1K285.8K1.5M1.5M556.4K
Net DEX-6.0M-11.7M-1.5M-9.9M-4.3M
Net VEX-31.0K-36.7K-26.6K-29.0K-36.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.140.400.360.21
Total Volume862.0436281,536640645
Total OI3,173.5652,5833,8883,1142,979

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-10-01$87.32$82.007.9%2.3%7.3%12.4%8.5%3.0%2.2%1.5M-9.9M-29.0K0.3660.22N/AN/A4721682,295819
2018-10-02$87.85$82.007.4%2.1%7.5%10.5%9.3%3.3%1.5%1.4M-11.0M-28.8K0.3551.49N/AN/A4681652,296827
2018-10-03$87.84$82.008.3%2.4%7.2%13.8%9.7%3.5%1.4%1.4M-10.9M-29.0K0.3640.60N/AN/A4621662,308833
2018-10-04$87.64$84.009.1%2.9%7.3%16.8%10.6%5.2%0.5%1.4M-10.5M-29.6K0.3241.67N/AN/A5141642,326833
2018-10-05$87.45$84.0012.0%3.4%7.2%27.2%14.5%5.2%-0.3%1.3M-10.3M-30.0K0.3638.95N/AN/A4821742,388833
2018-10-08$88.07$84.0011.6%3.4%7.6%25.9%16.1%5.0%-0.2%1.4M-11.7M-29.2K0.3024.26N/AN/A6261852,405849
2018-10-09$87.73$85.0011.7%3.2%7.7%26.1%15.0%5.9%0.6%1.3M-10.5M-28.0K0.3933.99N/AN/A4731862,307871
2018-10-10$85.97$86.0015.6%4.5%10.5%40.3%15.4%8.4%-2.0%978.5K-7.2M-28.9K0.4070.51N/AN/A4731872,320872
2018-10-11$83.92$87.0020.4%5.9%13.3%57.7%16.9%3.7%-4.8%579.9K-4.0M-28.4K0.2799.09N/AN/A7281972,332897
2018-10-12$83.76$87.0017.1%4.9%13.2%45.6%19.2%7.4%-2.3%511.5K-3.6M-29.0K0.3570.77N/AN/A6632342,442916
2018-10-15$84.05$87.0015.9%4.6%13.3%41.3%16.5%6.7%-1.0%343.9K-3.6M-26.6K0.2863.06N/AN/A7662132,411992
2018-10-16$84.90$86.0012.1%3.5%13.8%27.4%16.0%7.7%1.5%382.8K-4.8M-27.1K0.2378.58N/AN/A1,0242312,493997
2018-10-17$85.04$86.0013.3%3.8%13.8%32.0%14.3%6.2%0.3%607.9K-6.2M-31.6K0.2165.46N/AN/A1,2732632,771997
2018-10-18$84.47$86.0016.4%4.7%13.4%43.2%13.3%6.4%-1.8%534.8K-5.3M-33.6K0.1875.43N/AN/A1,1982192,8531,034
2018-10-19$84.69$86.0014.9%4.3%13.4%37.5%12.8%6.3%-0.6%514.4K-6.0M-33.8K0.1449.63N/AN/A1,2911752,8571,031
2018-10-22$84.01$86.0015.1%4.3%13.3%38.3%16.8%7.6%-0.8%516.8K-3.7M-32.8K0.1472.07N/AN/A9761331,987596
2018-10-23$83.68$85.0016.2%4.7%13.3%42.4%18.2%5.8%-0.3%500.4K-3.8M-35.4K0.2260.08N/AN/A6471432,082658
2018-10-24$82.48$85.0019.2%5.5%13.7%53.1%20.1%8.3%-2.0%393.3K-2.6M-33.4K0.2569.25N/AN/A5671432,119668
2018-10-25$82.62$85.0018.9%5.4%13.8%51.9%17.2%9.2%-1.9%401.7K-2.7M-33.9K0.1471.13N/AN/A619862,134681
2018-10-26$81.39$85.0022.4%6.4%14.4%64.8%19.0%7.6%-3.8%296.0K-1.5M-31.2K0.1772.14N/AN/A6271082,165683
2018-10-29$81.06$85.0023.9%6.8%14.3%70.1%22.1%4.4%-4.3%285.8K-1.6M-31.6K0.2181.17N/AN/A5391132,188708
2018-10-30$82.95$84.0021.0%6.0%16.8%59.6%19.4%5.9%-2.8%433.5K-3.1M-35.0K0.2160.56N/AN/A5281132,241698
2018-10-31$83.54$84.0017.3%5.0%17.2%46.3%16.9%8.1%-2.3%556.4K-4.3M-36.7K0.2178.18N/AN/A5331122,278701