VYM Options History — December 2018

In December 2018, VYM traded between $73.93 and $86.64. ATM implied volatility averaged 20.0%, placing in the 55.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.7% (HV 20d: 17.3%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.58.

Notable Days

  • 2018-12-28: Highest Volume — 512 contracts
  • 2018-12-04: Largest IV spike — 44.6% change
  • 2018-12-24: Highest IV Rank — 84.0%
  • 2018-12-24: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.48$73.93$86.64$86.64$77.79
Max Pain$81.90$80.00$85.00$85.00$80.00
ATM IV20.0%12.2%27.8%12.2%20.3%
Expected Move5.6%3.5%8.0%3.5%5.8%
HV 20d17.3%13.0%24.1%13.0%23.7%
HV 60d15.5%13.2%18.7%13.2%18.7%
IV Rank55.8%28.0%84.0%28.0%56.9%
IV Percentile90.9%63.9%99.6%63.9%92.9%
Term Structure-2.0%-4.3%1.2%1.2%-1.1%
VWIV18.1%10.9%23.9%11.3%20.0%
Skew 25d6.3%-0.5%14.2%2.5%6.9%
Skew 10d6.5%-2.2%17.5%-1.5%15.8%
Call IV 25d15.5%10.0%23.9%11.9%18.5%
Put IV 25d21.9%14.5%30.9%14.5%25.4%
Bid-Ask Spread %94.9980.82123.11109.8895.56
Gamma HHI0.120.080.230.230.12
Net GEX420.9K7.5K1.5M1.5M50.9K
Net DEX-1.8M-10.4M2.7M-10.4M375.3K
Net VEX-27.6K-38.9K-16.0K-38.9K-19.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.063.590.110.06
Total Volume236.15195124219
Total OI3,812.83,4564,0483,6853,608

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$86.64$85.0012.2%3.5%13.0%28.0%11.3%2.5%1.2%1.5M-10.4M-38.9K0.11109.88N/AN/A3842,917768
2018-12-04$84.56$85.0017.7%5.1%15.5%47.7%10.9%-0.1%-3.7%1.1M-7.2M-37.3K0.08108.32N/AN/A220182,950760
2018-12-05$84.46$85.0017.5%5.0%15.5%47.0%11.3%-0.5%-3.2%1.1M-7.3M-37.3K0.08108.76N/AN/A220182,950760
2018-12-06$83.93$81.0018.3%4.5%14.3%49.9%18.3%8.7%0.3%778.8K-4.6M-35.7K0.6788.34N/AN/A54363,046764
2018-12-07$83.30$82.0020.8%4.8%14.5%58.8%16.8%6.3%-1.0%803.4K-5.2M-36.9K0.2193.64N/AN/A227483,061798
2018-12-10$82.62$82.0019.3%5.0%14.7%53.6%20.8%7.6%-1.5%528.6K-2.8M-33.8K0.4284.25N/AN/A152643,065840
2018-12-11$82.69$82.0019.0%4.7%14.2%52.6%18.3%5.7%-1.1%518.0K-2.9M-31.4K0.3680.82N/AN/A160583,031903
2018-12-12$83.09$82.0015.6%4.5%14.3%40.1%15.2%6.8%-0.4%587.5K-3.5M-31.3K0.3088.59N/AN/A171513,030942
2018-12-13$82.85$82.0014.7%4.2%14.3%36.8%14.9%4.3%1.0%520.0K-3.0M-30.1K0.2888.47N/AN/A220623,022946
2018-12-14$81.24$82.0018.0%5.2%15.6%48.9%15.7%4.5%-1.7%246.6K-974.9K-27.7K0.3583.54N/AN/A220773,073951
2018-12-17$79.56$82.0020.4%5.8%16.5%57.5%16.6%6.3%-2.8%273.4K-1.1M-31.0K0.3684.95N/AN/A95343,082957
2018-12-18$79.70$82.0018.9%5.4%16.5%51.5%20.1%4.3%-2.2%87.6K1.1M-24.0K0.6983.27N/AN/A129893,041967
2018-12-19$78.55$82.0019.0%5.4%16.6%52.0%20.6%12.0%-3.7%7.5K1.9M-22.5K0.64123.11N/AN/A103663,081967
2018-12-20$77.45$82.0023.1%6.6%17.1%66.9%21.3%5.0%-4.3%49.8K2.4M-21.2K0.7597.35N/AN/A112843,078941
2018-12-21$76.90$81.0022.7%6.5%17.1%65.6%20.0%13.3%-3.5%156.5K1.4M-22.8K1.2999.73N/AN/A1622093,085867
2018-12-24$73.93$81.0027.8%8.0%20.3%84.0%22.3%5.9%-3.5%16.7K2.7M-16.0K0.5593.70N/AN/A1971092,773744
2018-12-26$76.27$80.0024.6%7.0%24.1%72.3%23.9%5.3%-1.6%14.5K2.1M-16.2K3.5994.50N/AN/A391402,771685
2018-12-27$76.83$80.0025.3%7.2%23.6%74.8%22.4%14.2%-3.1%64.5K1.4M-18.1K0.4398.00N/AN/A3541522,777680
2018-12-28$77.16$80.0024.2%6.9%23.6%71.1%21.8%8.1%-3.7%54.0K245.9K-20.7K0.4694.99N/AN/A3511612,889686
2018-12-31$77.79$80.0020.3%5.8%23.7%56.9%20.0%6.9%-1.1%50.9K375.3K-19.9K0.0695.56N/AN/A1812,912696