VYM Options History — January 2019

In January 2019, VYM traded between $76.94 and $82.69. ATM implied volatility averaged 15.0%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 6.1% (HV 20d: 21.1%). Max pain ranged from $78.00 to $80.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2019-01-25: Highest Volume — 645 contracts
  • 2019-01-28: Largest IV spike — 21.0% change
  • 2019-01-03: Highest IV Rank — 59.1%
  • 2019-01-03: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.49$76.94$82.69$77.83$82.69
Max Pain$79.90$78.00$80.00$80.00$80.00
ATM IV15.0%11.4%20.9%19.3%12.3%
Expected Move4.3%3.3%5.8%5.5%3.7%
HV 20d21.1%13.1%25.2%23.5%13.5%
HV 60d18.6%17.9%19.5%18.7%18.0%
IV Rank37.5%24.3%59.1%53.3%27.7%
IV Percentile66.6%45.6%94.4%90.1%50.0%
Term Structure0.3%-2.1%2.6%-0.6%0.0%
VWIV13.5%11.0%17.1%14.9%15.2%
Skew 25d5.0%1.5%10.3%7.1%4.9%
Skew 10d6.6%-0.4%17.6%17.6%13.7%
Call IV 25d12.0%6.9%16.5%15.5%11.1%
Put IV 25d17.0%13.4%22.6%22.6%16.1%
Bid-Ask Spread %100.3680.76112.8997.8598.25
Gamma HHI0.120.090.160.130.12
Net GEX374.6K33.4K927.5K33.4K927.5K
Net DEX-3.4M-6.5M575.5K455.4K-6.5M
Net VEX-25.2K-36.1K-19.1K-19.8K-36.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.051.000.710.86
Total Volume173.7142064589180
Total OI3,378.3331,8514,0403,6202,964

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$77.83$80.0019.3%5.5%23.5%53.3%14.9%7.1%-0.6%33.4K455.4K-19.8K0.7197.85N/AN/A52372,923697
2019-01-03$76.94$80.0020.9%5.8%22.5%59.1%17.1%5.0%-2.1%34.6K575.5K-19.1K0.7995.79N/AN/A62492,959698
2019-01-04$78.83$78.0017.1%5.0%24.8%45.1%16.3%4.7%-0.7%39.5K-397.9K-20.3K0.2385.66N/AN/A179422,959706
2019-01-07$79.48$80.0018.6%5.1%25.1%50.4%14.7%4.9%-0.7%134.1K-1.6M-22.5K0.2180.76N/AN/A2863,078710
2019-01-08$79.99$80.0016.6%4.3%25.2%43.1%14.2%4.4%0.8%168.5K-2.1M-21.7K0.24101.33N/AN/A2973,105713
2019-01-09$79.92$80.0015.0%4.3%25.1%37.4%11.8%4.8%1.4%155.9K-2.3M-22.4K0.05101.33N/AN/A15573,109714
2019-01-10$80.36$80.0014.8%4.2%25.2%36.8%12.5%5.2%2.1%250.0K-2.9M-23.8K0.0696.53N/AN/A168103,240714
2019-01-11$80.42$80.0015.5%4.5%25.1%39.4%11.4%10.3%0.7%215.8K-3.1M-23.6K0.0596.88N/AN/A16893,256717
2019-01-14$80.02$80.0014.3%4.1%25.2%34.9%13.8%4.8%0.0%236.6K-2.6M-21.9K1.00104.96N/AN/A10103,256718
2019-01-15$80.42$80.0013.6%3.9%24.3%32.2%13.0%5.8%0.8%246.4K-2.9M-20.9K0.35101.58N/AN/A31113,267726
2019-01-16$80.49$80.0011.4%3.3%23.1%24.3%11.0%4.2%1.9%219.0K-3.5M-20.9K0.26108.16N/AN/A47123,274724
2019-01-17$80.95$80.0012.2%3.5%23.2%27.3%12.2%9.3%2.6%240.5K-4.3M-20.9K0.88112.89N/AN/A57503,274723
2019-01-18$82.03$80.0012.7%3.6%22.8%29.1%11.6%4.2%-0.4%418.8K-5.6M-21.5K0.5199.90N/AN/A96493,291749
2019-01-22$80.91$80.0014.0%4.0%22.8%33.7%14.1%4.5%0.5%432.7K-3.7M-21.0K0.19101.06N/AN/A403761,522329
2019-01-23$81.49$80.0015.7%4.5%22.6%39.8%15.0%2.8%0.3%515.0K-4.6M-29.3K0.45103.81N/AN/A123551,872384
2019-01-24$81.33$80.0014.5%4.2%16.4%35.7%14.4%4.3%-0.2%540.1K-4.5M-29.4K0.13103.21N/AN/A451571,902410
2019-01-25$81.60$80.0012.2%3.5%13.1%27.1%13.5%4.5%0.9%742.1K-5.5M-33.0K0.23103.53N/AN/A5241212,273412
2019-01-28$81.07$80.0014.7%4.2%13.4%36.4%13.1%1.5%-0.1%705.0K-4.8M-33.4K0.38106.80N/AN/A29112,368450
2019-01-29$81.44$80.0016.6%4.8%13.4%43.3%12.5%5.9%-1.6%737.6K-5.0M-33.4K0.7897.08N/AN/A51402,379469
2019-01-30$82.02$80.0013.4%3.9%13.4%31.7%11.0%1.9%0.6%873.5K-5.8M-33.7K0.70110.21N/AN/A86602,401510
2019-01-31$82.69$80.0012.3%3.7%13.5%27.7%15.2%4.9%0.0%927.5K-6.5M-36.1K0.8698.25N/AN/A97832,445519