VYM Options History — February 2019 In February 2019, VYM traded between $82.78 and $86.05. ATM implied volatility averaged 10.4%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 1.1% (HV 20d: 9.3%). Max pain ranged from $80.00 to $84.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.70.
Notable Days 2019-02-14 : Highest Volume — 423 contracts2019-02-07 : Largest IV spike — 35.5% change2019-02-07 : Highest IV Rank — 35.2%2019-02-05 : Largest Expected Move — 3.7%Monthly Statistics Metric Avg Min Max Open Close Price $84.49 $82.78 $86.05 $82.99 $85.88 Max Pain $82.16 $80.00 $84.00 $80.00 $84.00 ATM IV 10.4% 8.0% 12.8% 9.5% 8.0% Expected Move 3.1% 2.3% 3.7% 3.6% 2.3% HV 20d 9.3% 7.4% 12.3% 12.3% 7.4% HV 60d 17.5% 17.0% 17.9% 17.9% 17.0% IV Rank 24.1% 12.1% 35.2% 17.3% 14.4% IV Percentile 36.4% 14.7% 54.0% 31.0% 14.7% Term Structure 0.4% -0.9% 1.5% -0.2% 0.7% VWIV 11.8% 8.2% 15.0% 15.0% 10.2% Skew 25d 5.0% 0.2% 10.4% 9.3% 6.3% Skew 10d 6.7% -1.0% 11.0% 5.2% 2.1% Call IV 25d 7.8% 5.3% 11.4% 6.6% 5.5% Put IV 25d 12.8% 7.5% 16.6% 15.8% 11.8% Bid-Ask Spread % 94.84 80.01 107.83 101.19 92.04 Gamma HHI 0.19 0.14 0.29 0.14 0.22 Net GEX 1.2M 1.1M 1.3M 1.1M 1.3M Net DEX -9.9M -12.2M -7.0M -7.6M -12.1M Net VEX -38.2K -41.7K -34.7K -36.7K -41.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.03 2.13 0.68 0.70 Total Volume 179.211 29 423 168 231 Total OI 3,255.947 3,033 3,514 3,033 3,434
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 2019-02-01 $82.99 $80.00 9.5% 3.6% 12.3% 17.3% 15.0% 9.3% -0.2% 1.1M -7.6M -36.7K 0.68 101.19 N/A N/A 100 68 2,511 522 2019-02-04 $83.06 $80.00 11.6% 3.2% 9.7% 25.0% 14.0% 10.4% 0.9% 1.1M -7.3M -35.1K 1.91 94.35 N/A N/A 32 61 2,519 531 2019-02-05 $83.49 $80.00 8.0% 3.7% 9.5% 12.1% 14.5% 4.9% -0.4% 1.2M -8.5M -35.9K 1.21 99.65 N/A N/A 52 63 2,540 575 2019-02-06 $83.49 $80.00 9.5% 2.7% 9.5% 20.6% 9.6% 0.7% 0.9% 1.2M -8.5M -36.5K 0.03 107.83 N/A N/A 75 2 2,568 576 2019-02-07 $82.83 $80.00 12.8% 3.7% 10.1% 35.2% 13.1% 5.2% 0.7% 1.2M -7.3M -34.7K 0.65 92.53 N/A N/A 69 45 2,612 578 2019-02-08 $82.78 $82.00 11.2% 3.2% 10.0% 28.1% 12.2% 3.6% 1.1% 1.1M -7.0M -35.8K 0.56 99.47 N/A N/A 81 45 2,622 602 2019-02-11 $83.05 $82.00 12.3% 3.5% 10.0% 33.0% 12.3% 5.8% 0.2% 1.2M -8.0M -35.3K 0.30 92.30 N/A N/A 69 21 2,632 601 2019-02-12 $83.97 $82.00 11.1% 3.2% 10.2% 27.7% 12.3% 7.1% 1.5% 1.2M -9.4M -36.4K 0.32 97.63 N/A N/A 114 37 2,652 607 2019-02-13 $84.40 $82.00 10.9% 3.1% 10.2% 26.7% 11.2% 0.2% 1.5% 1.2M -10.7M -37.6K 0.30 102.11 N/A N/A 226 67 2,684 615 2019-02-14 $84.23 $82.00 11.8% 3.4% 10.3% 30.8% 12.1% 4.4% -0.9% 1.2M -10.4M -37.9K 0.69 88.96 N/A N/A 251 172 2,748 630 2019-02-15 $85.08 $83.00 11.1% 3.2% 10.6% 27.7% 12.0% 5.3% 0.5% 1.3M -12.0M -39.6K 0.41 101.21 N/A N/A 268 110 2,829 685 2019-02-19 $85.42 $83.00 10.6% 3.0% 9.9% 25.5% 11.3% 6.5% -0.2% 1.2M -10.6M -39.9K 2.13 89.44 N/A N/A 32 68 2,551 585 2019-02-20 $85.60 $83.00 9.0% 2.6% 7.9% 18.4% 8.8% 2.2% 0.7% 1.2M -11.3M -40.2K 0.75 94.89 N/A N/A 97 73 2,573 634 2019-02-21 $85.26 $83.00 10.7% 3.1% 8.1% 25.9% 11.2% 4.3% 0.1% 1.1M -10.5M -41.2K 0.81 80.01 N/A N/A 126 102 2,597 647 2019-02-22 $85.76 $83.00 9.1% 2.6% 8.0% 19.0% 9.5% 5.8% 1.4% 1.2M -11.3M -40.7K 0.47 93.03 N/A N/A 170 80 2,627 664 2019-02-25 $86.05 $84.00 10.7% 3.1% 8.0% 26.1% 8.2% 4.9% -0.6% 1.2M -12.2M -40.4K 0.26 97.50 N/A N/A 23 6 2,670 665 2019-02-26 $85.99 $84.00 9.1% 2.6% 7.4% 18.9% 11.9% 2.0% 0.1% 1.2M -12.1M -40.0K 0.59 91.69 N/A N/A 111 65 2,684 664 2019-02-27 $85.91 $84.00 10.4% 3.0% 7.5% 24.7% 14.7% 5.5% -0.9% 1.2M -11.9M -41.7K 0.59 86.11 N/A N/A 121 72 2,705 724 2019-02-28 $85.88 $84.00 8.0% 2.3% 7.4% 14.4% 10.2% 6.3% 0.7% 1.3M -12.1M -41.1K 0.70 92.04 N/A N/A 136 95 2,709 725
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