VYM Options History — March 2019

In March 2019, VYM traded between $84.40 and $86.74. ATM implied volatility averaged 9.9%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 1.2% (HV 20d: 8.7%). Max pain ranged from $75.00 to $86.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2019-03-07: Highest Volume — 521 contracts
  • 2019-03-22: Largest IV spike — 37.5% change
  • 2019-03-08: Highest IV Rank — 32.4%
  • 2019-03-08: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.65$84.40$86.74$86.24$85.60
Max Pain$82.65$75.00$86.00$84.00$86.00
ATM IV9.9%8.3%12.2%8.6%9.0%
Expected Move3.0%2.4%3.5%2.5%2.8%
HV 20d8.7%7.1%10.6%7.1%10.6%
HV 60d14.4%10.8%17.0%17.0%10.8%
IV Rank22.4%15.3%32.4%16.9%18.6%
IV Percentile36.6%18.3%56.3%23.4%31.0%
Term Structure0.8%-0.0%1.7%0.8%0.9%
VWIV10.6%8.0%12.9%9.3%11.3%
Skew 25d4.6%3.1%7.5%3.3%3.5%
Skew 10d8.0%1.1%12.6%2.0%7.6%
Call IV 25d8.3%5.5%10.5%6.8%8.4%
Put IV 25d12.8%10.1%15.1%10.1%11.9%
Bid-Ask Spread %70.1740.2697.6191.5572.95
Gamma HHI0.220.190.250.210.21
Net GEX1.4M1.1M1.6M1.3M1.6M
Net DEX-11.3M-13.9M-8.0M-12.6M-11.4M
Net VEX-44.2K-47.2K-39.7K-39.7K-44.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.092.800.601.21
Total Volume200.04838521265320
Total OI3,885.6673,4434,1423,4434,142

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$86.24$84.008.6%2.5%7.1%16.9%9.3%3.3%0.8%1.3M-12.6M-39.7K0.6091.55N/AN/A166992,716727
2019-03-04$85.85$84.009.3%2.7%7.4%20.1%10.1%5.4%1.4%1.3M-11.6M-39.7K0.0995.90N/AN/A125112,744729
2019-03-05$85.84$84.008.5%2.4%7.5%16.4%8.0%5.0%0.8%1.4M-12.0M-40.4K0.1697.61N/AN/A148242,794723
2019-03-06$85.22$84.0011.1%3.2%8.0%27.8%10.4%5.1%1.0%1.3M-10.8M-40.5K0.7187.85N/AN/A1971402,792725
2019-03-07$84.67$84.0011.7%3.4%8.4%30.4%12.9%5.1%0.0%1.2M-9.2M-41.0K0.9593.83N/AN/A2672542,789836
2019-03-08$84.40$84.0012.2%3.5%7.9%32.4%12.7%4.9%1.0%1.1M-8.0M-44.9K1.0487.24N/AN/A2212302,8381,044
2019-03-11$85.48$75.009.3%3.3%8.9%20.0%9.4%4.3%1.1%1.3M-10.7M-45.2K0.5040.26N/AN/A70352,8861,084
2019-03-12$85.59$75.008.7%2.9%8.9%17.1%10.2%4.9%1.5%1.4M-11.3M-45.0K0.1843.56N/AN/A104192,9421,090
2019-03-13$86.08$75.008.8%3.0%8.3%17.5%10.1%3.8%1.7%1.5M-12.8M-45.5K0.5343.63N/AN/A86463,0051,090
2019-03-14$85.95$75.008.6%2.9%8.2%17.0%10.1%4.0%1.4%1.6M-12.8M-45.4K0.4442.35N/AN/A116512,9921,102
2019-03-15$86.34$75.008.4%2.9%8.3%15.8%10.3%5.6%1.7%1.6M-13.9M-44.9K0.4849.49N/AN/A128613,0051,105
2019-03-18$86.74$0.008.6%2.6%7.7%16.7%9.8%3.1%1.0%1.5M-13.4M-43.7K1.0871.42N/AN/A60652,885931
2019-03-19$86.28$86.009.6%2.8%7.9%21.1%9.6%3.7%0.5%1.4M-12.7M-45.3K0.2772.96N/AN/A97262,893990
2019-03-20$86.09$86.009.6%3.1%8.0%21.2%10.7%7.5%1.1%1.4M-12.4M-46.6K0.6487.53N/AN/A72462,939997
2019-03-21$86.69$86.008.3%2.7%8.1%15.3%9.9%6.1%0.9%1.5M-13.2M-45.5K0.4267.87N/AN/A110462,9471,003
2019-03-22$85.42$86.0011.4%3.3%9.6%28.8%11.8%5.6%-0.0%1.4M-10.7M-47.2K0.7275.78N/AN/A116832,9881,013
2019-03-25$84.53$86.0011.6%3.4%10.2%30.0%11.1%4.5%0.2%1.3M-8.6M-45.8K2.8052.99N/AN/A10282,9131,045
2019-03-26$85.15$86.0011.8%3.4%10.6%30.9%12.3%3.7%0.1%1.4M-10.0M-45.4K0.3663.63N/AN/A114412,9151,073
2019-03-27$85.19$86.0011.1%3.3%10.6%27.5%12.1%3.4%0.8%1.4M-10.0M-45.9K0.4266.90N/AN/A111473,0161,061
2019-03-28$85.22$86.0011.3%3.2%10.6%28.6%11.2%3.9%0.0%1.5M-10.1M-45.4K0.3168.36N/AN/A161503,0261,064
2019-03-29$85.60$86.009.0%2.8%10.6%18.6%11.3%3.5%0.9%1.6M-11.4M-44.7K1.2172.95N/AN/A1451753,0751,067