VYM Options History — April 2019

In April 2019, VYM traded between $86.35 and $88.05. ATM implied volatility averaged 8.2%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded below realized volatility by 0.5% (HV 20d: 8.7%). Max pain ranged from $86.00 to $88.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2019-04-24: Highest Volume — 487 contracts
  • 2019-04-10: Largest IV spike — 33.7% change
  • 2019-04-03: Highest IV Rank — 21.5%
  • 2019-04-03: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.27$86.35$88.05$86.48$88.05
Max Pain$86.62$86.00$88.00$86.00$88.00
ATM IV8.2%6.2%9.7%9.6%7.9%
Expected Move2.5%2.1%3.0%2.9%2.3%
HV 20d8.7%5.3%11.1%11.1%5.3%
HV 60d9.0%8.2%10.6%10.6%8.2%
IV Rank15.2%6.5%21.5%20.9%13.8%
IV Percentile21.1%2.0%45.2%38.1%16.3%
Term Structure1.0%-0.2%2.2%0.7%1.9%
VWIV9.7%7.4%14.8%9.0%10.1%
Skew 25d3.7%2.1%5.3%4.4%2.8%
Skew 10d6.7%1.3%10.2%3.1%2.2%
Call IV 25d6.8%5.3%8.2%6.7%6.6%
Put IV 25d10.6%9.4%12.6%11.1%9.4%
Bid-Ask Spread %85.3269.9598.9975.9695.04
Gamma HHI0.190.140.330.190.15
Net GEX1.5M881.0K2.0M1.7M943.6K
Net DEX-11.8M-16.1M-7.5M-11.4M-9.0M
Net VEX-40.9K-43.3K-38.5K-43.3K-41.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.022.680.570.02
Total Volume230.4761448769128
Total OI3,867.812,9214,3413,9933,377

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-04-01$86.48$86.009.6%2.9%11.1%20.9%9.0%4.4%0.7%1.7M-11.4M-43.3K0.5775.96N/AN/A44252,8171,176
2019-04-02$86.35$86.008.7%3.0%11.1%17.2%8.5%4.0%1.8%1.9M-11.6M-42.6K0.6076.07N/AN/A58352,8281,159
2019-04-03$86.42$86.009.7%3.0%10.8%21.5%10.7%4.5%0.5%1.8M-11.5M-42.3K1.0369.95N/AN/A33342,8281,156
2019-04-04$86.69$86.007.9%2.7%10.4%13.7%14.8%4.7%0.6%1.9M-12.2M-41.8K1.2780.66N/AN/A1101402,8301,159
2019-04-05$87.01$86.007.4%2.5%10.3%11.6%9.2%3.2%0.7%1.8M-13.3M-41.5K2.0679.57N/AN/A681402,8441,261
2019-04-08$87.19$86.007.9%2.5%9.5%13.9%8.0%5.3%1.0%1.8M-13.6M-40.3K0.6885.44N/AN/A37252,8611,261
2019-04-09$86.62$86.006.2%2.6%9.8%6.5%10.2%4.6%0.9%1.9M-12.4M-41.1K0.5974.34N/AN/A1791052,8741,269
2019-04-10$86.87$86.008.3%2.4%9.7%15.6%9.7%4.5%1.2%2.0M-12.9M-42.0K0.5985.38N/AN/A1851092,9611,275
2019-04-11$86.98$86.009.4%2.7%9.7%20.1%10.2%3.9%0.1%2.0M-13.3M-41.3K1.2376.94N/AN/A1181452,9651,275
2019-04-12$87.44$87.008.5%2.4%9.7%16.2%7.6%4.5%1.6%1.9M-14.9M-40.2K0.7290.12N/AN/A1881352,9861,304
2019-04-15$87.38$87.008.8%2.5%9.6%17.9%8.8%4.0%1.2%1.7M-14.9M-39.4K0.2779.52N/AN/A1132,9911,314
2019-04-16$87.81$87.007.3%2.1%9.5%11.2%7.4%3.0%2.2%1.8M-15.8M-38.8K0.0487.94N/AN/A13252,9921,317
2019-04-17$87.88$87.007.9%2.3%9.4%13.7%8.0%2.7%1.4%2.0M-16.1M-38.5K0.4598.99N/AN/A99452,9921,315
2019-04-18$87.67$87.007.7%2.2%9.2%12.9%9.3%3.8%1.1%1.7M-15.6M-39.1K0.8188.10N/AN/A102832,9971,344
2019-04-22$87.56$87.007.7%2.2%7.3%12.9%9.6%2.8%2.1%915.1K-8.4M-39.4K2.5789.27N/AN/A1223131,966955
2019-04-23$87.98$87.008.0%2.3%5.9%14.0%10.2%3.6%-0.2%916.8K-9.0M-41.2K2.0997.53N/AN/A1523182,0051,254
2019-04-24$87.92$87.007.9%2.3%5.6%13.9%10.0%3.3%0.9%911.4K-8.8M-41.1K2.0894.91N/AN/A1583292,0231,258
2019-04-25$87.42$87.009.7%2.8%6.2%21.4%12.7%3.6%-0.2%881.0K-7.8M-42.2K2.6888.62N/AN/A1203222,0231,311
2019-04-26$87.37$87.008.6%2.5%6.2%17.0%10.8%2.1%0.9%883.1K-7.5M-41.1K2.3796.01N/AN/A1363222,0271,318
2019-04-29$87.67$87.007.8%2.2%6.2%13.5%9.1%3.0%0.7%979.5K-8.6M-39.9K0.0881.46N/AN/A2522,0361,320
2019-04-30$88.05$88.007.9%2.3%5.3%13.8%10.1%2.8%1.9%943.6K-9.0M-41.1K0.0295.04N/AN/A12532,0561,321