VYM Options History — October 2019

In October 2019, VYM traded between $86.01 and $89.89. ATM implied volatility averaged 12.7%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 0.7% (HV 20d: 13.4%). Max pain ranged from $86.00 to $89.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.55.

Notable Days

  • 2019-10-16: Highest Volume — 517 contracts
  • 2019-10-30: Largest IV spike — 43.4% change
  • 2019-10-02: Highest IV Rank — 52.1%
  • 2019-10-02: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.16$86.01$89.89$87.58$89.42
Max Pain$86.83$86.00$89.00$89.00$87.00
ATM IV12.7%9.2%17.5%14.1%10.7%
Expected Move3.6%2.6%5.0%4.0%3.1%
HV 20d13.4%10.5%15.2%11.0%10.9%
HV 60d14.8%13.8%15.3%13.8%14.0%
IV Rank30.2%14.0%52.1%36.3%20.9%
IV Percentile52.0%20.2%84.5%65.1%36.1%
Term Structure0.6%-4.8%2.0%0.1%1.3%
VWIV12.9%9.4%16.6%16.4%11.6%
Skew 25d5.2%-1.4%12.0%6.1%4.6%
Skew 10d10.1%5.7%13.9%10.6%9.4%
Call IV 25d10.1%8.0%16.6%11.6%8.3%
Put IV 25d15.3%11.6%20.4%17.7%12.9%
Bid-Ask Spread %76.8459.38136.4361.4789.73
Gamma HHI0.210.130.410.190.17
Net GEX1.1M415.7K1.9M912.0K1.4M
Net DEX-6.6M-10.6M-2.3M-5.7M-9.5M
Net VEX-46.9K-51.5K-42.7K-47.7K-50.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.106.601.000.56
Total Volume152.0435051714250
Total OI4,136.7393,2404,8344,0894,050

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$87.58$89.0014.1%4.0%11.0%36.3%16.4%6.1%0.1%912.0K-5.7M-47.7K1.0061.47N/AN/A71712,7801,309
2019-10-02$86.01$89.0017.5%5.0%12.3%52.1%16.4%6.2%-1.1%438.4K-2.4M-43.6K1.5870.95N/AN/A761202,7881,357
2019-10-03$86.24$86.0016.9%4.7%11.6%49.7%16.6%6.7%-0.4%415.7K-2.3M-44.0K3.2364.91N/AN/A22712,7681,441
2019-10-04$87.53$86.0012.8%3.9%12.8%30.6%15.1%6.9%0.6%856.2K-4.8M-46.4K1.5467.13N/AN/A35542,7681,465
2019-10-07$87.35$86.0015.7%4.3%12.7%43.7%15.4%6.4%0.4%835.4K-4.8M-45.2K0.4959.38N/AN/A39192,7861,430
2019-10-08$86.01$86.0017.4%4.5%13.7%51.8%16.1%7.3%-0.1%437.8K-2.5M-42.7K1.1075.22N/AN/A1071182,8011,427
2019-10-09$86.45$87.0017.1%4.9%13.4%50.2%13.8%12.0%-1.5%563.4K-4.0M-46.4K0.1599.64N/AN/A141212,8191,487
2019-10-10$86.92$87.0014.8%4.3%13.4%40.0%13.8%6.3%0.3%674.9K-4.0M-43.8K0.9971.90N/AN/A88872,8691,491
2019-10-11$88.18$87.0013.4%3.8%14.6%33.3%12.4%6.9%-4.8%1.4M-7.1M-45.1K0.8086.14N/AN/A1681352,8781,512
2019-10-14$87.68$87.0012.0%3.4%14.6%26.6%12.8%4.9%1.6%784.8K-5.1M-43.1K5.6375.61N/AN/A8452,8961,597
2019-10-15$88.42$87.0011.3%3.2%15.0%23.5%10.5%4.5%1.6%1.6M-7.3M-43.7K0.3163.69N/AN/A85262,9081,576
2019-10-16$88.18$87.0011.6%3.3%15.0%25.1%13.1%4.7%1.5%1.4M-6.8M-42.9K6.6082.97N/AN/A684492,9801,568
2019-10-17$88.47$86.0011.5%3.3%15.1%24.5%12.0%4.5%1.1%1.2M-6.8M-46.5K1.0960.72N/AN/A55603,0061,812
2019-10-18$88.49$86.0011.9%3.4%15.1%26.1%13.0%4.3%1.6%1.9M-7.3M-46.9K4.1165.32N/AN/A18743,0201,814
2019-10-21$88.99$86.0010.9%3.1%15.2%21.5%10.5%4.6%1.8%811.8K-7.1M-46.3K0.4760.70N/AN/A140662,2051,035
2019-10-22$89.08$86.0010.9%3.1%13.9%21.9%11.9%4.6%0.8%902.5K-7.6M-48.3K0.1180.55N/AN/A264292,3261,088
2019-10-23$89.08$87.0010.9%3.1%13.8%21.7%9.6%4.5%1.3%1.1M-7.9M-50.9K0.1169.31N/AN/A132152,5651,107
2019-10-24$88.91$87.009.9%2.8%13.9%16.8%11.0%4.1%1.8%1.2M-8.0M-51.4K1.9770.32N/AN/A34672,6851,119
2019-10-25$89.44$87.009.8%2.8%14.0%16.5%10.6%4.0%1.6%1.3M-9.3M-51.4K0.2572.83N/AN/A65162,6771,131
2019-10-28$89.62$87.009.2%2.6%13.9%14.0%13.2%3.5%1.2%1.4M-10.2M-50.1K0.1091.99N/AN/A141142,7171,105
2019-10-29$89.76$87.009.3%2.7%12.8%14.1%9.4%3.0%2.0%1.5M-10.6M-50.7K2.6090.40N/AN/A20522,8421,118
2019-10-30$89.89$87.0013.3%3.8%10.5%32.8%11.3%-1.4%0.5%1.4M-10.6M-51.5K0.79136.43N/AN/A34272,8541,168
2019-10-31$89.42$87.0010.7%3.1%10.9%20.9%11.6%4.6%1.3%1.4M-9.5M-50.9K0.5689.73N/AN/A32182,8691,181