VYM Options History — December 2019

In December 2019, VYM traded between $90.49 and $94.47. ATM implied volatility averaged 9.8%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 1.8% (HV 20d: 8.0%). Max pain ranged from $87.00 to $93.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2019-12-30: Highest Volume — 759 contracts
  • 2019-12-30: Largest IV spike — 31.1% change
  • 2019-12-03: Highest IV Rank — 36.0%
  • 2019-12-03: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.89$90.49$94.47$91.38$93.66
Max Pain$88.14$87.00$93.00$90.00$93.00
ATM IV9.8%7.4%14.0%11.7%9.4%
Expected Move2.8%2.1%4.0%3.4%2.7%
HV 20d8.0%4.4%9.4%4.4%9.2%
HV 60d9.8%8.2%10.4%9.7%8.2%
IV Rank17.0%5.3%36.0%25.4%20.5%
IV Percentile32.3%2.8%74.6%58.3%30.6%
Term Structure1.7%-1.4%3.6%-0.3%1.7%
VWIV10.2%7.1%14.4%13.3%8.8%
Skew 25d4.1%2.1%6.4%5.2%4.3%
Skew 10d8.8%4.7%11.9%11.9%10.6%
Call IV 25d8.1%5.5%10.2%9.4%8.9%
Put IV 25d12.2%9.3%16.5%14.6%13.3%
Bid-Ask Spread %66.1847.9680.0972.8880.09
Gamma HHI0.180.160.310.170.31
Net GEX1.7M729.4K2.6M1.7M1.5M
Net DEX-16.3M-25.0M-8.5M-13.0M-9.8M
Net VEX-47.3K-57.4K-36.9K-52.9K-53.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.074.144.140.23
Total Volume182.1924759329186
Total OI4,746.0953,5735,2864,6384,287

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$91.38$90.0011.7%3.4%4.4%25.4%13.3%5.2%-0.3%1.7M-13.0M-52.9K4.1472.88N/AN/A642653,1721,466
2019-12-03$90.49$90.0014.0%4.0%5.6%36.0%12.7%6.4%-1.4%1.5M-9.9M-57.4K0.6074.94N/AN/A72433,2171,679
2019-12-04$91.38$90.0012.4%3.5%6.5%28.5%11.7%5.4%-0.8%1.7M-13.1M-55.2K0.1878.18N/AN/A74133,2311,709
2019-12-05$91.45$87.0011.9%3.5%6.5%26.3%9.4%4.5%-0.9%1.8M-13.5M-53.1K0.0761.78N/AN/A9973,2291,715
2019-12-06$92.33$87.0010.7%3.0%7.3%20.7%12.1%4.8%2.0%2.0M-16.8M-52.9K0.1656.92N/AN/A160263,3381,719
2019-12-09$92.19$87.0011.4%3.1%7.3%23.9%14.4%4.9%1.9%2.1M-16.6M-52.7K0.1955.23N/AN/A77153,3801,733
2019-12-10$92.01$87.0011.7%3.1%7.2%25.5%12.7%5.3%1.8%2.0M-15.9M-53.9K0.3555.19N/AN/A2383,4021,743
2019-12-11$92.08$87.0010.7%3.1%7.2%20.8%12.9%4.8%2.0%2.1M-16.5M-52.1K0.7153.81N/AN/A14103,3981,751
2019-12-12$93.26$87.009.5%2.7%8.4%15.4%9.2%4.0%2.5%2.3M-20.3M-47.4K1.4558.88N/AN/A49713,4021,755
2019-12-13$92.98$87.008.1%2.3%8.4%8.9%8.6%3.3%3.4%2.6M-20.5M-42.8K1.1362.24N/AN/A54613,4091,766
2019-12-16$93.56$87.007.6%2.2%8.6%6.4%9.0%2.3%3.1%2.4M-22.9M-38.9K0.2968.59N/AN/A154443,4311,793
2019-12-17$93.76$87.007.6%2.2%8.6%6.5%8.3%2.4%3.1%2.2M-23.2M-38.6K0.5067.37N/AN/A34173,4291,805
2019-12-18$93.74$87.007.4%2.1%8.5%5.3%8.7%2.1%3.5%2.2M-23.4M-37.4K1.7764.74N/AN/A701243,4231,813
2019-12-19$93.76$87.007.9%2.3%8.3%7.5%9.5%2.5%3.4%2.1M-23.1M-40.5K0.1367.33N/AN/A168223,4451,841
2019-12-20$94.47$87.007.9%2.3%8.6%7.7%7.1%3.0%3.6%1.7M-25.0M-36.9K0.0773.51N/AN/A458303,4301,832
2019-12-23$93.63$87.008.0%2.3%9.4%8.3%8.0%3.8%1.9%740.0K-11.5M-42.2K0.1278.84N/AN/A336402,1091,464
2019-12-24$93.52$88.008.1%2.3%9.4%8.7%8.6%5.3%2.0%844.5K-12.3M-47.2K0.8879.49N/AN/A40352,3791,502
2019-12-26$93.74$88.008.2%2.4%9.4%10.4%8.7%3.4%1.9%889.8K-12.6M-45.7K0.3852.35N/AN/A37142,3861,519
2019-12-27$93.83$88.008.9%2.6%9.3%14.2%10.4%4.0%1.5%908.3K-13.1M-46.7K0.6179.49N/AN/A33202,4281,532
2019-12-30$93.42$93.0011.7%3.4%9.4%30.4%9.4%4.7%0.2%729.4K-8.5M-46.6K0.1047.96N/AN/A689702,0391,567
2019-12-31$93.66$93.009.4%2.7%9.2%20.5%8.8%4.3%1.7%1.5M-9.8M-53.1K0.2380.09N/AN/A151352,6761,611