VYM Options History — January 2020

In January 2020, VYM traded between $91.24 and $94.70. ATM implied volatility averaged 10.9%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 3.8% (HV 20d: 7.1%). Max pain ranged from $91.00 to $94.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.72.

Notable Days

  • 2020-01-31: Highest Volume — 436 contracts
  • 2020-01-14: Largest IV spike — 37.5% change
  • 2020-01-31: Highest IV Rank — 67.8%
  • 2020-01-31: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.48$91.24$94.70$93.83$91.24
Max Pain$92.71$91.00$94.00$93.00$93.00
ATM IV10.9%6.7%16.7%8.5%16.7%
Expected Move3.3%2.4%4.8%2.4%4.8%
HV 20d7.1%5.0%9.2%8.3%9.2%
HV 60d7.2%6.8%8.2%8.2%8.0%
IV Rank30.5%3.0%67.8%14.7%67.8%
IV Percentile51.5%1.2%93.7%17.9%93.7%
Term Structure1.1%-0.8%2.3%2.1%-0.7%
VWIV11.6%9.0%15.6%11.9%15.6%
Skew 25d5.0%3.7%6.5%3.7%6.5%
Skew 10d9.8%8.3%12.2%8.9%11.0%
Call IV 25d9.2%7.8%13.2%7.8%13.2%
Put IV 25d14.2%11.5%19.6%11.5%19.6%
Bid-Ask Spread %47.8527.8176.3476.3432.95
Gamma HHI0.240.100.660.350.10
Net GEX1.5M377.7K4.8M1.8M377.7K
Net DEX-10.9M-15.8M-5.3M-10.8M-5.3M
Net VEX-56.2K-62.0K-53.0K-53.0K-62.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.0513.470.522.30
Total Volume175.42960436259436
Total OI4,916.3814,1725,6714,4425,073

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$93.83$93.008.5%2.4%8.3%14.7%11.9%3.7%2.1%1.8M-10.8M-53.0K0.5276.34N/AN/A170892,7821,660
2020-01-03$93.33$91.0011.1%3.2%8.1%31.8%12.1%4.7%0.9%1.5M-10.1M-53.9K2.7673.40N/AN/A451242,8831,725
2020-01-06$93.17$94.0011.1%3.3%8.1%31.6%14.3%5.8%1.2%1.4M-9.8M-53.8K0.5127.81N/AN/A179912,9271,828
2020-01-07$92.97$94.009.9%3.2%7.5%23.7%12.7%5.4%1.6%1.0M-10.0M-53.6K0.6428.35N/AN/A114733,0781,871
2020-01-08$93.40$92.009.7%3.1%7.7%22.7%9.2%5.1%1.4%1.6M-11.4M-54.3K0.7862.04N/AN/A110863,0871,917
2020-01-09$93.49$92.009.7%3.1%7.6%22.5%9.5%5.1%1.4%1.3M-11.3M-55.0K0.7727.98N/AN/A57443,1722,017
2020-01-10$93.22$92.009.1%3.0%7.7%18.4%9.9%4.6%1.5%1.4M-11.1M-54.8K0.2135.46N/AN/A89193,2252,016
2020-01-13$93.60$92.006.7%2.8%6.4%3.0%9.0%4.8%1.8%1.6M-12.1M-54.2K0.4133.65N/AN/A44183,2662,020
2020-01-14$93.81$92.009.2%2.8%6.3%19.3%10.1%4.6%1.8%2.1M-12.9M-53.7K3.4334.09N/AN/A471613,3022,014
2020-01-15$93.78$92.009.7%2.8%5.9%22.5%10.7%4.2%1.5%1.8M-12.7M-55.0K1.0039.71N/AN/A56563,3312,158
2020-01-16$94.47$93.0010.1%2.9%6.4%24.9%10.4%4.2%1.4%3.7M-15.2M-54.1K0.9462.63N/AN/A72683,3782,213
2020-01-17$94.70$93.008.9%2.5%6.5%17.3%10.6%3.8%2.3%4.8M-15.8M-55.1K0.0541.97N/AN/A13063,4412,230
2020-01-21$94.42$93.0010.6%3.0%6.6%28.2%11.1%4.3%1.3%915.8K-12.5M-53.5K2.3740.24N/AN/A601422,5921,580
2020-01-22$94.53$93.009.8%2.8%6.0%23.0%10.6%3.9%1.2%889.5K-12.4M-55.9K0.3242.87N/AN/A60192,6381,707
2020-01-23$94.44$93.0011.0%3.2%5.0%30.9%10.2%5.0%1.1%936.9K-12.3M-55.0K1.3637.00N/AN/A1031402,6651,721
2020-01-24$93.49$93.0013.2%3.8%6.3%44.9%14.4%5.4%0.5%790.8K-10.2M-59.5K13.4736.22N/AN/A152022,7491,790
2020-01-27$92.62$93.0014.4%4.1%7.0%52.7%14.6%6.2%-0.1%622.8K-8.2M-61.3K1.6463.45N/AN/A751232,7631,901
2020-01-28$93.15$93.0013.5%3.9%7.4%47.4%11.4%6.1%0.5%709.6K-9.2M-61.3K0.1467.53N/AN/A94132,7902,008
2020-01-29$92.69$93.0012.8%3.7%7.4%42.8%13.6%5.6%0.5%650.0K-8.5M-60.8K0.7166.91N/AN/A35252,8362,013
2020-01-30$92.77$93.0014.1%4.0%7.3%50.8%12.7%6.3%-0.8%663.1K-8.1M-60.5K1.8574.31N/AN/A681262,8432,034
2020-01-31$91.24$93.0016.7%4.8%9.2%67.8%15.6%6.5%-0.7%377.7K-5.3M-62.0K2.3032.95N/AN/A1323042,8992,174