VYM Options History — February 2020

In February 2020, VYM traded between $80.88 and $94.63. ATM implied volatility averaged 16.0%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.8% (HV 20d: 13.2%). Max pain ranged from $91.00 to $93.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.03.

Notable Days

  • 2020-02-28: Highest Volume — 1,273 contracts
  • 2020-02-28: Largest IV spike — 43.3% change
  • 2020-02-25: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.92$80.88$94.63$91.77$80.88
Max Pain$92.47$91.00$93.00$93.00$93.00
ATM IV16.0%10.7%44.4%14.3%44.4%
Expected Move4.7%3.1%12.7%4.1%12.7%
HV 20d13.2%9.5%25.5%9.5%25.5%
HV 60d9.9%8.1%16.9%8.1%16.9%
IV Rank51.9%29.1%100.0%52.7%100.0%
IV Percentile74.7%52.4%100.0%88.1%100.0%
Term Structure-1.5%-11.8%1.1%-0.0%-11.8%
VWIV16.4%10.8%41.0%14.4%41.0%
Skew 25d6.6%4.0%13.5%6.0%13.5%
Skew 10d11.5%6.7%19.6%13.0%19.6%
Call IV 25d13.2%9.2%33.6%11.4%33.6%
Put IV 25d19.7%13.5%47.1%17.4%47.1%
Bid-Ask Spread %47.0929.5071.2163.3270.78
Gamma HHI0.140.070.210.100.08
Net GEX889.5K-298.2K1.7M383.6K-298.2K
Net DEX-7.7M-15.4M14.7M-6.2M14.7M
Net VEX-61.9K-67.0K-53.3K-62.0K-53.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.123.250.150.78
Total Volume360.526851,2732901,273
Total OI6,232.8955,4056,9855,4056,985

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$91.77$93.0014.3%4.1%9.5%52.7%14.4%6.0%-0.0%383.6K-6.2M-62.0K0.1563.32N/AN/A253372,9292,476
2020-02-04$92.74$92.0011.8%3.4%10.3%35.9%14.1%4.6%0.9%726.2K-9.3M-61.1K0.6271.21N/AN/A2971832,9972,490
2020-02-05$94.10$92.0010.9%3.1%11.5%30.3%11.4%4.2%1.1%1.0M-13.1M-62.3K0.1245.11N/AN/A294343,1262,525
2020-02-06$94.26$91.0010.7%3.4%11.4%29.1%10.8%5.3%-0.3%1.2M-13.0M-60.7K0.1432.99N/AN/A104153,0882,538
2020-02-07$93.81$91.0010.8%3.5%11.6%30.0%15.7%6.1%-0.5%1.0M-11.4M-62.4K3.2529.50N/AN/A20653,1092,533
2020-02-10$93.81$91.0011.1%3.4%11.5%31.5%12.1%6.0%-0.2%1.1M-11.4M-60.3K0.7932.96N/AN/A66523,1212,532
2020-02-11$94.38$92.0011.1%3.5%11.6%31.7%11.6%5.3%-0.3%1.3M-13.6M-58.9K2.0033.95N/AN/A591183,1522,568
2020-02-12$94.63$92.0010.9%3.1%11.6%30.2%12.2%4.4%-0.3%1.6M-14.5M-56.6K0.5544.34N/AN/A5643083,1862,562
2020-02-13$94.31$93.0012.0%3.4%11.7%37.3%13.3%5.3%-0.4%1.7M-15.4M-65.7K1.2940.57N/AN/A41533,7062,750
2020-02-14$94.15$93.0011.2%3.2%11.4%32.4%12.0%4.5%0.1%1.6M-14.6M-64.1K1.5637.17N/AN/A711113,7122,801
2020-02-18$93.74$93.0011.7%3.4%11.5%35.6%15.1%4.8%-0.6%1.3M-12.9M-62.7K0.2941.60N/AN/A163473,7412,840
2020-02-19$93.98$93.0011.1%3.2%11.5%31.7%11.4%4.0%-0.0%1.5M-14.5M-61.5K0.2046.99N/AN/A188383,7972,869
2020-02-20$93.83$93.0011.4%3.3%11.5%33.5%13.5%5.6%0.0%1.5M-13.7M-61.3K1.2362.15N/AN/A1221503,8842,905
2020-02-21$93.40$93.0014.9%4.3%11.6%56.2%13.6%7.0%-1.6%1.1M-11.5M-66.6K1.2860.55N/AN/A1001283,9333,016
2020-02-24$91.19$93.0019.9%5.7%13.9%88.8%20.2%9.3%-2.7%618.9K-3.9M-67.0K1.8051.08N/AN/A1993593,5582,756
2020-02-25$88.58$93.0022.8%6.5%16.9%100.0%21.5%9.1%-2.8%12.9K3.4M-63.8K1.9233.24N/AN/A1563003,5663,027
2020-02-26$87.97$93.0022.9%6.6%16.7%100.0%20.1%7.7%-3.0%-137.7K4.8M-63.1K0.1240.88N/AN/A380443,5763,192
2020-02-27$84.91$93.0031.0%8.9%20.3%100.0%27.1%11.7%-5.8%-267.2K9.4M-62.4K1.4556.36N/AN/A1872713,6573,222
2020-02-28$80.88$93.0044.4%12.7%25.5%100.0%41.0%13.5%-11.8%-298.2K14.7M-53.3K0.7870.78N/AN/A7165573,6653,320