VYM Options History — March 2020

In March 2020, VYM traded between $60.77 and $87.19. ATM implied volatility averaged 53.6%, placing in the 80.7% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 3.6% (HV 20d: 57.2%). Max pain ranged from $70.00 to $91.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 1.16.

Notable Days

  • 2020-03-23: Highest Volume — 1,169 contracts
  • 2020-03-05: Largest IV spike — 46.4% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 23.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.33$60.77$87.19$85.41$70.79
Max Pain$82.41$70.00$91.00$91.00$70.00
ATM IV53.6%26.0%80.0%26.9%49.8%
Expected Move15.0%7.4%23.0%7.7%14.3%
HV 20d57.2%33.1%79.9%33.2%76.1%
HV 60d35.1%20.3%47.7%20.4%47.7%
IV Rank80.7%51.8%100.0%54.2%59.0%
IV Percentile98.6%94.4%100.0%99.2%94.8%
Term Structure-10.9%-25.2%-1.4%-3.3%-6.7%
VWIV51.2%26.0%78.4%28.5%55.6%
Skew 25d19.3%11.7%28.8%16.7%21.3%
Skew 10d32.8%21.4%49.8%21.7%36.6%
Call IV 25d41.2%21.0%64.1%21.4%38.0%
Put IV 25d60.5%32.7%84.5%38.1%59.3%
Bid-Ask Spread %72.2735.0588.6761.0865.36
Gamma HHI0.100.050.240.070.24
Net GEX10.4K-302.2K519.5K-302.2K519.5K
Net DEX10.3M340.2K16.6M9.0M2.7M
Net VEX-48.1K-68.7K-17.7K-59.9K-50.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.235.210.430.44
Total Volume517.5452351,169596447
Total OI7,868.2276,3799,1416,9809,141

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$85.41$91.0026.9%7.7%33.2%54.2%28.5%16.7%-3.3%-302.2K9.0M-59.9K0.4361.08N/AN/A4161803,7023,278
2020-03-03$84.82$90.0031.7%9.1%33.1%66.9%30.8%15.8%-4.6%-150.1K8.8M-64.7K1.3577.50N/AN/A1201624,0303,406
2020-03-04$87.19$90.0026.0%7.4%34.6%51.8%26.0%11.7%-2.9%-32.6K4.3M-68.7K0.2355.67N/AN/A262594,0653,455
2020-03-05$84.49$89.0038.0%8.8%35.3%83.5%35.8%13.9%-5.0%-50.5K8.5M-68.2K2.5135.05N/AN/A842114,2623,453
2020-03-06$83.18$89.0039.9%9.7%35.4%88.4%39.1%16.4%-6.6%-121.0K11.1M-67.2K5.2164.85N/AN/A924794,2633,585
2020-03-09$77.92$89.0047.5%12.2%41.1%100.0%39.8%17.4%-10.6%-139.6K15.7M-52.6K1.4462.08N/AN/A1171684,3133,397
2020-03-10$79.00$89.0048.6%11.9%41.8%100.0%35.4%14.8%-8.2%-148.1K14.7M-54.9K0.3862.42N/AN/A3351284,3683,454
2020-03-11$75.72$89.0050.3%14.4%43.1%100.0%44.0%16.0%-16.1%-149.7K16.3M-45.9K0.7068.09N/AN/A2291604,3233,356
2020-03-12$68.97$88.0061.7%17.7%51.7%100.0%64.0%18.3%-20.2%-77.2K16.6M-37.0K1.2581.55N/AN/A3374214,4953,244
2020-03-13$72.21$85.0053.4%15.3%56.0%85.1%60.5%28.8%-10.4%-113.6K15.5M-41.6K0.8388.67N/AN/A2622184,5463,241
2020-03-16$68.07$85.0069.8%20.0%58.1%100.0%76.5%26.0%-16.5%-75.7K14.2M-38.1K3.0079.13N/AN/A1504504,6693,196
2020-03-17$70.71$85.0073.1%21.0%61.1%100.0%61.6%19.7%-16.4%-51.6K12.2M-44.3K0.3878.23N/AN/A227864,6783,173
2020-03-18$65.54$85.0080.0%23.0%64.5%100.0%78.4%20.4%-20.4%-54.5K13.1M-38.7K2.9277.74N/AN/A651904,7763,150
2020-03-19$67.41$85.0072.8%20.9%66.4%90.2%56.5%22.0%-25.2%-81.8K14.0M-33.9K0.4682.82N/AN/A3641674,7813,188
2020-03-20$64.04$81.0059.4%17.0%67.3%72.0%54.7%18.6%-17.0%-63.8K14.9M-24.2K0.5280.70N/AN/A4532365,0653,151
2020-03-23$60.77$79.0065.6%18.8%68.4%80.4%53.8%17.8%-7.9%-75.3K13.2M-17.7K0.2687.06N/AN/A9282413,5692,810
2020-03-24$65.75$74.0058.1%16.7%76.7%70.3%53.8%19.9%-10.2%49.3K10.2M-33.7K0.4570.95N/AN/A3871734,3392,917
2020-03-25$68.52$70.0058.7%16.8%79.3%71.1%48.8%21.0%-12.3%170.7K6.5M-46.0K0.2686.69N/AN/A8762244,8492,968
2020-03-26$70.34$70.0059.1%16.9%79.9%71.6%60.5%23.5%-10.3%313.0K3.2M-54.3K0.3178.05N/AN/A4771485,5023,026
2020-03-27$70.47$70.0060.4%17.3%78.6%73.4%60.4%22.5%-7.5%380.7K1.5M-57.5K0.5275.50N/AN/A2781445,8093,006
2020-03-30$72.02$70.0048.1%13.8%76.0%56.7%61.8%22.1%-1.4%483.4K340.2K-57.5K1.5870.75N/AN/A911445,9913,111
2020-03-31$70.79$70.0049.8%14.3%76.1%59.0%55.6%21.3%-6.7%519.5K2.7M-50.7K0.4465.36N/AN/A3101375,9973,144