VYM Options History — April 2020

In April 2020, VYM traded between $67.52 and $80.09. ATM implied volatility averaged 35.8%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 23.0% (HV 20d: 58.8%). Max pain ranged from $65.00 to $77.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2020-04-09: Highest Volume — 1,661 contracts
  • 2020-04-07: Largest IV spike — 17.0% change
  • 2020-04-01: Highest IV Rank — 61.1%
  • 2020-04-01: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.33$67.52$80.09$67.52$78.05
Max Pain$70.43$65.00$77.00$70.00$77.00
ATM IV35.8%25.6%51.3%51.3%28.5%
Expected Move10.2%7.3%14.7%14.7%8.2%
HV 20d58.8%37.4%78.1%76.0%37.4%
HV 60d51.9%48.5%53.5%48.5%53.5%
IV Rank40.0%26.1%61.1%61.1%30.1%
IV Percentile88.7%82.9%95.2%95.2%84.5%
Term Structure-2.3%-8.5%1.5%-1.6%0.4%
VWIV35.7%26.3%53.3%53.3%29.0%
Skew 25d14.4%10.3%20.4%18.2%11.8%
Skew 10d25.8%18.7%33.6%33.6%18.7%
Call IV 25d29.1%21.5%46.8%46.8%23.2%
Put IV 25d43.5%31.8%65.0%65.0%35.0%
Bid-Ask Spread %29.899.2577.2677.2637.48
Gamma HHI0.180.110.290.240.15
Net GEX738.2K376.6K1.3M386.9K842.1K
Net DEX-5.2M-15.8M6.8M6.8M-7.1M
Net VEX-64.4K-80.9K-45.2K-45.2K-78.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.131.950.601.95
Total Volume546.4292301,661322431
Total OI9,473.9526,57611,6199,3659,540

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$67.52$70.0051.3%14.7%76.0%61.1%53.3%18.2%-1.6%386.9K6.8M-45.2K0.6077.26N/AN/A2011216,1773,188
2020-04-02$69.67$65.0047.8%13.2%77.2%56.3%43.9%20.4%-8.5%557.9K3.8M-49.8K0.1428.67N/AN/A201296,3233,200
2020-04-03$68.51$65.0042.9%12.2%77.2%49.7%44.0%16.9%-5.9%562.5K5.5M-46.2K0.3232.02N/AN/A196626,4613,208
2020-04-06$72.71$65.0036.6%10.5%78.0%41.2%41.3%17.3%-6.3%802.3K-1.5M-53.6K0.1320.33N/AN/A696936,4003,199
2020-04-07$73.99$65.0042.9%11.1%78.1%49.6%39.4%19.0%-6.6%812.2K-4.1M-58.4K1.1633.58N/AN/A1681956,4663,239
2020-04-08$75.29$66.0037.4%10.7%77.0%42.2%35.7%14.9%-3.0%855.4K-7.3M-62.1K0.6528.91N/AN/A4643006,5263,416
2020-04-09$77.40$66.0036.9%10.6%69.2%41.5%35.6%12.7%-3.6%770.2K-13.1M-66.1K0.3234.28N/AN/A1,2594026,7693,660
2020-04-13$76.01$68.0036.8%10.5%68.0%41.3%34.8%15.3%-3.8%904.7K-9.2M-63.7K1.6130.33N/AN/A2093377,0383,926
2020-04-14$77.60$71.0032.3%9.2%64.2%35.2%36.0%11.6%-2.3%727.1K-13.9M-64.4K0.3229.47N/AN/A4711507,0784,069
2020-04-15$75.42$71.0036.1%10.4%64.2%40.4%36.9%13.7%-3.5%1.0M-7.2M-62.8K0.4631.04N/AN/A2831317,3874,118
2020-04-16$75.30$71.0035.4%10.2%57.1%39.5%36.7%13.6%-2.6%1.3M-7.1M-61.5K0.3521.55N/AN/A261927,4434,148
2020-04-17$77.72$71.0032.1%9.2%57.3%35.0%32.3%14.1%-1.2%903.7K-15.8M-64.5K0.3929.98N/AN/A6642627,4344,185
2020-04-20$76.51$71.0035.9%10.3%53.7%40.2%36.6%14.5%-1.4%425.7K-3.2M-63.9K0.6629.66N/AN/A5323494,2222,354
2020-04-21$74.51$72.0039.5%11.3%50.5%45.0%38.5%15.3%-1.9%376.6K-69.6K-65.0K1.8634.35N/AN/A2053824,6072,679
2020-04-22$75.88$73.0035.5%10.2%43.7%39.6%34.7%14.6%-0.2%431.9K-1.2M-69.5K0.2226.14N/AN/A297644,6783,004
2020-04-23$75.93$74.0034.1%9.8%41.8%37.7%32.2%13.7%-0.5%527.2K-1.7M-71.8K0.1538.30N/AN/A200305,0073,041
2020-04-24$76.81$74.0029.5%8.5%41.2%31.4%27.1%11.6%1.5%633.4K-3.5M-73.5K0.4424.54N/AN/A213935,1453,061
2020-04-27$78.38$74.0027.1%7.8%41.5%28.3%28.1%11.3%1.1%797.5K-7.2M-74.2K0.349.25N/AN/A5851965,3233,089
2020-04-28$78.67$74.0027.2%7.8%41.1%28.3%27.1%12.3%0.8%936.6K-9.6M-78.1K1.2515.29N/AN/A1431795,7083,175
2020-04-29$80.09$76.0025.6%7.3%40.5%26.1%26.3%10.3%0.6%937.7K-13.4M-80.9K1.2715.29N/AN/A1451845,8863,376
2020-04-30$78.05$77.0028.5%8.2%37.4%30.1%29.0%11.8%0.4%842.1K-7.1M-78.1K1.9537.48N/AN/A1462855,9703,570