VYM Options History — January 2022

In January 2022, VYM traded between $109.41 and $114.94. ATM implied volatility averaged 16.2%, placing in the 49.3% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.5% (HV 20d: 12.7%). Max pain ranged from $107.00 to $114.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.94.

Notable Days

2022-01-21: Highest Volume — 12,867 contracts
2022-01-18: Largest IV spike — 25.3% change
2022-01-26: Highest IV Rank — 88.0%
2022-01-26: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$112.49	$109.41	$114.94	$112.44	$111.21
Max Pain	$111.60	$107.00	$114.00	$107.00	$112.00
ATM IV	16.2%	10.4%	22.8%	10.9%	17.7%
Expected Move	4.7%	3.0%	6.5%	3.1%	5.1%
HV 20d	12.7%	10.4%	13.8%	13.6%	12.4%
HV 60d	12.8%	12.3%	13.2%	12.6%	13.2%
IV Rank	49.3%	13.5%	88.0%	16.7%	61.4%
IV Percentile	70.6%	12.3%	98.8%	19.8%	90.9%
Term Structure	0.3%	-1.9%	1.9%	1.6%	-0.6%
VWIV	16.2%	11.0%	22.8%	11.7%	22.8%
Skew 25d	5.9%	3.3%	8.8%	3.3%	6.2%
Skew 10d	10.8%	6.4%	14.3%	6.6%	11.1%
Call IV 25d	13.7%	8.9%	19.4%	9.2%	15.1%
Put IV 25d	19.6%	12.6%	26.8%	12.6%	21.3%
Bid-Ask Spread %	41.95	28.40	67.71	32.11	29.97
Gamma HHI	0.29	0.21	0.37	0.27	0.23
Net GEX	12.6M	5.3M	19.9M	13.1M	10.2M
Net DEX	-67.2M	-107.1M	-26.6M	-65.1M	-40.5M
Net VEX	-247.7K	-269.5K	-202.7K	-234.0K	-269.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.14	1.57	0.91	1.49
Total Volume	3,704.45	2,235	12,867	3,070	2,742
Total OI	25,317	20,799	28,357	24,340	24,435

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2022-01-03	$112.44	$107.00	10.9%	3.1%	13.6%	16.7%	11.7%	3.3%	1.6%	13.1M	-65.1M	-234.0K	0.91	32.11	N/A	N/A	1,608	1,462	15,466	8,874
2022-01-04	$114.29	$107.00	10.4%	3.0%	13.6%	13.5%	11.0%	3.8%	1.8%	16.4M	-92.8M	-250.4K	1.01	57.28	N/A	N/A	1,587	1,609	15,538	8,945
2022-01-05	$113.87	$107.00	12.6%	3.6%	13.6%	26.8%	12.6%	4.6%	1.0%	13.8M	-86.3M	-264.2K	0.77	67.71	N/A	N/A	1,909	1,475	15,644	9,053
2022-01-06	$114.05	$111.00	12.9%	3.9%	13.6%	28.5%	14.6%	5.1%	1.8%	14.7M	-89.9M	-258.4K	0.73	40.34	N/A	N/A	1,947	1,427	16,062	9,069
2022-01-07	$114.65	$111.00	12.0%	3.7%	13.6%	23.4%	15.2%	5.6%	1.9%	15.8M	-100.6M	-257.2K	1.00	39.22	N/A	N/A	1,567	1,565	16,329	9,076
2022-01-10	$114.08	$112.00	14.3%	4.1%	13.8%	37.4%	13.3%	5.9%	1.0%	15.7M	-88.9M	-250.3K	0.73	47.88	N/A	N/A	2,200	1,601	16,462	9,230
2022-01-11	$114.82	$112.00	12.0%	3.6%	13.8%	23.1%	13.5%	5.1%	1.5%	18.5M	-106.4M	-253.3K	0.90	28.40	N/A	N/A	1,561	1,401	17,262	9,436
2022-01-12	$114.94	$112.00	12.7%	3.6%	13.8%	27.3%	12.9%	4.8%	0.9%	19.9M	-107.1M	-249.4K	1.02	35.75	N/A	N/A	1,381	1,402	17,348	9,451
2022-01-13	$114.81	$112.00	14.0%	4.0%	13.6%	35.0%	15.6%	5.9%	1.1%	17.7M	-106.2M	-253.3K	0.83	44.53	N/A	N/A	1,829	1,520	17,381	9,481
2022-01-14	$114.59	$112.00	13.5%	3.9%	13.3%	32.3%	14.7%	5.7%	1.0%	19.4M	-100.9M	-249.3K	0.96	40.80	N/A	N/A	1,470	1,415	17,488	9,540
2022-01-18	$112.99	$112.00	16.9%	4.9%	13.4%	52.8%	16.6%	5.7%	1.3%	15.1M	-72.5M	-225.0K	1.01	39.00	N/A	N/A	1,559	1,567	17,537	9,567
2022-01-19	$112.56	$112.00	16.6%	4.8%	10.4%	50.9%	15.5%	5.7%	0.5%	13.2M	-65.0M	-219.2K	1.27	33.87	N/A	N/A	1,584	2,016	17,575	9,796
2022-01-20	$111.48	$114.00	18.3%	5.2%	10.8%	61.1%	16.4%	5.4%	-0.5%	8.1M	-42.8M	-207.7K	0.81	32.58	N/A	N/A	2,031	1,636	17,500	10,423
2022-01-21	$109.91	$114.00	20.2%	5.8%	11.9%	72.7%	18.3%	7.0%	-1.8%	5.5M	-26.8M	-202.7K	0.14	49.54	N/A	N/A	11,309	1,558	17,856	10,501
2022-01-24	$109.41	$114.00	22.6%	6.5%	11.5%	87.0%	20.1%	7.5%	-1.5%	5.3M	-26.6M	-249.9K	0.56	44.79	N/A	N/A	2,590	1,449	15,888	4,911
2022-01-25	$110.35	$113.00	22.2%	6.4%	11.6%	84.7%	19.5%	7.3%	-0.7%	7.3M	-36.5M	-269.3K	0.72	45.20	N/A	N/A	2,455	1,777	17,079	5,058
2022-01-26	$109.43	$112.00	22.8%	6.5%	11.8%	88.0%	19.5%	7.1%	-1.9%	7.0M	-29.9M	-264.1K	1.57	47.83	N/A	N/A	1,143	1,791	18,011	5,245
2022-01-27	$109.83	$113.00	21.8%	6.2%	11.8%	86.3%	20.9%	8.8%	-1.2%	7.3M	-30.0M	-263.9K	1.21	46.32	N/A	N/A	1,227	1,484	18,199	5,558
2022-01-28	$110.11	$113.00	20.3%	5.8%	11.9%	76.9%	19.5%	7.3%	-1.4%	7.8M	-29.2M	-263.3K	1.10	35.81	N/A	N/A	1,066	1,169	18,350	5,716
2022-01-31	$111.21	$112.00	17.7%	5.1%	12.4%	61.4%	22.8%	6.2%	-0.6%	10.2M	-40.5M	-269.5K	1.49	29.97	N/A	N/A	1,100	1,642	18,613	5,822