VYM Options History — February 2022

In February 2022, VYM traded between $106.92 and $113.58. ATM implied volatility averaged 18.0%, placing in the 63.2% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.5% (HV 20d: 13.6%). Max pain ranged from $112.00 to $113.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.41.

Notable Days

  • 2022-02-18: Highest Volume — 11,759 contracts
  • 2022-02-03: Largest IV spike — 27.4% change
  • 2022-02-23: Highest IV Rank — 89.1%
  • 2022-02-23: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.14$106.92$113.58$112.54$109.52
Max Pain$112.95$112.00$113.00$113.00$113.00
ATM IV18.0%13.7%22.1%14.9%21.6%
Expected Move5.2%3.9%6.3%4.3%6.2%
HV 20d13.6%12.2%17.8%13.2%17.8%
HV 60d13.9%13.4%14.9%13.4%14.9%
IV Rank63.2%35.7%89.1%43.1%86.2%
IV Percentile87.1%64.7%98.0%74.2%97.2%
Term Structure-0.7%-2.8%1.9%0.1%-2.8%
VWIV18.0%14.7%21.9%18.4%21.9%
Skew 25d6.4%4.8%8.0%5.1%7.2%
Skew 10d11.4%8.5%15.4%9.0%13.2%
Call IV 25d15.1%11.8%18.9%13.3%18.5%
Put IV 25d21.5%16.6%25.7%18.4%25.7%
Bid-Ask Spread %41.5123.0861.7251.7631.56
Gamma HHI0.240.190.280.250.24
Net GEX10.3M3.0M19.9M13.6M5.6M
Net DEX-37.0M-76.8M-5.2M-55.6M-23.3M
Net VEX-238.9K-305.0K-175.1K-280.6K-208.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.182.711.690.56
Total Volume3,093.7891,41211,7592,9691,412
Total OI25,312.10520,88627,41424,87722,268

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-02-01$112.54$113.0014.9%4.3%13.2%43.1%18.4%5.1%0.1%13.6M-55.6M-280.6K1.6951.76N/AN/A1,1021,86718,7866,091
2022-02-02$113.49$112.0014.5%4.2%12.2%40.8%14.9%4.8%0.2%16.0M-74.4M-294.6K1.4361.72N/AN/A1,5312,19118,9236,169
2022-02-03$112.30$113.0018.5%5.0%12.6%66.2%17.0%6.5%-0.6%12.8M-57.6M-305.0K2.6540.92N/AN/A7792,06519,5566,790
2022-02-04$112.55$113.0015.2%4.5%12.7%45.1%16.0%6.3%-0.0%14.6M-57.6M-298.1K2.7142.87N/AN/A7642,06919,5666,833
2022-02-07$112.34$113.0017.1%4.7%12.5%57.2%15.8%5.4%0.1%14.2M-52.9M-280.2K2.5746.24N/AN/A7892,02719,6036,851
2022-02-08$112.88$113.0014.9%4.4%12.5%43.1%15.4%5.6%1.9%16.7M-61.8M-279.9K2.2238.94N/AN/A8941,98819,6736,815
2022-02-09$113.58$113.0013.7%3.9%12.5%35.7%14.7%5.1%0.7%19.9M-76.8M-278.7K2.0140.10N/AN/A8421,69119,8286,827
2022-02-10$111.89$113.0016.8%4.8%13.5%55.6%17.7%5.7%-0.1%13.4M-45.2M-258.6K1.8133.33N/AN/A8581,55319,8056,826
2022-02-11$111.42$113.0019.8%5.7%13.5%74.6%19.4%8.0%-0.9%10.9M-34.9M-249.6K1.2541.76N/AN/A8671,08119,9007,381
2022-02-14$110.45$113.0020.0%5.7%13.8%75.8%20.1%8.0%-1.6%7.9M-18.3M-212.3K1.7739.16N/AN/A9991,76520,0097,395
2022-02-15$111.19$113.0017.9%5.1%13.3%62.3%18.6%6.7%-1.0%10.8M-26.5M-209.5K1.4823.08N/AN/A8651,27920,0627,154
2022-02-16$111.91$113.0015.9%4.6%13.5%49.7%17.8%6.1%-0.2%12.0M-29.7M-202.8K1.6849.49N/AN/A7641,28420,1197,204
2022-02-17$110.66$113.0018.3%5.2%13.7%65.0%18.1%7.3%-1.1%5.1M-12.2M-185.4K1.1336.01N/AN/A1,1351,28520,1457,216
2022-02-18$110.42$113.0019.6%5.6%12.7%73.0%19.5%7.6%-0.7%4.3M-9.4M-179.0K0.2730.94N/AN/A9,2362,52320,1947,220
2022-02-22$109.26$113.0021.3%6.1%13.1%84.3%19.0%6.6%-2.3%5.1M-20.9M-216.9K0.1839.28N/AN/A5,42098416,2434,643
2022-02-23$107.95$113.0022.1%6.3%13.4%89.1%19.9%5.9%-1.9%4.0M-12.9M-201.5K0.4233.04N/AN/A1,08145216,6104,774
2022-02-24$106.92$113.0021.1%6.0%13.5%82.9%20.3%7.6%-2.2%3.0M-5.2M-175.1K0.4859.68N/AN/A97246416,8714,801
2022-02-25$110.31$113.0019.3%5.5%17.7%71.3%17.3%5.8%-1.2%6.4M-28.2M-222.9K0.3948.72N/AN/A1,37053416,9304,849
2022-02-28$109.52$113.0021.6%6.2%17.8%86.2%21.9%7.2%-2.8%5.6M-23.3M-208.4K0.5631.56N/AN/A90350917,3984,870