VYM Options History — March 2022

In March 2022, VYM traded between $108.06 and $114.10. ATM implied volatility averaged 17.8%, placing in the 53.9% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 0.5% (HV 20d: 18.3%). Max pain ranged from $103.00 to $113.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.75.

Notable Days

2022-03-23: Highest Volume — 6,340 contracts
2022-03-02: Largest IV drop — 17.3% change
2022-03-01: Highest IV Rank — 100.0%
2022-03-08: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.90	$108.06	$114.10	$108.06	$112.74
Max Pain	$110.00	$103.00	$113.00	$113.00	$110.00
ATM IV	17.8%	10.9%	26.5%	24.9%	12.0%
Expected Move	5.3%	3.4%	7.7%	7.1%	3.6%
HV 20d	18.3%	12.5%	20.1%	18.0%	12.8%
HV 60d	15.3%	14.9%	15.7%	14.9%	14.9%
IV Rank	53.9%	15.1%	100.0%	100.0%	21.0%
IV Percentile	75.0%	20.2%	100.0%	100.0%	41.7%
Term Structure	-0.4%	-3.3%	1.4%	-3.3%	0.6%
VWIV	18.7%	11.8%	26.4%	23.8%	15.3%
Skew 25d	5.3%	1.8%	7.9%	7.9%	1.8%
Skew 10d	9.4%	1.8%	13.7%	13.7%	4.2%
Call IV 25d	15.1%	9.5%	20.9%	20.9%	11.3%
Put IV 25d	20.3%	12.7%	28.8%	28.8%	13.1%
Bid-Ask Spread %	41.54	22.13	77.79	51.38	39.37
Gamma HHI	0.27	0.19	0.40	0.21	0.32
Net GEX	8.5M	3.6M	17.5M	4.2M	13.9M
Net DEX	-34.3M	-71.5M	-11.5M	-14.2M	-49.5M
Net VEX	-197.1K	-238.7K	-154.4K	-198.0K	-216.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.10	1.55	0.60	1.19
Total Volume	2,407.435	1,327	6,340	1,472	1,427
Total OI	21,569.087	14,337	23,788	22,380	21,134

Daily Data (23 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
2022-03-01	$108.06	$113.00	24.9%	7.1%	18.0%	100.0%	23.8%	7.9%	-3.3%	4.2M	-14.2M	-198.0K	0.60	51.38	N/A	N/A	921	551	17,435	4,945
2022-03-02	$110.65	$113.00	20.6%	5.9%	19.6%	74.4%	21.4%	7.0%	-0.7%	7.0M	-32.4M	-221.8K	0.61	54.65	N/A	N/A	918	556	17,488	5,025
2022-03-03	$110.44	$113.00	22.9%	6.6%	19.3%	87.9%	22.3%	7.5%	-1.3%	7.0M	-33.7M	-227.8K	0.69	28.66	N/A	N/A	864	594	17,574	5,051
2022-03-04	$110.28	$113.00	23.5%	6.7%	19.0%	91.7%	23.6%	7.2%	-1.4%	6.3M	-30.2M	-220.2K	0.53	34.70	N/A	N/A	1,161	615	17,599	5,129
2022-03-07	$108.95	$113.00	26.5%	7.6%	19.3%	100.0%	26.4%	7.1%	-2.1%	4.8M	-20.6M	-205.0K	0.54	59.57	N/A	N/A	922	499	17,704	5,204
2022-03-08	$108.20	$113.00	23.4%	7.7%	19.4%	83.2%	25.9%	6.8%	-1.6%	4.2M	-14.6M	-191.6K	0.65	65.34	N/A	N/A	805	522	17,750	5,255
2022-03-09	$109.62	$113.00	20.6%	6.6%	20.0%	67.7%	21.1%	7.3%	-0.6%	5.5M	-22.3M	-196.9K	0.52	64.34	N/A	N/A	982	515	17,742	5,336
2022-03-10	$108.86	$113.00	20.8%	6.6%	19.9%	68.7%	22.1%	7.0%	-0.5%	4.1M	-13.7M	-176.3K	0.60	70.69	N/A	N/A	906	543	17,877	5,345
2022-03-11	$108.50	$113.00	21.1%	6.7%	19.3%	70.4%	21.5%	5.6%	-0.9%	4.1M	-13.8M	-179.6K	0.65	77.79	N/A	N/A	931	601	17,883	5,384
2022-03-14	$108.34	$103.00	22.2%	6.1%	19.3%	76.8%	20.9%	6.2%	-0.8%	3.6M	-11.5M	-164.8K	0.68	28.46	N/A	N/A	1,626	1,109	17,949	5,432
2022-03-15	$109.60	$103.00	20.0%	5.6%	19.6%	64.6%	20.7%	6.1%	-0.7%	4.7M	-20.1M	-165.3K	1.22	33.68	N/A	N/A	1,048	1,278	18,040	5,274
2022-03-16	$110.33	$103.00	18.0%	5.1%	19.6%	53.9%	18.8%	5.0%	-0.7%	5.7M	-23.6M	-154.4K	0.98	29.47	N/A	N/A	1,208	1,186	18,139	5,289
2022-03-17	$111.90	$0.00	15.7%	4.7%	20.1%	41.2%	16.3%	4.3%	0.4%	9.0M	-38.6M	-165.0K	0.94	25.40	N/A	N/A	1,592	1,491	18,217	5,219
2022-03-18	$112.22	$106.00	14.8%	4.4%	19.7%	36.1%	15.9%	4.0%	0.6%	11.5M	-42.4M	-160.3K	1.00	22.13	N/A	N/A	1,328	1,332	18,546	5,242
2022-03-21	$111.54	$110.00	14.6%	4.2%	19.8%	35.1%	15.5%	4.7%	-0.2%	6.7M	-32.6M	-167.6K	0.43	46.40	N/A	N/A	1,419	606	10,606	3,731
2022-03-22	$112.53	$110.00	13.1%	4.0%	19.6%	27.4%	12.2%	3.9%	0.8%	8.6M	-40.4M	-166.9K	0.10	34.38	N/A	N/A	5,585	547	11,134	3,868
2022-03-23	$111.64	$110.00	13.9%	4.1%	19.3%	31.2%	12.0%	4.7%	0.3%	10.0M	-40.3M	-207.6K	0.13	35.02	N/A	N/A	5,626	714	15,791	3,998
2022-03-24	$112.31	$110.00	13.7%	4.0%	18.8%	30.3%	11.8%	4.0%	0.2%	11.5M	-47.0M	-226.8K	0.11	40.03	N/A	N/A	5,312	587	15,938	4,137
2022-03-25	$113.32	$109.00	13.0%	4.0%	15.7%	26.3%	16.8%	3.8%	0.7%	14.0M	-61.7M	-238.7K	1.19	32.19	N/A	N/A	692	824	16,137	4,159
2022-03-28	$113.10	$109.00	11.9%	3.6%	15.5%	20.7%	16.2%	3.7%	0.8%	14.8M	-54.7M	-217.7K	1.55	31.63	N/A	N/A	607	942	16,255	4,350
2022-03-29	$114.10	$110.00	11.1%	3.4%	14.6%	16.4%	15.2%	3.2%	0.7%	17.5M	-71.5M	-234.6K	1.43	23.60	N/A	N/A	794	1,138	16,281	4,415
2022-03-30	$113.56	$110.00	10.9%	3.5%	12.5%	15.1%	14.1%	2.3%	1.4%	16.5M	-60.5M	-229.5K	0.84	26.56	N/A	N/A	1,059	888	16,480	4,602
2022-03-31	$112.74	$110.00	12.0%	3.6%	12.8%	21.0%	15.3%	1.8%	0.6%	13.9M	-49.5M	-216.8K	1.19	39.37	N/A	N/A	652	775	16,480	4,654