VYM Options History — April 2022

In April 2022, VYM traded between $107.93 and $114.73. ATM implied volatility averaged 14.8%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.8% (HV 20d: 12.0%). Max pain ranged from $110.00 to $110.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 3.63.

Notable Days

  • 2022-04-21: Highest Volume — 16,730 contracts
  • 2022-04-11: Largest IV spike — 42.3% change
  • 2022-04-29: Highest IV Rank — 70.0%
  • 2022-04-29: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.94$107.93$114.73$112.31$107.93
Max Pain$110.00$110.00$110.00$110.00$110.00
ATM IV14.8%10.1%21.0%10.8%21.0%
Expected Move4.3%3.4%6.0%3.7%6.0%
HV 20d12.0%10.0%16.5%12.9%16.5%
HV 60d15.1%14.7%16.3%14.9%16.3%
IV Rank36.1%10.7%70.0%14.6%70.0%
IV Percentile61.1%10.3%93.3%19.0%93.3%
Term Structure0.5%-1.9%1.9%1.9%-1.9%
VWIV15.5%11.5%21.0%14.5%21.0%
Skew 25d4.6%2.3%6.3%2.3%5.3%
Skew 10d8.2%3.8%11.1%3.8%6.4%
Call IV 25d12.6%9.8%17.8%9.8%17.8%
Put IV 25d17.3%12.1%23.1%12.1%23.1%
Bid-Ask Spread %52.2921.0966.5356.3066.53
Gamma HHI0.220.110.370.280.11
Net GEX9.4M2.5M19.3M12.3M2.5M
Net DEX-34.7M-67.8M-3.2M-40.6M-3.2M
Net VEX-235.7K-313.7K-185.4K-196.6K-218.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.630.0525.830.880.93
Total Volume4,238.5531916,7301,4671,179
Total OI30,942.320,50247,47821,25747,478

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-04-01$112.31$110.0010.8%3.7%12.9%14.6%14.5%2.3%1.9%12.3M-40.6M-196.6K0.8856.30N/AN/A78068716,5544,703
2022-04-04$112.49$110.0010.1%3.4%12.0%10.7%12.2%3.7%1.4%13.0M-41.2M-185.4K0.9042.43N/AN/A1,6021,44116,6514,716
2022-04-05$111.83$110.0011.7%3.6%11.9%19.5%14.3%4.3%1.5%9.5M-32.3M-219.3K1.7554.83N/AN/A9341,63217,5775,668
2022-04-06$112.14$110.0012.8%3.9%11.1%25.4%15.4%5.1%1.0%11.0M-36.1M-227.7K1.8061.26N/AN/A8821,59017,5995,695
2022-04-07$113.04$110.0011.8%3.7%10.9%20.0%14.4%4.7%1.3%15.3M-47.3M-237.0K2.0521.09N/AN/A6551,34417,5935,815
2022-04-08$113.63$110.0011.0%3.5%10.8%15.9%12.7%4.0%1.5%19.3M-56.8M-242.9K1.9823.94N/AN/A6791,34317,6975,834
2022-04-11$112.56$110.0015.7%4.1%11.5%41.3%14.9%4.9%0.7%11.4M-40.2M-220.5K1.0664.41N/AN/A66270117,8285,827
2022-04-12$112.13$110.0016.1%4.3%11.1%43.5%16.3%4.6%1.0%7.4M-33.1M-208.3K1.0762.74N/AN/A81687017,8665,951
2022-04-13$112.83$110.0013.1%3.7%11.1%26.9%15.1%4.5%1.3%9.1M-38.4M-207.2K1.8058.17N/AN/A1,0281,84917,8986,155
2022-04-14$112.61$110.0013.3%3.8%10.0%28.2%14.4%4.3%0.8%9.0M-36.8M-215.0K0.2149.26N/AN/A10,2622,11518,0246,639
2022-04-18$112.13$110.0014.4%4.1%10.1%34.3%14.4%3.5%0.6%7.6M-33.8M-257.9K1.0228.77N/AN/A89691315,9264,576
2022-04-19$113.63$110.0012.6%3.6%10.9%24.4%11.5%4.2%0.3%11.0M-48.5M-285.0K4.8058.89N/AN/A1,8468,85616,2914,892
2022-04-20$114.73$110.0012.2%3.5%10.9%22.4%12.4%4.1%0.8%14.2M-67.8M-313.7K1.4660.50N/AN/A9261,35117,56813,023
2022-04-21$113.42$110.0015.1%4.3%11.4%38.0%15.3%4.3%0.2%11.4M-51.9M-299.7K22.3061.94N/AN/A71816,01217,89213,553
2022-04-22$111.34$110.0017.5%5.0%13.1%51.1%17.8%5.4%0.1%7.1M-28.9M-269.5K25.8358.29N/AN/A60715,67917,99728,826
2022-04-25$110.75$110.0017.9%5.1%12.7%53.1%17.4%5.7%-0.7%5.3M-18.9M-230.8K0.8464.55N/AN/A68858118,01629,029
2022-04-26$109.27$110.0020.3%5.8%13.4%66.4%20.4%5.8%-0.5%3.4M-10.8M-228.4K1.0651.55N/AN/A55959117,94029,125
2022-04-27$109.31$110.0020.0%5.7%12.9%64.9%17.1%5.7%-1.0%3.5M-9.8M-222.8K0.0541.45N/AN/A3051417,97129,191
2022-04-28$110.82$110.0017.7%5.1%14.0%52.1%18.4%6.3%-0.8%5.3M-18.7M-226.6K0.8458.94N/AN/A64153718,06229,200
2022-04-29$107.93$110.0021.0%6.0%16.5%70.0%21.0%5.3%-1.9%2.5M-3.2M-218.6K0.9366.53N/AN/A61256718,22529,253