VYM Options History — September 2022

In September 2022, VYM traded between $95.38 and $107.23. ATM implied volatility averaged 19.2%, placing in the 56.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.6% (HV 20d: 18.6%). Max pain ranged from $103.00 to $105.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 4.44.

Notable Days

  • 2022-09-30: Highest Volume — 13,988 contracts
  • 2022-09-12: Largest IV spike — 36.7% change
  • 2022-09-27: Highest IV Rank — 89.2%
  • 2022-09-27: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.55$95.38$107.23$103.78$95.38
Max Pain$104.48$103.00$105.00$105.00$103.00
ATM IV19.2%14.0%24.7%17.6%23.2%
Expected Move5.4%4.2%7.1%5.1%6.6%
HV 20d18.6%14.9%22.8%15.1%22.8%
HV 60d17.1%16.1%18.5%18.5%17.9%
IV Rank56.9%25.2%89.2%50.9%80.1%
IV Percentile72.0%35.3%98.4%63.5%96.0%
Term Structure0.1%-2.3%2.2%-0.8%-0.8%
VWIV18.5%14.9%26.4%18.2%26.4%
Skew 25d4.3%3.4%6.3%3.4%5.4%
Skew 10d8.0%5.2%11.9%5.7%9.7%
Call IV 25d17.0%13.4%21.2%16.4%20.4%
Put IV 25d21.3%16.9%27.3%19.7%25.8%
Bid-Ask Spread %47.3422.9062.1545.6854.94
Gamma HHI0.260.140.460.360.15
Net GEX4.4M-5.5K17.5M6.9M283.1K
Net DEX-10.2M-63.2M12.7M-20.1M12.7M
Net VEX-156.5K-196.0K-126.7K-177.7K-137.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.440.2011.890.349.65
Total Volume5,884.14328613,98863013,988
Total OI45,210.71438,22847,41145,63045,491

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$103.78$105.0017.6%5.1%15.1%50.9%18.2%3.4%-0.8%6.9M-20.1M-177.7K0.3445.68N/AN/A46916119,15526,475
2022-09-02$103.16$105.0017.3%5.0%15.1%49.1%18.0%3.6%-0.5%5.8M-14.7M-161.7K0.3847.02N/AN/A2469419,07626,531
2022-09-06$103.10$105.0018.5%5.0%15.1%55.5%17.4%4.3%0.6%5.2M-11.3M-145.5K10.2756.81N/AN/A1,06810,96419,15326,578
2022-09-07$104.51$105.0016.3%4.6%16.0%41.2%17.0%4.0%1.0%8.5M-24.8M-167.6K11.8350.54N/AN/A92510,94219,34726,673
2022-09-08$104.87$105.0015.3%4.6%14.9%32.8%15.0%3.8%1.4%9.9M-25.6M-167.1K0.2752.12N/AN/A38210419,49826,723
2022-09-09$106.64$105.0014.0%4.2%16.1%25.2%15.5%3.5%2.2%16.5M-52.0M-196.0K0.6851.94N/AN/A42528819,70126,778
2022-09-12$107.23$105.0019.1%4.2%15.4%55.9%14.9%3.5%1.9%17.5M-63.2M-196.0K0.4022.90N/AN/A28711419,91026,879
2022-09-13$103.43$105.0021.7%5.0%19.7%71.1%16.6%3.8%1.1%4.6M-10.1M-138.1K7.2056.61N/AN/A1,52810,99820,07726,924
2022-09-14$104.20$105.0016.5%4.7%19.8%40.5%16.0%3.4%0.7%2.9M-11.6M-142.2K0.3562.15N/AN/A2127420,24727,063
2022-09-15$103.43$105.0017.7%5.1%19.9%47.6%17.9%3.8%1.0%1.6M-7.6M-136.2K0.8156.51N/AN/A18615120,27827,078
2022-09-16$102.88$105.0017.3%5.0%19.6%45.3%17.2%4.7%0.7%-5.5K-4.1M-126.7K9.8138.44N/AN/A1,13711,15620,28427,127
2022-09-19$102.69$105.0018.0%5.2%19.6%49.3%16.8%3.8%-0.1%2.1M-5.7M-127.2K0.2038.30N/AN/A72314112,30425,924
2022-09-20$101.81$105.0018.9%5.4%19.0%54.6%19.5%4.0%-0.4%1.7M-4.4M-128.2K0.2134.84N/AN/A5,2031,08812,68125,903
2022-09-21$100.42$105.0020.0%5.7%19.3%61.0%18.3%4.2%-0.5%2.9M-5.9M-194.6K1.9857.65N/AN/A27253917,59026,903
2022-09-22$100.33$104.0019.4%5.6%19.3%57.5%18.4%4.0%-0.4%2.5M-5.6M-190.1K0.3332.43N/AN/A52617317,73827,169
2022-09-23$97.65$104.0020.6%5.9%20.4%64.9%19.5%4.8%-0.2%1.0M6.5M-158.8K0.4027.52N/AN/A52521017,90927,178
2022-09-26$96.69$104.0021.8%6.3%19.4%72.0%21.6%4.7%-1.0%686.4K9.7M-143.3K11.8945.48N/AN/A95811,39117,97127,166
2022-09-27$95.81$103.0024.7%7.1%19.5%89.2%22.7%6.3%-2.3%480.5K12.0M-137.3K10.0853.62N/AN/A1,12711,36117,97827,189
2022-09-28$98.22$103.0022.2%6.4%21.9%74.1%18.8%5.5%-0.9%1.3M2.3M-167.3K7.9553.47N/AN/A1,31110,42718,18127,193
2022-09-29$96.32$103.0022.8%6.5%22.7%77.9%22.8%5.7%-0.7%557.2K10.2M-146.9K8.3055.15N/AN/A1,25710,43618,19927,203
2022-09-30$95.38$103.0023.2%6.6%22.8%80.1%26.4%5.4%-0.8%283.1K12.7M-137.2K9.6554.94N/AN/A1,31312,67518,26027,231