VYM Options History — October 2022

In October 2022, VYM traded between $96.47 and $106.79. ATM implied volatility averaged 22.6%, placing in the 74.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 2.6% (HV 20d: 25.2%). Max pain ranged from $95.00 to $102.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 5.59.

Notable Days

  • 2022-10-03: Highest Volume — 14,031 contracts
  • 2022-10-12: Largest IV drop — 12.4% change
  • 2022-10-11: Highest IV Rank — 100.0%
  • 2022-10-11: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.42$96.47$106.79$97.54$106.69
Max Pain$96.62$95.00$102.00$102.00$97.00
ATM IV22.6%20.7%27.2%21.7%21.0%
Expected Move6.4%5.9%7.0%6.2%6.0%
HV 20d25.2%22.4%26.7%24.6%22.4%
HV 60d20.1%18.5%21.3%18.5%21.3%
IV Rank74.5%63.4%100.0%71.2%64.5%
IV Percentile89.5%77.8%100.0%88.9%78.6%
Term Structure-0.9%-1.8%-0.1%-0.5%-1.2%
VWIV23.2%21.2%25.9%25.4%21.7%
Skew 25d3.7%1.8%5.0%4.5%1.8%
Skew 10d7.5%4.2%10.9%7.8%4.2%
Call IV 25d20.7%18.8%22.2%20.4%20.3%
Put IV 25d24.4%21.9%26.9%24.8%22.1%
Bid-Ask Spread %42.0524.8152.4544.6139.62
Gamma HHI0.280.160.500.160.50
Net GEX3.4M578.4K10.6M578.4K10.6M
Net DEX-23.8M-97.0M6.4M4.6M-97.0M
Net VEX-215.5K-336.2K-162.1K-173.2K-325.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.590.0610.409.530.45
Total Volume9,708.5711,84214,03114,0311,842
Total OI39,402.57115,19848,06847,86623,031

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$97.54$102.0021.7%6.2%24.6%71.2%25.4%4.5%-0.5%578.4K4.6M-173.2K9.5344.61N/AN/A1,33212,69918,47829,388
2022-10-04$100.07$101.0020.7%5.9%26.6%65.1%25.5%4.3%-0.2%2.5M-9.9M-196.6K9.4647.61N/AN/A1,24211,75118,60927,198
2022-10-05$100.34$101.0020.9%6.0%26.1%66.3%25.9%3.8%-0.1%2.6M-11.4M-198.9K10.4031.71N/AN/A1,12211,66418,74927,360
2022-10-06$98.92$95.0022.0%6.2%26.3%72.9%21.5%4.9%-1.1%1.8M-3.9M-184.5K8.0932.99N/AN/A1,30910,59018,82727,399
2022-10-07$96.82$95.0023.9%6.4%26.0%84.3%22.0%4.8%-0.5%644.2K6.4M-162.1K7.1349.71N/AN/A1,47710,52518,90327,418
2022-10-10$96.82$95.0024.7%6.6%25.8%89.4%23.7%5.0%-1.3%616.8K5.8M-164.9K7.7941.68N/AN/A1,36210,61319,09427,468
2022-10-11$96.47$95.0027.2%7.0%23.1%100.0%24.7%5.0%-1.3%646.5K5.5M-164.8K7.5340.90N/AN/A1,40110,55119,18727,438
2022-10-12$96.51$95.0023.8%6.8%22.8%80.6%24.0%4.5%-1.4%692.4K4.6M-165.5K8.6751.46N/AN/A1,22010,57719,24427,426
2022-10-13$99.04$95.0023.7%6.8%25.0%80.1%23.2%4.5%-1.8%1.7M-8.2M-191.9K6.8347.59N/AN/A1,54610,55919,37227,406
2022-10-14$97.50$95.0023.7%6.8%25.5%79.9%24.7%3.8%-1.2%1.0M-1.5M-181.6K7.4948.85N/AN/A1,45210,86919,62427,423
2022-10-17$99.35$95.0022.9%6.6%26.6%75.2%22.7%4.4%-1.1%1.6M-10.2M-188.9K7.0824.81N/AN/A1,49310,57019,74327,702
2022-10-18$100.28$96.0022.6%6.5%26.7%73.7%22.6%3.8%-0.9%2.3M-16.5M-197.2K6.9340.85N/AN/A1,51710,51419,87727,693
2022-10-19$99.63$96.0022.6%6.5%26.4%73.5%22.7%3.6%-0.9%1.9M-13.1M-193.8K7.4037.53N/AN/A1,41910,49520,07627,695
2022-10-20$98.82$96.0022.9%6.6%26.5%75.6%23.0%3.7%-0.9%1.2M-8.0M-188.1K5.9252.45N/AN/A1,77210,49320,12827,685
2022-10-21$101.53$96.0022.1%6.3%26.4%71.0%22.8%3.1%-0.7%3.6M-27.3M-201.7K5.2946.88N/AN/A2,05410,86020,36227,706
2022-10-24$102.71$96.0022.9%6.6%26.2%75.7%22.7%2.3%-0.9%4.1M-34.5M-215.4K0.1543.56N/AN/A2,67940111,6633,535
2022-10-25$103.65$97.0021.9%6.3%25.9%69.7%22.2%2.6%-0.7%5.4M-42.6M-242.4K0.0641.04N/AN/A6,93143213,2903,621
2022-10-26$104.52$97.0021.2%6.1%24.7%65.8%22.4%3.0%-0.8%8.9M-70.3M-323.6K0.3848.89N/AN/A1,52158518,6033,683
2022-10-27$104.85$97.0021.5%6.2%23.2%67.5%22.1%2.1%-1.2%9.3M-75.0M-328.0K0.3629.55N/AN/A1,58256718,8573,748
2022-10-28$106.79$97.0020.8%6.0%23.1%63.4%21.2%2.4%-1.2%10.1M-96.9M-336.2K0.4040.76N/AN/A1,63565718,9983,747
2022-10-31$106.69$97.0021.0%6.0%22.4%64.5%21.7%1.8%-1.2%10.6M-97.0M-325.5K0.4539.62N/AN/A1,27356919,1773,854