VYM Options History — December 2022

In December 2022, VYM traded between $106.53 and $113.15. ATM implied volatility averaged 18.9%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.7% (HV 20d: 16.2%). Max pain ranged from $102.00 to $105.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.28.

Notable Days

  • 2022-12-20: Highest Volume — 15,702 contracts
  • 2022-12-12: Largest IV spike — 39.7% change
  • 2022-12-12: Highest IV Rank — 100.0%
  • 2022-12-12: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.37$106.53$113.15$113.15$108.06
Max Pain$104.14$102.00$105.00$105.00$105.00
ATM IV18.9%15.4%31.5%17.2%16.6%
Expected Move4.8%4.4%5.1%4.9%4.8%
HV 20d16.2%13.2%19.1%17.7%15.5%
HV 60d20.6%18.6%22.2%22.0%18.6%
IV Rank45.2%24.7%100.0%41.6%30.7%
IV Percentile51.6%25.4%100.0%40.9%33.7%
Term Structure1.0%-1.4%1.9%-1.4%1.1%
VWIV16.7%14.4%19.4%19.0%16.9%
Skew 25d3.0%2.1%4.8%4.8%2.5%
Skew 10d5.5%3.0%10.1%10.1%5.0%
Call IV 25d15.2%13.9%16.5%14.2%15.2%
Put IV 25d18.2%16.1%19.9%19.0%17.8%
Bid-Ask Spread %33.2319.9866.3427.9922.08
Gamma HHI0.230.140.320.280.20
Net GEX8.0M2.5M10.6M9.9M7.0M
Net DEX-77.3M-134.5M-19.3M-134.5M-44.7M
Net VEX-260.9K-303.6K-195.2K-303.6K-274.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.280.0225.000.930.58
Total Volume1,559.1913115,702609237
Total OI30,872.28621,11642,87824,76742,878

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$113.15$105.0017.2%4.9%17.7%41.6%19.0%4.8%-1.4%9.9M-134.5M-303.6K0.9327.99N/AN/A31529419,8774,890
2022-12-02$112.80$105.0016.4%4.7%17.7%36.7%16.5%2.8%-0.9%10.3M-130.9M-296.8K0.4124.98N/AN/A2219119,9644,994
2022-12-05$110.84$102.0019.4%4.7%18.9%54.7%16.6%3.5%1.6%10.3M-108.1M-287.2K0.6542.37N/AN/A15810220,0025,018
2022-12-06$109.81$102.0021.8%4.9%19.1%68.5%17.6%3.9%1.3%10.1M-94.0M-280.6K1.2022.83N/AN/A19323119,9915,069
2022-12-07$109.77$103.0022.8%5.1%18.9%74.3%18.9%3.4%1.1%10.1M-93.0M-282.7K2.3532.97N/AN/A7918620,0535,249
2022-12-08$110.20$103.0022.3%4.9%17.4%71.5%19.4%3.6%1.3%10.2M-98.6M-272.3K0.2530.07N/AN/A1463620,0585,403
2022-12-09$109.65$103.0022.5%4.8%13.2%72.8%17.4%3.8%1.7%10.4M-92.8M-263.4K0.7646.36N/AN/A866520,0585,407
2022-12-12$111.02$103.0031.5%5.1%13.8%100.0%18.2%3.1%0.6%10.1M-107.8M-259.7K0.3132.49N/AN/A1213820,0235,423
2022-12-13$111.69$104.0026.5%4.8%13.9%76.8%16.5%3.0%1.7%10.3M-120.2M-240.2K11.6148.26N/AN/A2663,08820,0565,386
2022-12-14$110.91$104.0016.2%4.6%14.2%28.6%16.3%2.4%1.8%10.1M-112.2M-232.0K0.3366.34N/AN/A46015220,1548,406
2022-12-15$108.94$104.0016.1%4.6%15.5%28.2%16.0%2.5%1.5%10.6M-92.7M-209.0K0.2127.56N/AN/A69614520,3718,407
2022-12-16$108.13$104.0015.7%4.5%15.7%26.4%15.2%2.3%1.9%3.4M-88.8M-195.2K0.7338.73N/AN/A1,11381620,5068,445
2022-12-19$106.53$105.0016.7%4.8%15.9%30.8%16.2%3.6%1.1%2.5M-19.3M-205.8K0.2719.98N/AN/A68918412,8398,277
2022-12-20$107.20$105.0016.3%4.7%16.1%28.9%14.9%2.1%1.9%3.1M-26.6M-214.3K25.0022.93N/AN/A60415,09813,2738,200
2022-12-21$108.22$105.0015.6%4.5%15.7%26.0%14.4%2.2%1.4%4.1M-31.4M-230.1K0.0229.93N/AN/A5,38211613,66723,272
2022-12-22$107.06$105.0017.1%4.9%16.0%32.8%16.2%3.3%0.6%5.9M-38.6M-291.4K0.9831.49N/AN/A13012818,94523,329
2022-12-23$108.09$105.0015.4%4.4%16.4%24.7%14.8%2.3%1.2%7.0M-45.3M-288.1K0.1851.63N/AN/A1743218,94323,413
2022-12-27$108.70$105.0016.7%4.8%15.8%31.0%17.4%2.5%0.6%7.8M-52.9M-291.3K0.0727.50N/AN/A5393819,07823,424
2022-12-28$107.41$105.0017.4%5.0%16.2%34.4%16.9%2.5%0.7%6.3M-41.1M-274.7K0.5429.16N/AN/A1065719,32323,431
2022-12-29$108.53$105.0016.4%4.7%15.6%29.8%16.1%2.4%0.8%7.7M-50.4M-286.6K0.5622.27N/AN/A844719,36123,455
2022-12-30$108.06$105.0016.6%4.8%15.5%30.7%16.9%2.5%1.1%7.0M-44.7M-274.7K0.5822.08N/AN/A1508719,41123,467