VYM Options History — January 2023

In January 2023, VYM traded between $107.88 and $111.50. ATM implied volatility averaged 15.7%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.5% (HV 20d: 15.2%). Max pain ranged from $105.00 to $109.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 2.21.

Notable Days

  • 2023-01-26: Highest Volume — 5,681 contracts
  • 2023-01-06: Largest IV drop — 9.8% change
  • 2023-01-03: Highest IV Rank — 34.3%
  • 2023-01-05: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.73$107.88$111.50$107.88$110.37
Max Pain$108.60$105.00$109.00$105.00$109.00
ATM IV15.7%14.1%17.4%17.4%15.9%
Expected Move4.5%4.0%5.0%5.0%4.5%
HV 20d15.2%13.5%17.0%15.5%13.6%
HV 60d17.0%15.9%18.4%18.3%15.9%
IV Rank26.2%18.6%34.3%34.3%27.0%
IV Percentile25.4%13.5%43.3%43.3%27.4%
Term Structure0.1%-1.9%1.1%0.8%-1.3%
VWIV15.6%13.8%17.7%17.6%15.4%
Skew 25d3.0%2.2%3.8%2.2%3.1%
Skew 10d5.2%3.0%6.6%3.8%6.5%
Call IV 25d14.2%12.5%16.5%16.5%14.1%
Put IV 25d17.1%15.0%18.7%18.7%17.2%
Bid-Ask Spread %39.0121.6658.8128.5225.78
Gamma HHI0.300.200.480.200.33
Net GEX9.7M6.2M13.3M6.8M12.7M
Net DEX-56.4M-78.8M-35.3M-43.0M-61.9M
Net VEX-247.1K-302.8K-190.8K-256.4K-281.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.210.0130.440.9730.44
Total Volume1,113.951795,6812805,251
Total OI42,358.434,05045,30343,01541,431

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$107.88$105.0017.4%5.0%15.5%34.3%17.6%2.2%0.8%6.8M-43.0M-256.4K0.9728.52N/AN/A14213819,47223,543
2023-01-04$108.32$105.0017.2%4.9%14.6%33.4%16.6%3.3%1.1%8.3M-51.8M-271.3K4.2954.49N/AN/A3191,37019,56923,593
2023-01-05$108.41$109.0017.4%5.0%14.2%34.1%17.7%2.7%0.8%7.7M-47.4M-257.4K1.3945.16N/AN/A7510419,78024,845
2023-01-06$111.00$109.0015.7%4.7%16.6%26.1%16.1%2.7%0.6%12.2M-76.1M-282.7K0.6041.44N/AN/A55833419,79524,905
2023-01-09$109.94$109.0017.0%4.9%17.0%32.4%16.9%3.2%0.4%10.6M-64.1M-265.9K0.6828.45N/AN/A30620920,22724,888
2023-01-10$110.13$109.0017.3%4.7%16.9%33.7%17.3%2.7%0.7%10.8M-65.6M-262.9K0.8031.09N/AN/A26321020,34924,954
2023-01-11$110.66$109.0016.4%4.7%16.4%29.4%16.2%2.8%0.0%11.9M-72.9M-266.2K0.3232.16N/AN/A1896020,33624,960
2023-01-12$110.91$109.0015.0%4.3%16.2%22.9%15.1%2.4%0.7%13.3M-74.7M-258.0K0.4854.21N/AN/A23511220,34324,639
2023-01-13$111.50$109.0014.1%4.0%16.1%18.6%14.4%2.5%0.8%13.0M-78.8M-244.8K0.7256.84N/AN/A24917920,41224,686
2023-01-17$110.72$109.0014.3%4.1%14.9%19.9%14.9%3.0%1.0%11.5M-68.6M-229.8K0.5155.31N/AN/A1829320,44524,723
2023-01-18$108.63$109.0015.3%4.4%16.3%24.4%15.5%3.8%0.4%7.8M-42.6M-206.4K0.3843.26N/AN/A56021020,48124,733
2023-01-19$108.09$109.0015.9%4.6%15.4%27.1%14.8%3.0%-0.3%6.2M-35.3M-195.6K1.2331.07N/AN/A28334720,47624,759
2023-01-20$108.65$109.0014.5%4.2%15.4%20.8%13.8%3.1%-0.3%7.0M-39.2M-190.8K0.1936.94N/AN/A1,30625020,47224,779
2023-01-23$109.47$109.0015.6%4.5%15.2%25.9%14.1%2.7%0.3%6.3M-39.9M-208.6K0.1335.18N/AN/A1,13914812,26721,783
2023-01-24$109.60$109.0014.7%4.2%14.6%21.5%13.9%3.3%-1.0%7.5M-43.6M-220.0K0.0958.81N/AN/A4914213,36721,907
2023-01-25$109.80$109.0014.7%4.2%14.3%21.8%15.7%3.3%0.3%7.9M-46.3M-228.9K0.3351.62N/AN/A40113313,79521,943
2023-01-26$110.47$109.0014.6%4.2%14.3%21.4%14.3%2.8%-0.8%9.0M-53.3M-237.8K0.0125.74N/AN/A5,6334813,86422,036
2023-01-27$110.48$109.0015.0%4.3%13.5%22.8%14.5%3.2%0.0%12.9M-68.0M-302.8K0.4822.46N/AN/A28213519,20522,050
2023-01-30$109.56$109.0015.8%4.5%13.5%26.7%16.3%3.5%-1.9%11.0M-53.9M-273.6K0.2521.66N/AN/A2345919,29922,057
2023-01-31$110.37$109.0015.9%4.5%13.6%27.0%15.4%3.1%-1.3%12.7M-61.9M-281.6K30.4425.78N/AN/A1675,08419,34422,087