VYM Options History — February 2023

In February 2023, VYM traded between $107.00 and $111.47. ATM implied volatility averaged 15.1%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.2% (HV 20d: 11.8%). Max pain ranged from $106.00 to $109.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.60.

Notable Days

  • 2023-02-21: Highest Volume — 5,798 contracts
  • 2023-02-21: Largest IV spike — 17.9% change
  • 2023-02-21: Highest IV Rank — 29.9%
  • 2023-02-21: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.41$107.00$111.47$111.47$107.00
Max Pain$106.74$106.00$109.00$109.00$107.00
ATM IV15.1%13.8%16.5%14.7%15.7%
Expected Move4.3%3.9%4.7%4.2%4.5%
HV 20d11.8%10.2%14.4%13.9%11.1%
HV 60d14.4%13.4%16.0%16.0%13.4%
IV Rank23.3%17.2%29.9%21.6%26.1%
IV Percentile21.9%10.7%36.5%17.9%26.6%
Term Structure-0.1%-0.9%1.2%-0.7%-0.4%
VWIV14.6%12.7%16.0%12.7%14.9%
Skew 25d3.8%2.3%4.7%3.2%3.0%
Skew 10d7.5%4.1%13.0%4.9%5.5%
Call IV 25d13.1%12.1%14.8%12.3%14.3%
Put IV 25d17.0%15.5%19.1%15.5%17.2%
Bid-Ask Spread %45.9317.4466.1966.1941.51
Gamma HHI0.270.170.360.360.17
Net GEX9.5M3.8M16.5M16.5M4.5M
Net DEX-45.5M-79.7M-25.1M-79.7M-25.1M
Net VEX-230.3K-296.9K-179.4K-296.9K-195.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.062.670.280.11
Total Volume649.1581065,798447506
Total OI46,58540,08147,88546,53746,445

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-02-01$111.47$109.0014.7%4.2%13.9%21.6%12.7%3.2%-0.7%16.5M-79.7M-296.9K0.2866.19N/AN/A3499819,43527,102
2023-02-02$110.59$106.0014.8%4.0%14.3%22.1%14.3%4.0%-0.1%14.0M-65.4M-286.3K0.3933.85N/AN/A2007719,74327,128
2023-02-03$110.06$106.0014.1%4.0%14.4%19.0%14.0%3.7%0.1%12.9M-57.8M-269.3K0.8248.70N/AN/A1129219,81927,193
2023-02-06$109.91$106.0015.8%4.2%11.6%26.9%15.1%3.8%-0.1%11.8M-51.7M-249.5K0.5235.94N/AN/A884619,84527,225
2023-02-07$110.65$106.0014.2%3.9%11.4%19.4%14.1%3.7%-0.0%14.3M-59.7M-258.4K0.9359.15N/AN/A868019,87027,251
2023-02-08$109.89$107.0014.8%4.2%11.6%22.0%14.4%3.8%-0.0%11.9M-52.6M-240.2K0.3653.82N/AN/A782819,91227,283
2023-02-09$108.98$107.0016.0%4.6%11.8%27.5%15.2%4.2%-0.6%8.3M-38.4M-220.5K2.6737.89N/AN/A8322219,95827,294
2023-02-10$110.09$107.0015.5%4.4%12.4%25.2%15.4%4.5%-0.1%11.6M-49.8M-242.3K1.2552.14N/AN/A729019,97227,460
2023-02-13$110.98$107.0015.2%4.4%12.6%24.0%14.6%4.0%-0.1%16.2M-63.6M-242.5K0.3117.44N/AN/A2337220,02027,474
2023-02-14$110.80$107.0013.8%3.9%12.4%17.2%14.1%3.3%0.3%13.3M-52.3M-221.2K1.0053.72N/AN/A22822920,20027,485
2023-02-15$110.41$107.0014.0%4.0%10.2%18.1%13.8%3.6%0.3%6.9M-42.8M-203.2K0.1145.85N/AN/A2432720,22027,493
2023-02-16$109.72$107.0014.1%4.1%10.3%19.0%15.6%3.9%0.3%5.8M-38.1M-201.1K0.1865.61N/AN/A5399520,28027,499
2023-02-17$109.70$106.0014.0%4.0%10.2%18.2%14.1%4.3%1.2%6.3M-34.7M-193.0K0.2661.09N/AN/A81320920,31227,573
2023-02-21$108.23$106.0016.5%4.7%11.0%29.9%16.0%4.7%-0.2%3.8M-28.3M-179.4K0.0643.53N/AN/A5,47132713,43226,649
2023-02-22$107.43$107.0016.3%4.7%11.2%29.0%15.1%4.4%-0.9%5.3M-31.4M-224.1K0.2554.36N/AN/A2536418,72326,907
2023-02-23$108.00$107.0015.1%4.3%11.4%23.3%14.3%4.5%0.1%5.7M-31.9M-215.1K0.1837.96N/AN/A1863318,86026,926
2023-02-24$107.31$107.0016.1%4.6%11.3%28.1%14.8%4.0%-0.4%5.5M-31.6M-227.2K0.6531.73N/AN/A22314619,00426,951
2023-02-27$107.50$106.0015.8%4.5%11.3%26.8%15.4%2.3%-0.0%5.3M-30.2M-208.8K1.0332.17N/AN/A31332319,10627,066
2023-02-28$107.00$107.0015.7%4.5%11.1%26.1%14.9%3.0%-0.4%4.5M-25.1M-195.9K0.1141.51N/AN/A4565019,25227,193