VYM Options History — March 2023 In March 2023, VYM traded between $100.91 and $108.44. ATM implied volatility averaged 17.1%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.2% (HV 20d: 13.9%). Max pain ranged from $102.00 to $107.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.37.
Notable Days 2023-03-21 : Highest Volume — 5,673 contracts2023-03-09 : Largest IV spike — 23.9% change2023-03-13 : Highest IV Rank — 73.8%2023-03-23 : Largest Expected Move — 5.2%Monthly Statistics Metric Avg Min Max Open Close Price $104.04 $100.91 $108.44 $106.88 $105.16 Max Pain $103.22 $102.00 $107.00 $107.00 $102.00 ATM IV 17.1% 14.3% 25.9% 15.6% 14.3% Expected Move 4.6% 4.0% 5.2% 4.5% 4.1% HV 20d 13.9% 10.1% 17.7% 10.6% 17.5% HV 60d 13.7% 13.0% 14.2% 13.4% 14.2% IV Rank 32.9% 19.8% 73.8% 25.9% 19.8% IV Percentile 42.7% 12.7% 98.4% 26.2% 12.7% Term Structure 0.3% -1.0% 1.3% -0.0% 0.9% VWIV 15.1% 12.6% 18.8% 17.0% 14.1% Skew 25d 4.4% 2.2% 6.0% 2.6% 3.6% Skew 10d 8.4% 3.9% 12.3% 4.6% 7.6% Call IV 25d 14.0% 12.5% 15.9% 14.7% 12.5% Put IV 25d 18.3% 14.9% 21.4% 17.3% 16.1% Bid-Ask Spread % 52.34 25.96 68.89 49.25 41.31 Gamma HHI 0.20 0.07 0.37 0.16 0.32 Net GEX 3.4M 392.5K 7.6M 4.1M 7.6M Net DEX -18.4M -43.7M -1.5M -23.7M -43.7M Net VEX -183.4K -240.1K -135.7K -193.4K -240.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.37 0.01 0.98 0.34 0.19 Total Volume 715.783 133 5,673 1,090 529 Total OI 46,094.348 39,650 47,413 46,493 46,674
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-03-01 $106.88 $107.00 15.6% 4.5% 10.6% 25.9% 17.0% 2.6% -0.0% 4.1M -23.7M -193.4K 0.34 49.25 N/A N/A 811 279 19,269 27,224 2023-03-02 $107.43 $107.00 16.0% 4.6% 10.1% 27.7% 15.0% 3.0% -0.8% 4.7M -27.2M -204.3K 0.10 25.96 N/A N/A 842 85 19,335 27,359 2023-03-03 $108.44 $107.00 14.4% 4.1% 10.5% 20.0% 13.0% 2.2% -0.2% 6.4M -35.1M -219.8K 0.67 45.98 N/A N/A 471 315 19,468 27,402 2023-03-06 $108.44 $103.00 15.3% 4.0% 10.4% 24.6% 12.6% 3.0% 0.8% 6.4M -35.7M -215.8K 0.28 29.95 N/A N/A 144 41 19,728 27,597 2023-03-07 $106.70 $103.00 16.4% 4.1% 11.8% 29.4% 14.1% 2.9% 0.7% 4.1M -23.3M -187.8K 0.14 37.77 N/A N/A 286 39 19,806 27,601 2023-03-08 $106.34 $103.00 16.8% 4.1% 11.4% 31.4% 13.5% 2.6% 0.7% 3.3M -19.5M -175.5K 0.24 48.80 N/A N/A 250 59 19,772 27,641 2023-03-09 $104.41 $103.00 20.8% 5.0% 12.7% 50.2% 15.2% 4.2% -1.0% 1.9M -11.1M -163.9K 0.76 53.79 N/A N/A 277 210 19,721 27,626 2023-03-10 $103.00 $103.00 21.5% 5.2% 13.1% 53.3% 16.3% 4.7% -0.3% 1.3M -5.5M -161.3K 0.38 63.04 N/A N/A 622 236 19,557 27,607 2023-03-13 $102.56 $103.00 25.9% 5.2% 12.2% 73.8% 18.8% 5.1% -0.7% 964.1K -3.6M -148.0K 0.25 64.44 N/A N/A 700 173 19,830 27,539 2023-03-14 $102.97 $103.00 21.8% 4.9% 11.8% 54.6% 15.1% 5.0% 0.3% 764.9K -4.1M -138.5K 0.65 65.33 N/A N/A 270 175 19,539 27,498 2023-03-15 $101.84 $103.00 17.7% 5.1% 12.0% 35.5% 16.7% 6.0% -0.2% 440.0K -1.5M -136.7K 0.44 66.63 N/A N/A 275 120 19,556 27,439 2023-03-16 $103.28 $103.00 15.6% 4.5% 13.7% 25.7% 15.4% 5.0% 1.3% 502.9K -6.4M -135.7K 0.39 66.42 N/A N/A 266 104 19,593 27,362 2023-03-17 $101.52 $103.00 17.2% 4.9% 14.5% 33.4% 17.9% 5.9% 0.1% 392.5K -1.7M -147.8K 0.98 62.84 N/A N/A 181 178 19,643 27,315 2023-03-20 $102.17 $103.00 17.3% 5.0% 14.9% 33.8% 14.6% 5.8% 0.6% 999.6K -6.1M -143.7K 0.05 51.68 N/A N/A 677 35 12,714 26,936 2023-03-21 $103.42 $103.00 15.8% 4.5% 15.4% 26.7% 14.4% 4.7% 0.3% 1.7M -12.3M -152.2K 0.01 55.34 N/A N/A 5,636 37 13,289 26,813 2023-03-22 $102.10 $103.00 16.2% 4.6% 15.8% 28.4% 14.8% 4.9% -0.0% 4.3M -19.4M -201.5K 0.20 68.89 N/A N/A 111 22 18,793 26,833 2023-03-23 $100.91 $102.00 18.1% 5.2% 15.8% 37.6% 16.9% 6.0% -0.2% 3.1M -12.5M -183.8K 0.47 59.83 N/A N/A 317 148 18,791 26,799 2023-03-24 $101.56 $102.00 16.3% 4.7% 16.1% 29.1% 15.0% 5.8% 0.8% 3.7M -16.6M -198.0K 0.38 64.93 N/A N/A 205 77 18,953 26,822 2023-03-27 $102.76 $102.00 15.3% 4.4% 16.9% 24.4% 13.7% 4.8% 1.2% 4.8M -23.6M -210.9K 0.08 36.52 N/A N/A 317 24 19,030 26,868 2023-03-28 $102.68 $102.00 15.8% 4.5% 16.9% 26.6% 15.6% 4.5% 0.1% 4.8M -23.7M -209.3K 0.87 49.18 N/A N/A 127 111 19,175 26,886 2023-03-29 $104.00 $102.00 14.8% 4.2% 17.7% 21.9% 13.5% 4.3% 1.0% 6.2M -31.1M -218.1K 0.35 55.52 N/A N/A 338 120 19,268 26,934 2023-03-30 $104.31 $102.00 14.9% 4.3% 17.6% 22.6% 13.3% 4.1% 0.5% 6.7M -35.4M -231.2K 0.19 40.41 N/A N/A 188 35 19,529 27,036 2023-03-31 $105.16 $102.00 14.3% 4.1% 17.5% 19.8% 14.1% 3.6% 0.9% 7.6M -43.7M -240.1K 0.19 41.31 N/A N/A 443 86 19,635 27,039
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