VYM Options History — April 2023

In April 2023, VYM traded between $104.56 and $107.65. ATM implied volatility averaged 13.2%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 0.5% (HV 20d: 13.7%). Max pain ranged from $102.00 to $105.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.33.

Notable Days

  • 2023-04-25: Highest Volume — 5,658 contracts
  • 2023-04-25: Largest IV spike — 18.4% change
  • 2023-04-04: Highest IV Rank — 19.3%
  • 2023-04-12: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.50$104.56$107.65$106.31$106.71
Max Pain$104.26$102.00$105.00$102.00$105.00
ATM IV13.2%11.5%14.8%13.9%11.5%
Expected Move3.8%3.3%4.3%4.0%3.3%
HV 20d13.7%10.0%18.0%18.0%12.1%
HV 60d13.5%13.0%14.4%14.4%13.6%
IV Rank8.4%0.0%19.3%17.9%0.0%
IV Percentile5.8%0.0%19.0%8.7%0.0%
Term Structure0.8%-0.1%1.6%1.1%0.8%
VWIV13.1%11.2%16.3%13.2%11.2%
Skew 25d4.3%3.1%5.1%3.1%4.4%
Skew 10d8.8%6.1%13.2%7.3%9.9%
Call IV 25d11.4%9.8%13.2%12.2%9.8%
Put IV 25d15.7%14.2%17.6%15.3%14.2%
Bid-Ask Spread %51.5214.4370.7453.9350.97
Gamma HHI0.360.300.530.300.37
Net GEX10.9M8.2M18.3M8.6M14.9M
Net DEX-53.3M-69.9M-26.7M-55.1M-48.9M
Net VEX-238.7K-266.3K-226.1K-246.1K-266.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.041.060.270.10
Total Volume694.2111165,658298416
Total OI41,769.94720,52348,82646,83027,166

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-04-03$106.31$102.0013.9%4.0%18.0%17.9%13.2%3.1%1.1%8.6M-55.1M-246.1K0.2753.93N/AN/A2356319,74127,089
2023-04-04$105.09$102.0014.2%4.1%17.6%19.3%15.0%3.1%0.8%8.2M-41.7M-232.5K0.5228.82N/AN/A70236419,90627,114
2023-04-05$105.91$102.0013.6%3.9%17.8%16.5%12.9%3.6%1.4%8.3M-49.9M-255.7K0.1446.70N/AN/A1091520,16727,282
2023-04-06$105.81$103.0012.9%4.1%16.5%9.0%13.2%4.3%1.0%9.1M-49.6M-250.6K0.4159.72N/AN/A823420,24327,280
2023-04-10$106.12$104.0014.0%4.2%15.6%14.3%16.3%4.7%0.7%9.3M-51.5M-236.1K0.8860.17N/AN/A12811320,30027,298
2023-04-11$106.85$104.0012.9%4.1%15.6%9.1%14.4%4.6%0.3%9.9M-61.5M-250.0K0.2857.25N/AN/A2697420,35127,372
2023-04-12$106.48$104.0014.8%4.3%15.7%18.7%14.8%5.0%0.6%9.8M-55.2M-242.3K1.0664.63N/AN/A12212920,53227,402
2023-04-13$107.19$105.0013.7%3.9%15.0%7.5%13.4%4.9%1.0%10.7M-62.2M-241.1K0.2565.67N/AN/A1774420,58327,442
2023-04-14$107.06$105.0013.3%3.8%14.4%5.4%12.0%3.8%1.1%11.1M-60.9M-236.2K0.1670.70N/AN/A2724320,67727,471
2023-04-17$107.44$105.0013.0%3.7%12.5%3.8%12.3%4.4%1.3%11.7M-67.2M-231.8K0.3570.74N/AN/A28210020,73427,462
2023-04-18$107.65$105.0012.1%3.5%12.5%0.0%11.6%3.9%1.2%12.4M-69.8M-233.9K0.0652.59N/AN/A3242120,88227,517
2023-04-19$107.58$105.0011.9%3.4%12.0%0.0%12.5%4.2%1.6%12.4M-69.9M-226.9K0.2762.83N/AN/A1474021,09927,517
2023-04-20$106.72$105.0012.6%3.6%11.3%3.5%12.2%4.5%0.4%13.1M-57.7M-230.7K0.1557.60N/AN/A3896021,14727,541
2023-04-21$106.85$105.0012.2%3.5%10.1%1.0%11.9%4.8%0.4%18.3M-58.8M-228.4K0.0948.21N/AN/A6415621,24027,586
2023-04-24$107.27$105.0012.4%3.6%10.0%2.5%11.2%4.5%0.9%10.3M-49.4M-231.6K0.1314.43N/AN/A7169412,5397,984
2023-04-25$106.09$105.0014.7%4.2%10.5%14.2%13.9%4.8%0.2%9.2M-39.5M-227.9K0.0445.54N/AN/A5,42823013,1348,045
2023-04-26$104.56$105.0014.5%4.2%12.0%13.2%15.3%5.1%-0.1%8.5M-26.7M-226.1K0.8125.40N/AN/A41433718,5218,230
2023-04-27$105.84$105.0012.5%3.6%11.9%2.8%11.9%4.4%0.7%12.1M-36.8M-240.4K0.2342.95N/AN/A4239718,5138,522
2023-04-28$106.71$105.0011.5%3.3%12.1%0.0%11.2%4.4%0.8%14.9M-48.9M-266.3K0.1050.97N/AN/A3783818,6028,564