VYM Options History — September 2023

In September 2023, VYM traded between $103.20 and $108.68. ATM implied volatility averaged 11.0%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 1.9% (HV 20d: 9.0%). Max pain ranged from $105.00 to $107.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.38.

Notable Days

  • 2023-09-22: Highest Volume — 5,909 contracts
  • 2023-09-05: Largest IV spike — 18.6% change
  • 2023-09-27: Highest IV Rank — 21.6%
  • 2023-09-27: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.13$103.20$108.68$108.03$103.20
Max Pain$105.95$105.00$107.00$106.00$105.00
ATM IV11.0%8.7%13.6%8.7%12.6%
Expected Move3.2%2.5%3.9%2.5%3.6%
HV 20d9.0%7.4%9.8%9.0%9.5%
HV 60d9.5%9.1%10.0%9.8%9.1%
IV Rank9.9%0.0%21.6%0.0%17.2%
IV Percentile14.0%0.0%38.5%0.0%31.0%
Term Structure1.1%0.1%2.0%1.4%0.5%
VWIV10.6%8.8%13.0%8.8%11.4%
Skew 25d2.7%1.6%3.8%1.6%3.0%
Skew 10d5.7%2.3%9.6%2.3%5.7%
Call IV 25d9.9%8.3%11.9%8.3%11.0%
Put IV 25d12.6%9.9%15.6%9.9%14.0%
Bid-Ask Spread %55.1019.3373.5360.5457.96
Gamma HHI0.210.120.280.240.23
Net GEX7.0M3.2M14.1M9.9M3.2M
Net DEX-21.0M-41.8M-7.9M-35.3M-7.9M
Net VEX-313.8K-351.7K-283.7K-351.7K-287.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.012.492.490.13
Total Volume754.31285,909227402
Total OI34,611.529,33337,04136,15735,626

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$108.03$106.008.7%2.5%9.0%0.0%8.8%1.6%1.4%9.9M-35.3M-351.7K2.4960.54N/AN/A6516221,38214,775
2023-09-05$107.20$106.0010.3%3.1%8.8%7.1%10.8%2.4%1.6%8.2M-28.3M-337.8K0.2657.42N/AN/A1503921,41414,728
2023-09-06$106.56$106.0010.2%3.2%9.0%6.5%11.0%2.9%1.9%6.4M-19.4M-309.7K0.5161.06N/AN/A48825121,46414,674
2023-09-07$106.56$106.0010.4%3.1%9.0%7.4%10.3%3.1%1.9%6.4M-19.2M-312.7K0.0660.82N/AN/A2221321,46314,837
2023-09-08$106.87$106.009.7%3.0%9.0%4.2%10.0%2.6%1.7%7.2M-22.1M-313.3K0.1449.20N/AN/A1121621,52514,842
2023-09-11$107.03$106.0010.7%3.0%8.7%8.9%10.9%2.7%1.8%7.5M-22.8M-306.6K0.5365.38N/AN/A26514121,61614,846
2023-09-12$107.47$106.0012.1%3.1%8.9%14.9%10.3%2.5%1.3%8.8M-27.4M-317.2K0.2962.33N/AN/A88926021,71114,823
2023-09-13$107.34$106.0010.1%2.9%7.4%5.9%9.9%2.5%2.0%8.4M-25.2M-314.9K0.2336.94N/AN/A1042421,96714,868
2023-09-14$108.68$106.009.2%2.6%8.5%2.3%9.4%1.8%1.2%14.1M-41.8M-333.2K0.4862.03N/AN/A32815621,99114,868
2023-09-15$107.75$106.009.8%2.8%9.1%4.6%9.9%1.8%1.2%11.3M-31.1M-331.1K0.3073.53N/AN/A75722722,12214,919
2023-09-18$107.03$107.009.9%2.8%9.3%5.1%8.9%2.6%1.1%7.5M-25.1M-310.9K0.3319.33N/AN/A55418414,89314,440
2023-09-19$106.78$106.009.7%2.8%9.3%4.5%11.6%3.0%1.0%7.0M-21.9M-308.5K0.5665.66N/AN/A30416915,32314,512
2023-09-20$106.44$106.0010.4%3.0%8.8%7.4%9.7%2.5%1.1%6.8M-22.2M-312.0K0.2961.39N/AN/A1374015,38814,591
2023-09-21$105.16$106.0012.0%3.4%9.6%14.5%10.5%3.0%0.4%3.9M-10.8M-284.7K0.1047.79N/AN/A6736815,47214,588
2023-09-22$104.81$106.0011.6%3.3%9.5%12.7%11.2%2.9%0.6%3.4M-9.6M-283.7K0.0151.58N/AN/A5,8307915,46814,629
2023-09-25$104.81$106.0012.1%3.5%9.3%14.8%11.0%3.4%0.6%6.5M-17.2M-330.6K0.1257.38N/AN/A4505220,75914,663
2023-09-26$103.65$106.0013.6%3.9%9.8%21.6%13.0%3.8%0.1%4.4M-10.1M-310.6K0.1954.31N/AN/A69112820,86914,698
2023-09-27$103.38$106.0013.6%3.9%9.1%21.6%13.0%3.6%0.1%4.0M-9.8M-312.3K0.3842.29N/AN/A28210821,04614,770
2023-09-28$103.90$105.0012.5%3.6%9.4%16.6%10.7%3.0%0.4%4.5M-13.2M-306.8K0.2654.98N/AN/A2115521,03214,628
2023-09-29$103.20$105.0012.6%3.6%9.5%17.2%11.4%3.0%0.5%3.2M-7.9M-287.2K0.1357.96N/AN/A3574520,97114,655