VYM Options History — October 2023

In October 2023, VYM traded between $98.53 and $103.75. ATM implied volatility averaged 14.4%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.6% (HV 20d: 10.8%). Max pain ranged from $101.00 to $105.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2023-10-24: Highest Volume — 5,435 contracts
  • 2023-10-16: Largest IV drop — 16.2% change
  • 2023-10-26: Highest IV Rank — 35.6%
  • 2023-10-26: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.55$98.53$103.75$101.95$100.32
Max Pain$102.77$101.00$105.00$105.00$101.00
ATM IV14.4%12.0%16.8%14.0%14.7%
Expected Move4.1%3.4%4.8%4.0%4.2%
HV 20d10.8%9.5%12.8%10.0%12.8%
HV 60d9.5%9.0%10.7%9.4%10.6%
IV Rank25.1%14.5%35.6%23.1%26.5%
IV Percentile51.9%25.4%81.3%42.9%56.3%
Term Structure-0.1%-0.7%0.6%-0.4%-0.4%
VWIV13.8%12.0%16.1%13.0%14.0%
Skew 25d3.4%2.9%4.4%3.5%2.9%
Skew 10d6.3%4.1%7.4%5.6%5.3%
Call IV 25d12.7%10.8%15.3%12.3%13.2%
Put IV 25d16.1%14.1%18.8%15.8%16.1%
Bid-Ask Spread %54.9937.2677.5959.0553.45
Gamma HHI0.160.090.250.180.23
Net GEX1.7M-290.3K4.1M1.6M2.5M
Net DEX-3.2M-13.3M5.1M-646.1K-4.1M
Net VEX-269.6K-303.9K-244.9K-257.1K-278.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.005.140.160.28
Total Volume840.3641165,435934212
Total OI33,544.95520,27238,78435,47526,806

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$101.95$105.0014.0%4.0%10.0%23.1%13.0%3.5%-0.4%1.6M-646.1K-257.1K0.1659.05N/AN/A80712720,82914,646
2023-10-03$101.22$105.0015.8%4.5%10.0%31.4%14.5%3.1%-0.5%1.2M984.0K-251.9K0.2856.11N/AN/A86624620,77714,605
2023-10-04$101.13$103.0014.3%4.1%9.9%24.4%13.4%2.9%-0.1%1.1M-410.3K-244.9K5.1456.70N/AN/A3541,82020,84414,421
2023-10-05$100.88$103.0014.0%4.0%9.9%23.3%15.7%3.3%0.4%425.1K2.0M-255.5K1.2062.87N/AN/A55566820,84916,153
2023-10-06$101.56$103.0012.4%3.6%10.2%16.2%12.1%3.0%0.6%496.0K-333.2K-267.3K0.1160.91N/AN/A4895220,90816,778
2023-10-09$102.16$103.0013.9%3.9%10.6%22.7%13.4%3.0%0.2%1.3M-3.9M-274.0K0.5762.26N/AN/A22913021,05616,794
2023-10-10$102.98$102.0012.5%3.6%11.0%16.8%12.7%3.2%0.4%2.4M-8.8M-276.8K0.6060.83N/AN/A59135221,09316,794
2023-10-11$102.88$103.0012.3%3.5%11.0%15.8%12.7%3.4%0.6%2.1M-6.4M-272.4K0.2046.96N/AN/A1823621,50116,908
2023-10-12$102.19$103.0012.7%3.6%9.6%17.7%12.0%3.1%0.4%1.3M-3.1M-264.9K0.5650.04N/AN/A784421,58716,920
2023-10-13$102.27$103.0014.3%4.1%9.5%24.7%12.6%3.9%-0.3%1.7M-4.2M-276.5K0.3049.16N/AN/A1975921,57416,948
2023-10-16$103.55$103.0012.0%3.4%10.8%14.5%12.7%3.5%0.5%3.6M-11.1M-269.9K0.2955.21N/AN/A36310521,56816,963
2023-10-17$103.75$103.0013.0%3.7%10.8%19.0%13.0%3.6%0.2%4.1M-13.3M-276.5K1.4956.67N/AN/A14822021,67916,991
2023-10-18$102.90$103.0014.3%4.1%11.1%24.8%15.0%4.0%-0.3%2.6M-7.9M-274.0K0.4344.95N/AN/A1144921,71217,001
2023-10-19$102.09$103.0015.4%4.4%10.6%29.5%14.0%4.0%-0.1%933.3K-3.1M-267.7K0.0569.06N/AN/A3711921,70917,009
2023-10-20$101.25$103.0016.0%4.6%10.9%32.2%14.5%4.4%-0.4%424.0K1.2M-260.1K0.2237.26N/AN/A3387421,76917,015
2023-10-23$100.47$102.0015.7%4.5%11.1%30.8%14.7%3.9%-0.1%-290.3K3.5M-246.2K0.2952.82N/AN/A99129113,8906,382
2023-10-24$101.19$102.0014.8%4.2%11.0%26.8%12.9%3.8%-0.0%325.7K-115.6K-257.9K0.0048.50N/AN/A5,431414,2276,568
2023-10-25$100.59$102.0015.8%4.5%11.1%31.2%14.8%3.8%-0.5%3.0M-7.2M-303.9K0.2977.59N/AN/A902619,4496,570
2023-10-26$100.28$102.0016.8%4.8%10.9%35.6%15.2%2.9%-0.7%2.7M-5.6M-301.1K0.0849.85N/AN/A3752919,4786,590
2023-10-27$98.53$102.0016.7%4.8%12.1%34.9%16.1%3.5%-0.4%806.2K5.1M-274.8K0.7748.52N/AN/A35127119,7226,604
2023-10-30$99.91$102.0015.7%4.5%12.8%30.6%15.6%2.9%-0.4%2.0M-2.3M-279.6K0.7151.08N/AN/A42830619,6386,664
2023-10-31$100.32$101.0014.7%4.2%12.8%26.5%14.0%2.9%-0.4%2.5M-4.1M-278.6K0.2853.45N/AN/A1664619,8666,940