VYM Options History — December 2023

In December 2023, VYM traded between $106.96 and $111.94. ATM implied volatility averaged 10.1%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded below realized volatility by 0.2% (HV 20d: 10.3%). Max pain ranged from $102.00 to $109.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.51.

Notable Days

  • 2023-12-12: Highest Volume — 10,678 contracts
  • 2023-12-11: Largest IV spike — 20.5% change
  • 2023-12-11: Highest IV Rank — 15.7%
  • 2023-12-05: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.77$106.96$111.94$107.75$111.62
Max Pain$105.25$102.00$109.00$104.00$109.00
ATM IV10.1%8.5%12.3%9.8%9.2%
Expected Move2.8%2.4%3.0%2.8%2.6%
HV 20d10.3%8.9%11.5%11.5%10.7%
HV 60d12.4%12.1%12.7%12.4%12.1%
IV Rank7.5%0.0%15.7%4.9%3.8%
IV Percentile12.8%0.0%38.5%6.3%1.6%
Term Structure1.3%-0.1%2.7%-0.1%1.3%
VWIV9.9%8.4%11.4%10.5%9.4%
Skew 25d1.1%0.2%1.9%0.7%0.7%
Skew 10d2.8%1.1%5.1%2.0%2.4%
Call IV 25d9.4%8.6%10.0%10.0%9.1%
Put IV 25d10.6%9.1%11.9%10.7%9.7%
Bid-Ask Spread %70.6128.0985.8576.5367.51
Gamma HHI0.420.160.500.390.50
Net GEX11.9M6.9M15.2M10.7M15.2M
Net DEX-70.5M-96.4M-47.1M-79.3M-63.8M
Net VEX-316.4K-345.8K-262.6K-315.9K-327.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.024.160.510.16
Total Volume940.657810,67843078
Total OI19,661.1517,91421,29720,22018,797

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$107.75$104.009.8%2.8%11.5%4.9%10.5%0.7%-0.1%10.7M-79.3M-315.9K0.5176.53N/AN/A28514515,6964,524
2023-12-04$107.87$102.0010.7%3.0%11.2%8.9%10.6%1.5%1.4%10.5M-81.5M-298.4K0.7372.29N/AN/A25318415,8024,547
2023-12-05$107.25$102.0011.1%3.0%11.2%10.7%11.3%1.9%2.7%12.1M-73.5M-307.3K4.1677.82N/AN/A7932915,8494,637
2023-12-06$106.96$102.0010.9%3.0%11.2%9.8%10.8%1.8%1.4%14.1M-69.4M-304.1K0.3068.85N/AN/A2086315,8684,646
2023-12-07$107.31$102.0011.9%3.0%10.9%14.0%10.5%1.9%1.7%13.0M-74.5M-297.7K0.4178.33N/AN/A1134615,8754,668
2023-12-08$107.81$102.0010.2%2.8%9.9%6.5%9.4%1.8%1.8%11.5M-84.2M-275.7K0.4276.03N/AN/A1355715,9214,698
2023-12-11$108.63$102.0012.3%2.7%9.7%15.7%9.6%1.1%2.1%7.3M-95.6M-269.7K0.4377.02N/AN/A25711115,9854,724
2023-12-12$108.72$102.0011.1%2.6%9.7%10.6%8.4%1.0%2.0%6.9M-96.4M-262.6K0.0278.46N/AN/A10,43524315,9604,655
2023-12-13$110.50$102.009.2%2.6%8.9%2.0%9.3%0.8%2.0%10.6M-69.4M-315.1K0.1276.12N/AN/A5226416,1244,871
2023-12-14$111.75$102.008.5%2.4%9.4%0.0%9.0%0.2%1.2%13.5M-85.3M-337.7K0.2975.33N/AN/A95227916,2514,880
2023-12-15$111.05$102.008.9%2.6%9.4%2.5%9.2%0.3%1.2%13.7M-74.5M-328.0K0.2585.85N/AN/A96223916,3014,996
2023-12-18$110.52$109.009.5%2.7%9.7%5.7%9.6%0.8%0.5%11.5M-52.2M-328.3K0.2478.44N/AN/A67716213,8924,022
2023-12-19$111.15$109.009.6%2.7%9.7%6.0%9.2%1.1%0.8%12.5M-60.7M-345.8K0.5166.50N/AN/A20110214,1683,996
2023-12-20$110.00$109.0010.5%3.0%10.5%11.3%10.5%1.5%0.6%10.4M-47.1M-339.7K0.2775.22N/AN/A2546914,2784,085
2023-12-21$110.31$109.0010.4%3.0%10.5%11.2%11.4%1.8%0.8%10.8M-49.0M-342.5K0.2063.37N/AN/A2915814,4294,107
2023-12-22$110.94$109.0010.1%2.9%10.6%9.1%10.3%1.2%0.9%12.1M-55.5M-336.9K0.3272.64N/AN/A1304214,2534,130
2023-12-26$111.81$109.009.8%2.8%10.6%7.6%10.0%1.0%0.9%13.5M-66.7M-334.0K0.1958.48N/AN/A2134114,3054,152
2023-12-27$111.55$109.009.5%2.7%10.7%5.8%9.7%0.5%0.7%13.7M-63.0M-330.4K0.3759.31N/AN/A1425314,3904,167
2023-12-28$111.94$109.009.3%2.7%10.7%4.6%9.7%1.1%1.1%13.8M-67.6M-330.2K0.2828.09N/AN/A2647514,4054,169
2023-12-29$111.62$109.009.2%2.6%10.7%3.8%9.4%0.7%1.3%15.2M-63.8M-327.1K0.1667.51N/AN/A671114,6194,178