VYM Options History — January 2024

In January 2024, VYM traded between $109.87 and $113.75. ATM implied volatility averaged 10.1%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 1.3% (HV 20d: 8.8%). Max pain ranged from $109.00 to $111.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.37.

Notable Days

  • 2024-01-19: Highest Volume — 16,353 contracts
  • 2024-01-10: Largest IV spike — 8.9% change
  • 2024-01-17: Highest IV Rank — 16.2%
  • 2024-01-17: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.87$109.87$113.75$112.03$112.59
Max Pain$109.90$109.00$111.00$109.00$111.00
ATM IV10.1%9.2%11.3%10.2%10.5%
Expected Move3.0%2.8%3.2%2.9%3.0%
HV 20d8.8%7.6%10.3%10.2%8.6%
HV 60d11.5%10.1%12.1%12.1%10.1%
IV Rank9.3%3.7%16.2%9.6%11.8%
IV Percentile16.7%1.6%36.9%14.3%27.8%
Term Structure0.5%-0.2%1.1%0.4%-0.0%
VWIV10.3%9.6%11.4%10.2%10.6%
Skew 25d1.3%0.3%2.4%0.8%0.7%
Skew 10d3.6%1.5%7.4%1.7%2.5%
Call IV 25d9.8%9.3%10.6%9.9%10.6%
Put IV 25d11.1%10.3%12.9%10.7%11.3%
Bid-Ask Spread %71.6934.3084.2577.6466.52
Gamma HHI0.520.170.690.490.51
Net GEX15.5M5.1M22.9M15.2M15.5M
Net DEX-59.8M-86.3M-24.7M-69.9M-68.2M
Net VEX-333.6K-422.9K-252.8K-325.8K-393.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.041.320.430.16
Total Volume1,024.7148816,353341347
Total OI19,838.66718,85421,20118,85421,201

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$112.03$109.0010.2%2.9%10.2%9.6%10.2%0.8%0.4%15.2M-69.9M-325.8K0.4377.64N/AN/A23910214,6574,197
2024-01-03$111.81$109.0010.0%2.9%10.3%8.6%10.5%1.0%0.6%15.2M-67.2M-322.3K1.3263.30N/AN/A7610014,6834,219
2024-01-04$111.82$109.0010.1%3.1%10.0%9.2%11.0%2.1%0.7%16.6M-65.0M-312.9K0.2878.35N/AN/A1163314,7214,288
2024-01-05$111.75$109.009.6%3.1%9.9%6.1%10.1%2.3%0.7%16.3M-64.6M-312.9K0.2081.51N/AN/A941914,7984,303
2024-01-08$112.37$109.009.6%3.0%9.9%6.5%10.2%2.1%1.0%18.2M-74.9M-299.4K0.3981.39N/AN/A1325214,8574,316
2024-01-09$111.72$110.009.2%2.9%10.3%3.7%10.0%1.4%0.9%19.8M-63.1M-299.8K0.6381.41N/AN/A543414,9164,328
2024-01-10$111.65$110.0010.0%2.9%10.1%8.4%9.8%1.4%0.9%20.0M-61.9M-298.6K0.1784.25N/AN/A1302214,9334,356
2024-01-11$111.19$110.009.8%2.8%10.3%7.8%9.7%1.2%1.1%20.1M-49.9M-289.4K0.5881.79N/AN/A1729914,9844,361
2024-01-12$111.48$110.0010.0%2.9%8.6%8.4%9.6%1.3%0.9%22.9M-54.2M-290.3K0.1076.58N/AN/A86915,0724,305
2024-01-16$110.50$110.0010.8%3.1%8.2%13.5%10.8%2.3%0.6%13.0M-32.5M-260.6K0.3483.32N/AN/A1495015,0994,311
2024-01-17$109.87$110.0011.3%3.2%8.2%16.2%11.4%2.4%0.5%5.6M-24.7M-252.8K0.2381.08N/AN/A3818615,1564,340
2024-01-18$110.34$110.0010.9%3.1%8.2%13.8%10.4%2.1%0.4%5.1M-27.6M-253.0K0.2075.24N/AN/A2805715,3264,347
2024-01-19$111.53$110.0010.2%2.9%8.8%9.9%10.3%1.5%-0.1%17.6M-36.5M-261.3K0.0477.41N/AN/A15,79056315,4224,360
2024-01-22$111.81$110.009.8%2.8%7.9%7.7%9.8%1.1%0.5%11.6M-62.5M-394.5K0.3360.81N/AN/A58219117,4302,325
2024-01-23$112.12$110.009.7%2.8%7.9%7.0%9.9%1.0%0.3%13.9M-60.7M-383.0K0.1069.11N/AN/A2292317,9812,416
2024-01-24$112.02$110.009.8%2.8%7.7%7.3%10.0%0.9%0.1%13.7M-59.6M-382.1K0.4463.22N/AN/A1958518,2262,430
2024-01-25$112.90$110.0010.0%2.9%7.7%8.4%10.1%0.9%0.2%15.8M-73.0M-413.6K0.3934.30N/AN/A25910118,3112,440
2024-01-26$112.94$110.0010.0%2.9%7.6%8.6%10.3%0.3%-0.0%15.3M-76.4M-419.6K1.0367.61N/AN/A687018,5082,487
2024-01-29$113.09$111.0010.4%3.0%7.6%10.9%10.5%0.7%0.2%16.0M-77.4M-417.1K0.2460.14N/AN/A1273118,5332,511
2024-01-30$113.75$111.0010.4%3.0%7.7%11.1%10.5%0.3%-0.2%17.4M-86.3M-422.9K0.1860.50N/AN/A2424418,6312,527
2024-01-31$112.59$111.0010.5%3.0%8.6%11.8%10.6%0.7%-0.0%15.5M-68.2M-393.4K0.1666.52N/AN/A2984918,6782,523