VYM Options History — February 2024

In February 2024, VYM traded between $111.78 and $115.70. ATM implied volatility averaged 10.5%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 0.4% (HV 20d: 10.1%). Max pain ranged from $112.00 to $114.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.33.

Notable Days

  • 2024-02-22: Highest Volume — 1,325 contracts
  • 2024-02-20: Largest IV spike — 10.8% change
  • 2024-02-29: Highest IV Rank — 22.0%
  • 2024-02-29: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$113.82$111.78$115.70$113.16$115.62
Max Pain$112.60$112.00$114.00$112.00$114.00
ATM IV10.5%9.4%12.3%10.6%12.3%
Expected Move3.0%2.7%3.5%3.0%3.5%
HV 20d10.1%8.6%11.4%8.7%10.4%
HV 60d9.7%8.9%10.0%10.0%9.7%
IV Rank11.4%5.2%22.0%11.9%22.0%
IV Percentile27.5%5.2%60.3%28.6%60.3%
Term Structure0.4%-2.1%1.3%1.1%-2.0%
VWIV10.3%9.4%12.1%9.9%12.1%
Skew 25d1.3%0.1%2.2%1.7%1.4%
Skew 10d3.7%1.0%7.6%4.1%3.8%
Call IV 25d9.9%9.0%11.6%9.9%10.2%
Put IV 25d11.2%10.4%12.4%11.6%11.6%
Bid-Ask Spread %82.5473.8587.8679.6086.89
Gamma HHI0.540.410.690.500.69
Net GEX20.2M12.8M27.3M16.1M25.6M
Net DEX-82.0M-113.0M-54.7M-74.9M-101.5M
Net VEX-382.3K-412.7K-352.9K-403.5K-362.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.022.030.040.26
Total Volume344.651111,325416172
Total OI21,888.0521,20022,42921,46021,842

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-02-01$113.16$112.0010.6%3.0%8.7%11.9%9.9%1.7%1.1%16.1M-74.9M-403.5K0.0479.60N/AN/A3991718,9022,558
2024-02-02$113.31$112.0010.2%3.0%8.7%9.6%9.8%1.5%1.0%17.9M-81.6M-412.7K0.0281.34N/AN/A4411119,1342,568
2024-02-05$112.46$112.0010.6%3.0%9.1%11.8%9.5%1.3%0.4%16.3M-66.1M-381.5K0.6080.23N/AN/A845019,5042,571
2024-02-06$112.52$112.0010.1%2.8%8.9%9.3%9.8%1.3%0.6%16.1M-67.0M-398.7K0.0681.89N/AN/A127819,5192,590
2024-02-07$112.93$112.009.7%2.8%8.7%6.9%9.8%1.2%1.2%17.7M-74.2M-395.4K0.4279.96N/AN/A1164919,5932,592
2024-02-08$112.94$112.009.4%2.7%8.7%5.2%9.5%1.6%1.0%18.1M-71.0M-382.0K0.0984.55N/AN/A102919,5432,606
2024-02-09$112.69$112.009.5%2.7%8.6%5.8%9.4%1.2%0.7%17.6M-64.2M-375.9K0.1984.40N/AN/A1272419,5502,607
2024-02-12$113.70$112.009.9%2.8%9.1%8.1%10.0%1.1%1.3%20.8M-83.4M-394.8K0.1182.96N/AN/A4134619,4852,611
2024-02-13$111.78$113.0010.9%3.1%10.6%13.9%10.8%2.2%0.8%12.8M-54.7M-352.9K0.5473.85N/AN/A38520919,5592,633
2024-02-14$112.59$112.0010.4%3.0%10.6%11.0%10.3%1.6%0.7%16.3M-60.2M-363.1K0.2481.97N/AN/A1092619,6062,698
2024-02-15$114.09$112.0010.1%2.9%11.4%9.3%10.1%1.1%1.2%23.3M-90.0M-386.6K0.2882.80N/AN/A3078719,5982,699
2024-02-16$113.95$113.0010.1%2.9%10.9%9.2%10.1%1.3%1.2%26.4M-87.3M-385.0K0.0287.86N/AN/A5281119,7022,727
2024-02-20$113.82$113.0011.2%3.2%10.9%15.5%11.0%1.5%0.5%18.8M-76.6M-366.0K0.4881.64N/AN/A29914518,7482,452
2024-02-21$114.20$113.0011.5%3.3%10.9%17.0%10.8%1.5%-0.1%19.6M-81.9M-381.6K0.0781.97N/AN/A1531118,7212,553
2024-02-22$115.31$113.0010.5%3.0%11.3%11.3%10.0%1.1%0.8%21.5M-106.4M-384.1K0.1384.04N/AN/A1,17515018,8202,559
2024-02-23$115.70$113.009.6%2.7%11.1%6.1%10.1%1.0%0.7%24.6M-113.0M-398.8K0.1880.33N/AN/A2764919,1822,432
2024-02-26$115.26$113.0010.1%2.9%11.2%9.2%10.1%0.1%0.6%27.3M-101.8M-378.4K0.3182.83N/AN/A1073319,2722,439
2024-02-27$115.19$113.0011.1%3.2%11.3%14.9%11.2%1.2%-1.5%24.7M-93.9M-373.0K2.0385.47N/AN/A9920119,2762,447
2024-02-28$115.09$114.0011.8%3.4%11.1%19.1%11.6%0.8%-2.1%22.7M-89.3M-369.4K0.4586.16N/AN/A23310519,2642,599
2024-02-29$115.62$114.0012.3%3.5%10.4%22.0%12.1%1.4%-2.0%25.6M-101.5M-362.9K0.2686.89N/AN/A1363619,2172,625