VYM Options History — March 2024

In March 2024, VYM traded between $116.07 and $121.13. ATM implied volatility averaged 11.1%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 2.3% (HV 20d: 8.8%). Max pain ranged from $106.00 to $114.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2024-03-11: Highest Volume — 19,803 contracts
  • 2024-03-11: Largest IV spike — 78.5% change
  • 2024-03-11: Highest IV Rank — 55.7%
  • 2024-03-01: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.04$116.07$121.13$116.13$121.13
Max Pain$108.45$106.00$114.00$114.00$110.00
ATM IV11.1%8.4%18.2%11.7%8.4%
Expected Move2.8%2.4%3.4%3.4%2.4%
HV 20d8.8%7.0%10.5%10.4%8.9%
HV 60d9.2%8.6%9.7%9.7%9.3%
IV Rank16.3%0.0%55.7%18.6%0.0%
IV Percentile32.7%0.0%98.4%52.0%0.0%
Term Structure1.2%-1.1%2.8%-1.1%1.5%
VWIV10.2%8.5%13.0%12.5%8.5%
Skew 25d1.7%0.6%4.9%1.6%1.2%
Skew 10d2.1%-7.2%6.5%3.4%-2.4%
Call IV 25d9.5%7.3%12.6%10.3%8.0%
Put IV 25d11.2%9.1%16.4%11.9%9.1%
Bid-Ask Spread %85.6468.10109.3089.0368.10
Gamma HHI0.600.290.770.690.77
Net GEX20.2M9.8M37.1M26.4M26.1M
Net DEX-103.6M-154.6M-65.6M-113.5M-123.7M
Net VEX-347.4K-380.3K-305.6K-361.2K-378.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.001.451.240.17
Total Volume1,336.958619,803503272
Total OI21,911.8520,99822,57421,84221,750

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$116.13$114.0011.7%3.4%10.4%18.6%12.5%1.6%-1.1%26.4M-113.5M-361.2K1.2489.03N/AN/A22527819,2102,632
2024-03-04$116.47$106.0012.2%2.9%10.4%21.4%10.6%1.3%1.6%28.9M-121.0M-356.3K0.2590.77N/AN/A3619119,1962,788
2024-03-05$116.07$106.0014.1%3.1%10.0%32.5%10.7%0.7%1.0%26.0M-109.9M-345.5K0.1992.19N/AN/A2264219,1762,849
2024-03-06$117.09$106.0013.8%2.9%10.4%30.4%13.0%1.1%2.8%26.9M-136.6M-334.7K1.45104.84N/AN/A17325119,2782,851
2024-03-07$117.69$106.0012.0%2.8%10.4%20.3%11.0%2.0%2.1%27.4M-152.5M-321.6K0.43106.22N/AN/A1978519,3103,035
2024-03-08$117.41$106.0010.2%3.1%10.5%9.6%11.2%3.9%0.6%37.1M-154.6M-309.6K0.16109.30N/AN/A1472319,3103,071
2024-03-11$117.87$106.0018.2%3.1%10.4%55.7%11.2%1.7%0.9%24.5M-152.9M-305.6K0.00100.59N/AN/A19,7495419,3043,071
2024-03-12$118.09$106.0017.7%2.7%10.1%52.7%10.6%2.2%0.7%13.4M-92.8M-364.8K0.60106.50N/AN/A1649919,4443,060
2024-03-13$118.28$107.009.7%2.8%7.2%6.7%10.0%4.9%1.6%13.5M-89.9M-348.1K0.18106.11N/AN/A2504619,4503,089
2024-03-14$117.30$107.0010.3%3.0%8.0%13.6%10.9%2.3%2.2%12.5M-77.4M-329.6K0.28101.55N/AN/A46712919,4783,096
2024-03-15$116.84$109.0010.6%3.1%7.1%22.1%10.7%2.0%0.5%9.8M-65.6M-339.5K0.8774.79N/AN/A23220218,5633,215
2024-03-18$117.20$110.0010.0%2.9%7.1%15.7%9.5%1.1%0.7%10.5M-68.5M-329.3K0.4568.64N/AN/A35015618,3362,662
2024-03-19$117.57$110.009.6%2.7%7.0%11.1%10.0%1.5%1.1%12.1M-70.1M-343.3K0.3468.62N/AN/A963318,6062,792
2024-03-20$118.63$110.008.7%2.5%7.5%2.4%8.9%0.8%1.6%15.9M-85.1M-366.5K0.3173.85N/AN/A1775518,6732,803
2024-03-21$119.84$110.008.7%2.5%7.6%2.3%9.5%0.8%1.6%21.3M-101.4M-380.3K0.4173.67N/AN/A76031018,7072,808
2024-03-22$119.20$110.008.9%2.5%8.0%4.0%8.5%1.2%1.1%17.5M-89.7M-363.0K0.3971.77N/AN/A42616618,6662,906
2024-03-25$118.94$110.009.0%2.6%7.8%5.1%9.1%0.6%1.2%16.3M-86.7M-355.8K0.2868.56N/AN/A671918,7292,942
2024-03-26$118.75$110.008.6%2.5%7.9%0.8%8.8%1.0%1.3%15.6M-75.4M-337.0K0.8068.36N/AN/A695518,7522,942
2024-03-27$120.28$110.008.7%2.5%8.8%1.8%8.9%2.1%1.5%22.6M-105.0M-378.9K0.9669.34N/AN/A12111618,7512,936
2024-03-28$121.13$110.008.4%2.4%8.9%0.0%8.5%1.2%1.5%26.1M-123.7M-378.0K0.1768.10N/AN/A2324018,8032,947