VYM Options History — April 2024

In April 2024, VYM traded between $114.88 and $120.59. ATM implied volatility averaged 12.7%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.0% (HV 20d: 10.7%). Max pain ranged from $110.00 to $120.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.56.

Notable Days

  • 2024-04-19: Highest Volume — 19,931 contracts
  • 2024-04-18: Largest IV spike — 42.9% change
  • 2024-04-18: Highest IV Rank — 100.0%
  • 2024-04-18: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.62$114.88$120.59$120.59$116.68
Max Pain$117.64$110.00$120.00$110.00$118.00
ATM IV12.7%9.2%19.9%9.2%14.8%
Expected Move3.7%2.6%5.7%2.6%4.3%
HV 20d10.7%9.2%11.9%9.2%10.6%
HV 60d9.9%9.3%10.3%9.3%10.2%
IV Rank40.7%7.8%100.0%7.8%56.1%
IV Percentile65.2%5.2%100.0%5.2%92.5%
Term Structure0.2%-5.0%7.0%0.6%-5.0%
VWIV11.9%9.7%14.0%9.7%11.7%
Skew 25d2.7%1.6%4.4%2.5%1.6%
Skew 10d5.6%3.7%7.7%6.5%3.7%
Call IV 25d10.9%7.8%12.6%7.8%11.5%
Put IV 25d13.6%10.3%16.9%10.3%13.1%
Bid-Ask Spread %69.1555.6381.8357.7476.14
Gamma HHI0.440.090.760.760.49
Net GEX11.3M2.9M25.6M25.6M11.2M
Net DEX-66.9M-107.8M-35.6M-107.8M-64.9M
Net VEX-347.9K-457.0K-274.0K-354.4K-407.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.001.790.670.19
Total Volume1,204.2277419,931327100
Total OI21,873.40920,27722,82221,79521,162

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-04-01$120.59$110.009.2%2.6%9.2%7.8%9.7%2.5%0.6%25.6M-107.8M-354.4K0.6757.74N/AN/A19613118,8212,974
2024-04-02$119.97$110.0010.1%2.9%9.5%17.2%10.7%2.2%0.2%21.3M-97.0M-351.5K1.5258.54N/AN/A12418918,8393,079
2024-04-03$119.85$110.009.8%2.8%9.4%14.6%9.8%1.6%0.9%20.6M-91.8M-347.4K0.0855.63N/AN/A1601318,8223,262
2024-04-04$118.60$120.0011.7%3.5%9.9%33.7%11.6%3.0%0.2%13.6M-72.5M-325.1K0.3068.17N/AN/A1554718,8363,272
2024-04-05$119.27$120.0011.5%3.4%9.9%31.3%11.2%2.8%-0.2%16.6M-79.9M-335.3K1.7967.51N/AN/A437718,8273,317
2024-04-08$119.41$120.0010.9%3.2%9.9%25.2%11.2%2.6%1.3%17.4M-78.0M-316.4K0.5670.83N/AN/A1347518,8363,332
2024-04-09$119.28$120.0011.5%3.3%9.8%31.9%11.4%2.4%0.5%16.5M-75.6M-313.7K0.1072.20N/AN/A2892818,8723,379
2024-04-10$118.03$120.0011.9%3.4%10.6%35.6%11.9%2.7%1.0%7.8M-56.1M-295.6K0.8164.69N/AN/A17314018,8923,390
2024-04-11$118.13$120.0011.4%3.3%10.6%30.7%10.9%2.4%1.3%6.4M-55.4M-286.3K0.2369.72N/AN/A2886718,9063,512
2024-04-12$116.13$120.0013.0%3.7%11.8%46.5%11.8%4.0%0.2%3.3M-40.9M-278.5K0.3660.03N/AN/A52919118,7913,540
2024-04-15$115.43$120.0015.3%4.4%11.9%70.0%14.0%4.4%-1.9%3.0M-39.0M-274.3K1.6767.51N/AN/A25642718,9743,392
2024-04-16$115.13$118.0014.4%4.1%11.9%61.6%13.6%3.6%-0.5%2.9M-35.6M-274.4K0.9565.28N/AN/A19919019,0893,667
2024-04-17$114.88$118.0013.9%4.0%11.8%56.2%12.9%3.6%-0.2%3.0M-35.6M-274.0K0.5162.49N/AN/A48324419,1183,627
2024-04-18$115.03$118.0019.9%5.7%11.2%100.0%13.3%3.2%-2.4%3.4M-37.5M-280.4K0.4067.30N/AN/A2038219,2083,599
2024-04-19$115.75$118.0015.9%4.6%10.8%65.3%13.7%2.5%-2.3%4.4M-41.6M-287.1K0.0072.78N/AN/A19,8983319,2233,599
2024-04-22$116.94$118.0012.9%3.7%11.5%38.9%12.7%1.6%0.5%10.3M-71.0M-436.3K0.2273.75N/AN/A4249217,5702,707
2024-04-23$117.69$118.0011.9%3.4%11.7%30.1%11.9%1.8%0.7%11.5M-79.1M-457.0K0.2575.64N/AN/A2065217,9402,781
2024-04-24$117.94$118.0011.7%3.4%11.8%28.9%12.2%2.8%1.6%12.8M-81.0M-454.2K1.0476.57N/AN/A757818,0882,801
2024-04-25$117.56$118.0012.3%3.5%10.7%33.8%12.5%2.9%-0.1%11.8M-77.3M-450.3K0.4575.60N/AN/A512318,1532,849
2024-04-26$117.56$118.0014.8%4.3%10.3%56.2%11.3%1.7%7.0%11.9M-77.9M-433.3K0.1081.83N/AN/A86918,1812,859
2024-04-29$117.77$118.0011.2%3.2%10.3%24.2%11.2%3.1%0.9%12.7M-76.0M-421.9K0.1881.43N/AN/A1973618,2552,874
2024-04-30$116.68$118.0014.8%4.3%10.6%56.1%11.7%1.6%-5.0%11.2M-64.9M-407.4K0.1976.14N/AN/A841618,2902,872