VYM Options History — June 2016

In June 2016, VYM traded between $68.19 and $71.57. ATM implied volatility averaged 11.9%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 2.1% (HV 20d: 9.8%). Max pain ranged from $66.00 to $70.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.11.

Notable Days

  • 2016-06-23: Highest Volume — 1,394 contracts
  • 2016-06-24: Largest IV spike — 44.3% change
  • 2016-06-27: Highest IV Rank — 61.5%
  • 2016-06-27: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.60$68.19$71.57$70.61$71.33
Max Pain$66.68$66.00$70.00$70.00$68.00
ATM IV11.9%6.5%19.6%7.8%12.2%
Expected Move3.5%2.1%5.6%2.2%3.5%
HV 20d9.8%6.4%16.8%9.7%16.8%
HV 60d9.5%8.7%12.2%9.4%12.2%
IV Rank26.2%1.9%61.5%7.8%27.9%
IV Percentile40.5%0.8%89.7%3.2%42.5%
Term Structure0.6%-3.7%4.1%1.7%0.6%
VWIV15.2%10.3%24.5%10.3%11.5%
Skew 25d5.2%2.6%7.9%3.0%3.8%
Skew 10d8.9%2.7%15.3%9.7%15.3%
Call IV 25d10.6%7.1%17.2%8.7%10.6%
Put IV 25d15.8%10.8%25.1%11.8%14.5%
Bid-Ask Spread %97.6386.19108.05108.05103.89
Gamma HHI0.260.150.400.250.29
Net GEX467.7K258.9K711.8K583.4K711.8K
Net DEX-4.7M-9.1M267.0K-5.6M-5.5M
Net VEX-33.3K-37.2K-25.5K-29.3K-35.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.262.560.870.64
Total Volume999.1365831,3945831,085
Total OI3,656.3183,1794,0823,3283,739

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$70.61$70.007.8%2.2%9.7%7.8%10.3%3.0%1.7%583.4K-5.6M-29.3K0.87108.05N/AN/A3112721,9861,342
2016-06-02$70.78$66.007.9%2.6%9.5%8.0%10.5%3.2%3.1%620.6K-6.4M-27.4K0.8298.38N/AN/A3432811,9861,348
2016-06-03$70.85$66.007.8%2.7%9.4%7.6%12.3%4.5%1.8%622.3K-6.4M-28.0K0.8699.64N/AN/A3262812,0181,356
2016-06-06$71.18$66.006.5%2.8%9.4%1.9%11.4%3.2%2.3%638.5K-7.8M-26.1K0.7796.31N/AN/A3712862,0341,356
2016-06-07$71.40$66.008.9%3.0%9.4%12.7%13.1%5.6%0.6%605.7K-9.1M-25.5K2.16100.91N/AN/A3627832,1041,367
2016-06-08$71.57$66.007.4%2.1%8.7%5.9%12.5%5.2%4.1%525.7K-7.4M-34.2K2.1296.76N/AN/A3657742,1111,868
2016-06-09$71.52$66.009.8%2.8%8.4%16.8%12.0%3.1%2.2%705.3K-7.6M-33.1K2.1699.97N/AN/A3577722,1241,869
2016-06-10$71.04$66.0011.1%3.2%8.9%22.5%15.8%3.4%-1.1%461.5K-6.0M-34.5K2.5699.72N/AN/A3057802,1141,873
2016-06-13$70.47$66.0013.9%4.0%8.7%35.6%17.3%5.9%-0.7%303.7K-4.0M-37.0K2.3996.63N/AN/A3267802,1111,895
2016-06-14$70.40$66.0014.5%4.2%8.3%38.4%17.9%7.9%1.3%299.3K-3.3M-36.8K2.5386.19N/AN/A3117872,1221,917
2016-06-15$70.26$66.0013.5%3.9%8.2%33.8%20.8%6.1%-3.7%279.7K-4.0M-36.3K0.9799.10N/AN/A3092992,1121,936
2016-06-16$70.65$66.0010.9%3.1%7.2%22.0%17.5%7.9%1.6%320.8K-3.8M-34.8K0.9694.43N/AN/A3112982,1141,947
2016-06-17$70.59$66.0012.3%3.5%7.3%28.4%19.6%7.8%3.0%442.3K-5.2M-34.6K0.9698.31N/AN/A3112982,1311,951
2016-06-20$70.97$66.0012.8%3.7%7.4%30.3%24.5%4.1%-0.2%435.4K-4.7M-33.2K0.3298.62N/AN/A9292981,8071,400
2016-06-21$70.64$67.0013.2%3.8%7.6%32.1%13.7%6.3%-0.4%379.5K-4.1M-33.0K0.2695.32N/AN/A1,0082631,7391,440
2016-06-22$70.54$67.0012.4%3.6%6.4%28.8%16.2%6.7%0.8%413.0K-4.4M-34.1K0.3896.47N/AN/A1,0003801,8241,451
2016-06-23$71.38$67.0012.4%3.6%7.1%28.7%15.6%7.1%-0.3%462.5K-5.2M-35.4K0.3798.41N/AN/A1,0143801,8911,577
2016-06-24$69.45$67.0017.9%5.1%12.3%53.7%17.6%2.6%-0.6%356.1K-2.1M-37.2K0.3692.33N/AN/A9533411,9771,577
2016-06-27$68.19$67.0019.6%5.6%13.7%61.5%18.0%7.9%-2.5%258.9K267.0K-34.8K0.6193.09N/AN/A6894211,9921,629
2016-06-28$69.15$68.0015.1%4.3%14.8%41.0%14.2%5.0%-0.1%340.9K194.5K-35.4K0.6296.29N/AN/A6754181,9051,738
2016-06-29$70.26$68.0013.0%3.7%15.9%31.3%13.0%5.0%0.6%522.3K-2.4M-36.4K0.6199.06N/AN/A7004281,9071,754
2016-06-30$71.33$68.0012.2%3.5%16.8%27.9%11.5%3.8%0.6%711.8K-5.5M-35.3K0.64103.89N/AN/A6614241,9741,765