VYM Options History — June 2017

In June 2017, VYM traded between $78.07 and $79.83. ATM implied volatility averaged 7.6%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 1.8% (HV 20d: 5.8%). Max pain ranged from $75.00 to $77.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2017-06-29: Highest Volume — 1,137 contracts
  • 2017-06-12: Largest IV spike — 43.7% change
  • 2017-06-12: Highest IV Rank — 31.4%
  • 2017-06-29: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.82$78.07$79.83$78.38$78.39
Max Pain$75.36$75.00$77.00$77.00$75.00
ATM IV7.6%6.3%10.5%8.2%7.8%
Expected Move2.1%1.8%2.5%2.3%2.2%
HV 20d5.8%3.8%6.8%6.8%6.3%
HV 60d6.3%5.8%6.7%6.6%6.4%
IV Rank10.9%1.5%31.4%14.7%12.1%
IV Percentile18.0%1.2%71.8%22.2%19.0%
Term Structure1.8%-0.0%6.3%-0.0%0.8%
VWIV8.6%5.8%12.3%7.5%8.0%
Skew 25d4.0%2.0%5.3%5.3%3.1%
Skew 10d7.6%4.0%9.9%7.7%5.7%
Call IV 25d5.9%3.6%7.3%4.1%6.1%
Put IV 25d9.9%8.2%11.6%9.3%9.2%
Bid-Ask Spread %42.9924.7198.1631.3243.80
Gamma HHI0.200.160.280.200.28
Net GEX843.7K627.5K1.0M749.2K961.4K
Net DEX-6.4M-8.0M-3.7M-5.7M-6.2M
Net VEX-21.6K-23.3K-18.9K-23.3K-22.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.291.070.950.41
Total Volume671.2734751,137510958
Total OI2,487.52,0422,7082,4742,708

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$78.38$77.008.2%2.3%6.8%14.7%7.5%5.3%-0.0%749.2K-5.7M-23.3K0.9531.32N/AN/A2622481,644830
2017-06-02$78.66$77.006.3%1.8%6.8%1.6%7.0%4.2%-0.0%812.5K-6.5M-23.0K0.9633.43N/AN/A2652551,651833
2017-06-05$78.62$75.007.2%2.0%6.8%8.2%10.9%4.5%2.3%932.3K-6.6M-22.4K0.9654.27N/AN/A2652541,683847
2017-06-06$78.44$75.008.2%2.4%6.8%14.9%11.6%4.9%1.7%901.5K-6.2M-22.3K1.0238.19N/AN/A2612671,683849
2017-06-07$78.50$75.008.3%2.3%6.7%16.0%12.3%3.4%2.2%903.2K-5.9M-23.0K1.0735.78N/AN/A2542711,682863
2017-06-08$78.43$75.009.5%2.4%6.6%24.1%10.2%3.6%2.3%922.6K-6.1M-21.4K1.0744.70N/AN/A2542711,685867
2017-06-09$78.80$75.007.3%2.1%6.6%9.0%11.5%4.3%2.2%897.3K-6.5M-22.2K0.8945.36N/AN/A2512241,689869
2017-06-12$79.07$75.0010.5%2.2%6.5%31.4%10.7%4.6%2.5%908.5K-7.1M-22.3K0.8041.43N/AN/A2892301,705871
2017-06-13$79.30$75.009.3%2.1%6.3%22.6%8.1%3.7%2.8%898.3K-7.6M-21.9K0.8232.42N/AN/A2882371,780871
2017-06-14$79.26$75.007.1%2.0%6.4%7.4%6.7%3.1%6.3%904.0K-8.0M-20.0K0.9298.16N/AN/A2602401,781886
2017-06-15$79.26$75.007.1%2.0%3.9%7.3%9.0%3.5%2.6%904.8K-7.3M-22.3K0.9237.83N/AN/A2602401,793897
2017-06-16$79.43$75.007.3%2.1%3.8%8.4%6.7%4.5%2.9%887.1K-7.9M-22.1K0.6864.04N/AN/A3502391,793901
2017-06-19$79.83$75.006.5%1.9%3.9%3.4%5.8%4.3%2.0%840.7K-7.9M-20.6K0.7033.00N/AN/A3242281,703686
2017-06-20$79.42$75.007.4%2.1%4.4%9.4%7.6%3.5%0.9%788.6K-6.8M-21.1K0.7135.25N/AN/A3352371,630687
2017-06-21$79.04$75.007.0%2.0%4.9%6.9%10.6%4.2%1.6%746.1K-6.0M-20.7K0.6233.38N/AN/A3832381,627712
2017-06-22$79.08$75.006.5%1.9%4.9%3.1%6.7%2.0%1.6%781.5K-6.5M-18.9K0.4139.03N/AN/A6022481,625715
2017-06-23$78.52$77.006.4%1.8%5.5%2.3%8.3%4.4%1.1%627.5K-3.7M-20.5K0.4135.59N/AN/A6032501,348726
2017-06-26$78.76$77.006.3%1.8%5.5%1.5%7.4%5.3%1.2%642.7K-3.8M-20.4K0.4040.35N/AN/A6252501,309733
2017-06-27$78.27$75.008.1%2.3%6.0%14.3%7.3%3.7%0.7%648.3K-5.5M-19.7K0.3329.53N/AN/A7912581,620730
2017-06-28$78.58$75.006.3%1.8%6.2%2.1%6.9%4.2%0.8%1.0M-6.6M-21.6K0.2924.71N/AN/A8252411,820749
2017-06-29$78.07$75.008.8%2.5%6.3%19.1%8.9%3.8%0.8%895.9K-5.3M-23.3K0.3374.19N/AN/A8522851,889755
2017-06-30$78.39$75.007.8%2.2%6.3%12.1%8.0%3.1%0.8%961.4K-6.2M-22.2K0.4143.80N/AN/A6782801,910798