VYM Options History — June 2018

In June 2018, VYM traded between $82.92 and $86.12. ATM implied volatility averaged 9.7%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 0.8% (HV 20d: 9.0%). Max pain ranged from $83.00 to $84.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2018-06-28: Highest Volume — 1,641 contracts
  • 2018-06-25: Largest IV spike — 58.8% change
  • 2018-06-25: Highest IV Rank — 37.0%
  • 2018-06-25: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.63$82.92$86.12$84.56$83.31
Max Pain$83.05$83.00$84.00$84.00$83.00
ATM IV9.7%7.6%14.2%8.5%11.5%
Expected Move2.7%2.0%4.1%2.4%3.3%
HV 20d9.0%6.6%10.6%10.6%6.6%
HV 60d13.7%10.9%15.4%15.4%10.9%
IV Rank21.2%13.6%37.0%16.8%27.3%
IV Percentile62.4%42.9%84.5%55.6%73.8%
Term Structure1.3%-1.4%3.0%0.2%0.1%
VWIV11.8%9.4%15.5%11.3%9.4%
Skew 25d4.1%3.2%5.9%3.2%4.2%
Skew 10d9.3%6.4%12.1%7.9%10.4%
Call IV 25d8.1%6.7%11.0%8.1%9.2%
Put IV 25d12.3%10.5%16.9%11.3%13.4%
Bid-Ask Spread %46.0232.8377.9242.0465.98
Gamma HHI0.290.210.440.340.22
Net GEX1.6M839.5K2.5M1.4M1.1M
Net DEX-6.9M-11.1M-3.3M-6.1M-4.7M
Net VEX-36.9K-40.7K-33.6K-39.2K-40.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.110.470.240.16
Total Volume892.9056621,6411,0771,203
Total OI3,912.4293,6354,2253,8784,225

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$84.56$84.008.5%2.4%10.6%16.8%11.3%3.2%0.2%1.4M-6.1M-39.2K0.2442.04N/AN/A8702072,7861,092
2018-06-04$84.94$83.009.1%2.5%9.8%18.9%13.1%5.0%2.5%1.6M-7.2M-38.8K0.3232.83N/AN/A7502382,8151,091
2018-06-05$84.92$83.009.3%2.6%9.8%19.5%12.2%5.0%1.9%1.7M-7.2M-39.0K0.3234.08N/AN/A7512402,8231,081
2018-06-06$85.44$83.009.2%2.5%9.9%19.5%9.7%3.5%2.0%1.8M-8.8M-37.3K0.3537.66N/AN/A7942762,8221,093
2018-06-07$85.68$83.007.8%2.4%9.6%14.4%10.0%4.2%2.0%1.9M-9.8M-37.9K0.4343.82N/AN/A6552792,8971,044
2018-06-08$85.91$83.007.6%2.3%9.1%13.6%10.4%4.4%2.6%2.0M-10.6M-39.1K0.4542.13N/AN/A5702542,9201,044
2018-06-11$86.12$83.0010.6%2.4%9.1%24.4%11.5%3.8%2.5%1.9M-11.1M-36.5K0.3839.62N/AN/A5922222,9571,045
2018-06-12$85.87$83.0010.3%2.0%9.2%23.2%10.6%4.0%2.9%2.2M-10.7M-36.6K0.3949.13N/AN/A5852272,9801,041
2018-06-13$85.55$83.008.7%2.5%8.9%17.6%11.4%4.1%2.1%2.2M-9.8M-36.8K0.4757.25N/AN/A5742692,9901,046
2018-06-14$85.47$83.009.0%2.6%8.7%18.5%11.2%3.6%2.0%2.4M-9.1M-36.8K0.3937.30N/AN/A5812282,9891,089
2018-06-15$85.34$83.008.0%2.3%8.7%15.2%12.1%3.4%3.0%2.5M-8.6M-34.9K0.4146.40N/AN/A5472262,9871,092
2018-06-18$84.75$83.008.4%2.4%9.1%16.6%12.5%3.5%0.8%1.3M-5.4M-35.4K0.4042.78N/AN/A5112022,658977
2018-06-19$84.59$83.008.5%2.4%8.9%17.0%10.5%4.2%0.9%1.2M-5.5M-35.9K0.3542.19N/AN/A5892082,668985
2018-06-20$84.65$83.008.1%2.3%8.9%15.5%14.0%3.7%1.1%1.3M-5.4M-35.8K0.2248.81N/AN/A5831262,717996
2018-06-21$83.92$83.009.4%2.7%9.4%20.1%13.6%3.6%-0.0%994.9K-3.8M-33.6K0.1977.92N/AN/A6601282,7171,009
2018-06-22$83.94$83.009.0%2.6%9.4%18.5%11.7%3.7%1.8%1.4M-5.7M-38.0K0.2536.18N/AN/A5281342,8471,012
2018-06-25$83.21$83.0014.2%4.1%9.8%37.0%15.5%5.4%-1.3%912.6K-3.7M-35.6K0.3571.39N/AN/A5181792,8431,000
2018-06-26$83.23$83.0011.7%3.4%9.1%28.1%13.8%4.7%0.5%1.0M-4.0M-35.9K0.2744.34N/AN/A6391742,8601,016
2018-06-27$82.92$83.0013.7%3.9%7.2%35.0%13.3%5.9%-1.4%839.5K-3.3M-35.5K0.2634.72N/AN/A6291642,8771,017
2018-06-28$82.99$83.0011.7%3.4%6.9%28.1%9.6%4.1%0.8%1.0M-4.3M-36.4K0.1139.89N/AN/A1,4811602,9981,015
2018-06-29$83.31$83.0011.5%3.3%6.6%27.3%9.4%4.2%0.1%1.1M-4.7M-40.7K0.1665.98N/AN/A1,0411623,2031,022