VYM Options History — May 2019

In May 2019, VYM traded between $82.57 and $87.88. ATM implied volatility averaged 13.1%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 2.4% (HV 20d: 10.6%). Max pain ranged from $87.00 to $88.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.77.

Notable Days

  • 2019-05-14: Highest Volume — 560 contracts
  • 2019-05-07: Largest IV spike — 123.5% change
  • 2019-05-13: Highest IV Rank — 66.3%
  • 2019-05-28: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.65$82.57$87.88$87.52$82.57
Max Pain$87.41$87.00$88.00$88.00$87.00
ATM IV13.1%6.9%20.0%6.9%14.3%
Expected Move3.5%2.0%4.3%2.0%4.1%
HV 20d10.6%5.8%13.6%5.8%13.6%
HV 60d9.6%8.3%10.7%8.3%10.7%
IV Rank36.3%9.5%66.3%9.5%41.4%
IV Percentile64.3%4.8%94.4%4.8%72.6%
Term Structure-0.2%-1.7%1.6%0.8%-0.2%
VWIV12.3%9.2%15.0%9.2%14.5%
Skew 25d5.5%1.1%8.8%1.1%4.5%
Skew 10d8.6%-0.2%17.0%0.8%7.4%
Call IV 25d9.8%6.4%12.3%7.2%12.3%
Put IV 25d15.3%8.3%20.5%8.3%16.9%
Bid-Ask Spread %79.0266.99102.61102.6177.59
Gamma HHI0.130.100.150.130.11
Net GEX711.4K273.7K1.0M1.0M273.7K
Net DEX-5.1M-9.0M24.1K-9.0M24.1K
Net VEX-39.5K-43.7K-29.8K-42.3K-29.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.022.410.020.63
Total Volume166.22733560131347
Total OI3,522.8183,2933,7873,4793,428

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-05-01$87.52$88.006.9%2.0%5.8%9.5%9.2%1.1%0.8%1.0M-9.0M-42.3K0.02102.61N/AN/A12832,1571,322
2019-05-02$87.05$88.0010.0%2.9%6.2%22.9%10.6%3.4%0.6%939.8K-7.5M-42.3K0.2394.39N/AN/A133302,1591,322
2019-05-03$87.88$88.008.0%2.3%6.9%14.1%10.0%2.5%1.6%984.3K-9.0M-41.9K0.2395.91N/AN/A133312,1551,348
2019-05-06$87.51$88.008.7%2.8%7.1%17.4%10.8%7.1%0.3%999.8K-8.2M-40.7K1.5474.29N/AN/A13202,1561,348
2019-05-07$86.06$88.0019.5%4.3%9.2%64.1%15.0%8.8%-1.2%591.5K-5.4M-43.7K1.6569.84N/AN/A40662,1661,368
2019-05-08$86.24$88.0016.7%3.8%9.0%52.1%14.0%7.5%-0.8%674.8K-6.0M-42.8K1.9067.56N/AN/A48912,1761,400
2019-05-09$85.83$88.0016.8%3.9%9.1%52.5%12.7%7.5%-1.2%564.6K-4.9M-42.4K1.5973.40N/AN/A851352,1651,418
2019-05-10$86.17$88.0014.1%3.6%9.2%40.5%12.5%5.1%-0.2%701.0K-5.7M-41.8K0.1984.80N/AN/A4282,1801,487
2019-05-13$84.61$88.0020.0%4.2%10.9%66.3%14.6%7.0%-1.7%411.5K-2.9M-40.5K0.5078.00N/AN/A58292,1801,487
2019-05-14$85.37$87.0016.7%4.2%11.5%51.8%11.9%6.9%-0.4%547.0K-4.5M-40.8K1.8770.51N/AN/A1953652,1691,490
2019-05-15$85.65$87.0011.6%3.3%11.4%29.9%10.6%6.2%-0.1%559.8K-4.8M-40.2K0.0666.99N/AN/A9962,1841,489
2019-05-16$86.17$87.0012.0%3.5%11.7%31.7%11.5%4.9%-0.1%758.2K-6.2M-41.6K0.4373.74N/AN/A65282,2641,495
2019-05-17$85.95$87.0011.7%3.3%11.7%30.1%11.4%6.2%-0.5%616.9K-5.7M-41.0K0.4076.02N/AN/A92372,3011,486
2019-05-20$85.63$87.0011.8%3.4%11.7%30.9%13.5%5.2%-0.2%823.6K-5.1M-39.7K0.4370.89N/AN/A79342,2221,071
2019-05-21$86.26$87.0011.5%3.3%11.9%29.6%12.2%4.2%-0.4%972.6K-6.3M-40.7K0.4279.33N/AN/A73312,2901,094
2019-05-22$86.06$87.0011.1%3.2%11.9%27.8%11.4%6.8%-0.6%994.6K-5.8M-39.5K0.4279.49N/AN/A74312,3071,082
2019-05-23$84.95$87.0012.7%3.6%12.6%34.5%12.4%5.0%0.0%768.7K-4.2M-38.9K0.3075.95N/AN/A107322,3121,099
2019-05-24$85.34$87.0012.4%3.6%12.8%33.4%12.7%4.9%0.4%818.6K-4.7M-38.7K0.4672.67N/AN/A108502,3211,122
2019-05-28$84.20$87.0015.0%4.3%13.3%44.6%10.0%5.5%-1.2%660.6K-2.9M-34.5K2.4184.66N/AN/A22532,2941,121
2019-05-29$83.69$87.0013.1%3.8%13.2%36.5%14.5%5.4%0.0%497.8K-1.5M-33.2K0.6086.14N/AN/A2041232,2831,158
2019-05-30$83.62$87.0013.2%3.8%13.1%36.6%14.9%5.4%-0.4%462.7K-1.3M-33.0K0.7683.70N/AN/A1761332,2721,154
2019-05-31$82.57$87.0014.3%4.1%13.6%41.4%14.5%4.5%-0.2%273.7K24.1K-29.8K0.6377.59N/AN/A2131342,2631,165