VYM Options History — June 2019

In June 2019, VYM traded between $83.26 and $87.77. ATM implied volatility averaged 11.1%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 1.9% (HV 20d: 12.9%). Max pain ranged from $82.00 to $86.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2019-06-07: Highest Volume — 475 contracts
  • 2019-06-04: Largest IV drop — 24.8% change
  • 2019-06-03: Highest IV Rank — 47.6%
  • 2019-06-03: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.47$83.26$87.77$83.26$87.13
Max Pain$83.60$82.00$86.00$86.00$85.00
ATM IV11.1%9.2%15.7%15.7%11.3%
Expected Move3.2%2.6%4.5%4.5%3.2%
HV 20d12.9%9.6%15.3%13.5%9.6%
HV 60d11.0%10.7%11.4%10.8%10.7%
IV Rank27.5%19.4%47.6%47.6%28.4%
IV Percentile51.8%36.9%81.0%81.0%52.4%
Term Structure0.6%-2.0%3.2%-2.0%0.3%
VWIV12.2%10.0%16.1%16.1%12.8%
Skew 25d4.0%2.4%4.8%4.7%4.4%
Skew 10d8.5%4.7%10.7%5.1%10.7%
Call IV 25d9.7%8.6%13.2%13.2%9.2%
Put IV 25d13.7%11.2%18.0%18.0%13.6%
Bid-Ask Spread %79.3871.5692.2979.8877.43
Gamma HHI0.150.120.180.120.14
Net GEX1.4M374.4K2.0M374.4K1.6M
Net DEX-8.3M-13.0M-849.9K-849.9K-9.7M
Net VEX-42.4K-45.8K-33.0K-33.0K-43.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.104.050.330.51
Total Volume176.75747580146
Total OI3,955.953,5134,3013,5133,964

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-06-03$83.26$86.0015.7%4.5%13.5%47.6%16.1%4.7%-2.0%374.4K-849.9K-33.0K0.3379.88N/AN/A60202,2851,228
2019-06-04$84.77$86.0011.8%3.4%15.3%30.8%13.4%4.8%0.8%672.5K-3.2M-36.0K0.5585.40N/AN/A76422,3381,236
2019-06-05$85.33$86.0012.9%3.7%14.5%35.4%12.1%4.0%-0.4%809.7K-4.4M-37.1K0.2984.82N/AN/A246722,3531,238
2019-06-06$86.06$82.0011.3%3.4%14.8%28.7%12.2%4.2%0.3%1.0M-6.3M-39.6K0.3977.58N/AN/A189732,4211,236
2019-06-07$86.44$82.0012.6%3.3%14.8%34.3%11.8%4.2%0.2%1.1M-7.3M-40.1K0.1771.56N/AN/A406692,4411,237
2019-06-10$86.53$82.009.6%3.0%14.7%21.3%13.3%4.6%0.9%1.3M-8.3M-43.5K0.4076.50N/AN/A75302,7121,233
2019-06-11$86.67$82.009.5%3.1%13.0%20.7%11.1%3.9%0.7%1.4M-8.5M-44.6K0.3772.56N/AN/A71262,7711,234
2019-06-12$86.51$82.0010.5%3.0%12.7%24.9%10.8%4.4%1.0%1.4M-8.2M-43.6K0.2274.94N/AN/A125282,7891,242
2019-06-13$86.72$82.0010.9%3.1%12.7%27.0%11.1%4.5%0.3%1.4M-8.4M-43.3K0.1077.42N/AN/A262272,8171,246
2019-06-14$86.92$82.0010.4%3.0%12.6%24.7%11.3%4.1%1.3%1.6M-9.5M-44.6K0.4378.87N/AN/A138592,9771,247
2019-06-17$86.05$83.0011.4%3.3%13.1%29.1%13.0%3.6%0.5%1.5M-8.0M-43.2K4.0579.52N/AN/A20812,8711,270
2019-06-18$86.74$83.0010.6%3.0%13.3%25.3%13.3%4.2%0.7%1.7M-9.7M-44.8K3.6876.21N/AN/A281032,8831,308
2019-06-19$86.99$83.009.5%2.7%13.1%20.6%11.2%2.4%3.2%1.9M-10.5M-44.6K1.9392.29N/AN/A551062,9031,357
2019-06-20$87.56$83.009.2%2.6%13.2%19.4%11.8%3.2%1.7%2.0M-12.2M-45.3K0.6179.70N/AN/A1661022,9421,359
2019-06-21$87.77$83.0010.0%2.9%12.2%22.8%13.5%4.3%1.3%1.9M-13.0M-45.8K0.9184.24N/AN/A1271162,9411,357
2019-06-24$87.51$85.009.9%2.8%12.2%22.4%10.6%3.0%0.7%1.6M-10.8M-43.7K0.8481.35N/AN/A31262,6811,200
2019-06-25$86.99$85.0011.6%3.3%11.3%29.6%10.0%3.8%0.2%1.6M-9.5M-44.0K0.7779.17N/AN/A35272,6971,225
2019-06-26$86.67$85.0011.5%3.3%11.1%29.6%12.3%3.9%0.2%1.5M-8.5M-43.5K0.7179.05N/AN/A66472,6971,226
2019-06-27$86.81$85.0011.0%3.1%11.0%27.1%11.9%4.3%0.3%1.6M-8.7M-43.1K0.4279.04N/AN/A111472,7111,246
2019-06-28$87.13$85.0011.3%3.2%9.6%28.4%12.8%4.4%0.3%1.6M-9.7M-43.9K0.5177.43N/AN/A97492,7181,246