VYM Options History — May 2020

In May 2020, VYM traded between $73.62 and $80.16. ATM implied volatility averaged 25.9%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 5.0% (HV 20d: 30.9%). Max pain ranged from $70.00 to $77.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2020-05-06: Highest Volume — 840 contracts
  • 2020-05-13: Largest IV spike — 19.7% change
  • 2020-05-01: Highest IV Rank — 34.2%
  • 2020-05-01: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.88$73.62$80.16$75.83$79.99
Max Pain$72.55$70.00$77.00$77.00$74.00
ATM IV25.9%20.7%31.6%31.6%23.3%
Expected Move7.5%6.5%9.0%9.0%6.7%
HV 20d30.9%27.3%38.3%38.3%28.8%
HV 60d54.0%52.5%55.3%53.7%52.5%
IV Rank26.5%19.5%34.2%34.2%23.1%
IV Percentile80.1%75.0%85.3%85.3%76.6%
Term Structure-0.2%-2.2%1.3%-0.3%-0.2%
VWIV26.1%21.1%32.6%29.0%23.5%
Skew 25d11.2%8.8%14.2%12.3%8.8%
Skew 10d20.2%16.7%24.4%20.9%18.6%
Call IV 25d21.5%19.4%26.0%26.0%19.9%
Put IV 25d32.8%28.6%38.5%38.3%28.7%
Bid-Ask Spread %29.5918.8953.2128.9153.21
Gamma HHI0.160.080.380.150.11
Net GEX935.5K448.1K1.6M670.4K1.3M
Net DEX-3.1M-13.7M5.9M-314.4K-12.6M
Net VEX-66.5K-79.0K-55.2K-71.4K-79.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.081.690.950.32
Total Volume404.95110840411459
Total OI10,079.358,39811,4309,80110,188

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$75.83$77.0031.6%9.0%38.3%34.2%29.0%12.3%-0.3%670.4K-314.4K-71.4K0.9528.91N/AN/A2112006,0283,773
2020-05-04$75.94$76.0030.4%8.8%37.5%32.6%32.6%14.2%0.2%708.4K326.3K-66.6K0.8118.89N/AN/A1491206,0793,830
2020-05-05$76.29$77.0029.9%8.5%31.6%32.0%26.4%12.3%-1.6%822.5K-1.1M-67.6K0.5324.07N/AN/A116616,1513,823
2020-05-06$75.30$77.0029.3%8.5%31.5%31.2%30.7%12.9%-0.6%690.1K2.1M-61.3K0.1119.59N/AN/A757836,2263,830
2020-05-07$75.69$70.0025.4%7.8%30.9%25.9%23.6%12.2%1.3%812.0K1.3M-61.8K0.4623.01N/AN/A2611196,5333,890
2020-05-08$77.24$70.0020.7%7.2%30.2%19.5%21.1%11.1%0.5%1.4M-4.8M-69.2K0.0923.66N/AN/A413366,9133,897
2020-05-11$77.05$70.0022.8%6.7%29.4%22.3%25.8%10.0%0.3%1.6M-4.1M-64.4K1.6924.47N/AN/A1702886,9633,886
2020-05-12$75.76$71.0025.7%7.4%29.1%26.3%30.9%10.5%0.7%997.8K670.1K-61.4K1.6325.65N/AN/A1071746,9914,080
2020-05-13$73.62$71.0030.7%8.8%29.1%33.1%30.2%13.4%-2.2%448.1K5.9M-55.3K1.0122.14N/AN/A2012036,9964,206
2020-05-14$74.88$71.0029.1%8.3%29.8%30.9%30.9%13.0%-1.0%469.6K4.3M-56.0K0.5628.32N/AN/A2351317,0124,358
2020-05-15$74.63$71.0027.2%7.8%27.3%28.4%24.4%12.8%-0.7%623.8K4.3M-55.2K0.0827.36N/AN/A640497,0434,387
2020-05-18$78.10$71.0024.0%6.9%31.5%24.0%21.7%11.0%0.0%738.4K-5.4M-65.4K0.1727.78N/AN/A6541095,3453,053
2020-05-19$76.75$71.0025.3%7.2%30.6%25.7%24.8%11.0%-0.4%826.2K-3.9M-66.2K1.0729.35N/AN/A1501615,8463,054
2020-05-20$77.55$71.0023.2%6.7%30.2%23.0%22.5%10.0%-0.1%944.7K-5.7M-70.4K0.3924.98N/AN/A134525,9723,204
2020-05-21$77.01$71.0025.1%7.2%30.3%25.5%26.0%9.6%-0.2%906.2K-4.9M-69.4K1.4448.21N/AN/A45656,0733,222
2020-05-22$76.87$72.0024.1%6.9%30.1%24.1%24.1%10.3%0.8%912.5K-3.9M-65.6K1.2821.87N/AN/A1622076,1003,239
2020-05-26$78.78$73.0022.7%6.5%30.5%22.3%22.5%11.0%0.7%1.2M-8.9M-71.8K0.5237.79N/AN/A3221666,1193,430
2020-05-27$80.08$73.0022.6%6.5%31.0%22.0%26.5%9.2%0.1%1.3M-12.6M-73.9K0.6443.79N/AN/A151976,3173,520
2020-05-28$80.16$74.0024.3%7.0%30.3%24.4%25.0%9.2%-0.8%1.3M-13.7M-77.9K1.2138.84N/AN/A2002416,4403,570
2020-05-29$79.99$74.0023.3%6.7%28.8%23.1%23.5%8.8%-0.2%1.3M-12.6M-79.0K0.3253.21N/AN/A3491106,5143,674