VYM Options History — June 2020

In June 2020, VYM traded between $76.69 and $86.51. ATM implied volatility averaged 26.1%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 4.5% (HV 20d: 30.6%). Max pain ranged from $74.00 to $80.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2020-06-03: Highest Volume — 3,238 contracts
  • 2020-06-11: Largest IV spike — 48.5% change
  • 2020-06-11: Highest IV Rank — 37.2%
  • 2020-06-11: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.87$76.69$86.51$80.44$78.76
Max Pain$79.18$74.00$80.00$74.00$80.00
ATM IV26.1%20.2%33.7%24.1%24.7%
Expected Move7.4%5.8%9.7%6.9%7.1%
HV 20d30.6%26.5%35.3%26.5%32.6%
HV 60d40.9%32.2%52.1%52.1%32.2%
IV Rank26.8%18.8%37.2%24.2%25.0%
IV Percentile77.9%71.4%86.5%77.4%72.6%
Term Structure0.0%-4.2%2.0%-1.1%0.4%
VWIV26.7%20.4%39.7%22.4%25.4%
Skew 25d10.5%6.7%15.3%9.1%10.2%
Skew 10d19.2%13.2%27.4%17.2%19.8%
Call IV 25d22.3%17.9%28.1%19.5%21.1%
Put IV 25d32.8%24.6%43.4%28.6%31.3%
Bid-Ask Spread %40.1415.4173.4255.1137.68
Gamma HHI0.110.080.280.110.09
Net GEX1.6M399.7K2.8M1.5M639.2K
Net DEX-15.5M-44.1M2.0M-15.1M-1.8M
Net VEX-82.4K-96.7K-71.4K-78.0K-76.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.033.220.370.62
Total Volume833.0911893,238224278
Total OI12,077.1829,84014,14810,49011,336

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$80.44$74.0024.1%6.9%26.5%24.2%22.4%9.1%-1.1%1.5M-15.1M-78.0K0.3755.11N/AN/A164606,7843,706
2020-06-02$80.74$74.0021.6%6.2%26.5%20.8%21.3%8.7%-0.1%1.6M-16.3M-76.7K0.8921.61N/AN/A100896,8733,730
2020-06-03$82.88$74.0020.2%5.8%27.8%18.8%21.0%6.7%0.6%1.6M-24.3M-77.4K0.0331.36N/AN/A3,1331056,8653,733
2020-06-04$82.70$80.0020.4%6.1%27.1%19.2%20.4%8.5%2.0%2.3M-27.7M-87.5K0.8916.54N/AN/A6605907,9903,753
2020-06-05$85.17$80.0021.7%6.1%28.5%20.8%23.0%7.8%0.2%2.0M-39.2M-85.9K0.2253.28N/AN/A1,9494308,1003,792
2020-06-08$86.51$80.0023.1%6.0%28.3%22.7%22.0%8.0%0.6%2.0M-44.1M-84.4K0.8915.41N/AN/A7476638,3413,818
2020-06-09$85.59$80.0024.1%6.5%28.7%24.1%23.2%8.3%-0.4%1.9M-39.0M-93.9K0.1625.81N/AN/A447708,7404,388
2020-06-10$84.12$80.0022.7%6.5%28.8%22.3%24.6%8.5%-0.2%2.2M-32.0M-96.7K0.2364.67N/AN/A220508,9264,424
2020-06-11$79.15$80.0033.7%9.7%35.3%37.2%39.7%15.3%-4.2%1.5M-8.4M-90.6K0.9259.82N/AN/A4604228,9504,457
2020-06-12$79.49$80.0031.1%8.9%35.0%33.6%36.0%13.8%-1.9%1.6M-8.4M-89.3K0.8871.26N/AN/A2512219,0954,784
2020-06-15$79.81$80.0030.1%8.6%34.9%32.3%30.7%11.7%-1.2%1.9M-10.6M-84.6K1.5944.92N/AN/A1452319,2204,829
2020-06-16$81.51$80.0027.7%8.0%31.9%29.1%29.1%11.0%-0.0%2.3M-19.4M-89.0K0.1267.44N/AN/A482589,2614,805
2020-06-17$81.00$80.0028.1%8.1%31.3%29.6%27.6%10.3%1.3%2.8M-15.1M-83.5K3.2273.42N/AN/A1936229,3104,830
2020-06-18$80.91$80.0027.3%7.8%31.2%28.5%29.8%10.4%0.1%2.8M-15.0M-81.1K0.1536.52N/AN/A428659,3224,745
2020-06-19$80.69$80.0026.0%7.4%31.0%26.7%27.0%10.9%1.2%2.3M-13.6M-78.6K0.0830.62N/AN/A793659,3574,791
2020-06-22$79.51$80.0026.7%7.7%31.6%27.7%27.2%11.2%0.8%612.2K-5.7M-78.9K0.4725.58N/AN/A2761296,1703,670
2020-06-23$79.79$80.0025.8%7.4%30.4%26.4%24.0%11.1%1.0%699.6K-5.8M-81.6K0.6423.37N/AN/A8885686,2803,783
2020-06-24$77.87$80.0029.4%8.4%31.1%31.3%27.4%12.4%0.2%559.4K-1.3M-76.2K0.4021.88N/AN/A4771936,6093,819
2020-06-25$78.19$80.0027.9%8.0%31.1%29.3%28.7%12.1%0.9%609.1K-1.9M-76.7K3.2228.81N/AN/A1274096,6343,953
2020-06-26$76.69$80.0029.3%8.4%31.8%31.1%29.1%13.6%0.1%399.7K2.0M-71.4K2.0960.07N/AN/A1763676,6284,071
2020-06-29$77.51$80.0027.6%7.9%32.0%28.9%28.5%11.9%0.2%428.7K1.1M-73.5K0.9618.01N/AN/A2692586,6164,410
2020-06-30$78.76$80.0024.7%7.1%32.6%25.0%25.4%10.2%0.4%639.2K-1.8M-76.8K0.6237.68N/AN/A1721066,7714,565