VYM Options History — December 2020

In December 2020, VYM traded between $89.56 and $92.11. ATM implied volatility averaged 14.2%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 1.9% (HV 20d: 16.1%). Max pain ranged from $83.00 to $90.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.20.

Notable Days

  • 2020-12-22: Highest Volume — 3,158 contracts
  • 2020-12-21: Largest IV spike — 29.4% change
  • 2020-12-21: Highest IV Rank — 12.6%
  • 2020-12-21: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.03$89.56$92.11$90.18$91.35
Max Pain$86.36$83.00$90.00$85.00$90.00
ATM IV14.2%12.3%16.0%14.4%13.3%
Expected Move4.1%3.5%4.6%4.1%3.8%
HV 20d16.1%11.5%23.4%23.4%11.5%
HV 60d20.1%19.0%21.8%21.8%19.0%
IV Rank10.2%7.7%12.6%10.6%9.0%
IV Percentile19.9%13.9%25.4%22.2%13.9%
Term Structure1.2%-0.1%2.9%0.8%2.9%
VWIV15.3%12.4%17.9%15.6%15.0%
Skew 25d5.1%3.8%6.6%4.1%5.5%
Skew 10d9.9%7.5%13.5%7.5%13.5%
Call IV 25d12.5%11.3%13.7%13.2%11.8%
Put IV 25d17.7%15.9%19.7%17.3%17.3%
Bid-Ask Spread %43.0815.5475.2070.2275.20
Gamma HHI0.160.120.240.150.19
Net GEX3.2M1.5M4.8M3.6M2.7M
Net DEX-40.8M-60.3M-12.0M-46.0M-21.3M
Net VEX-125.7K-167.3K-103.2K-119.9K-166.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.056.410.601.73
Total Volume786.4091603,158294218
Total OI16,358.22713,04218,34814,67117,913

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$90.18$85.0014.4%4.1%23.4%10.6%15.6%4.1%0.8%3.6M-46.0M-119.9K0.6070.22N/AN/A1841109,7784,893
2020-12-02$90.70$85.0013.5%3.9%22.6%9.3%14.3%3.8%1.2%3.8M-49.2M-115.5K2.7071.11N/AN/A962599,8554,906
2020-12-03$90.63$83.0013.3%4.3%22.5%9.0%17.2%4.6%0.7%3.9M-48.8M-118.0K0.6766.23N/AN/A1511019,8815,131
2020-12-04$91.94$83.0012.8%4.4%22.5%8.4%15.1%4.6%-0.1%3.9M-58.8M-103.4K0.2168.29N/AN/A361779,9205,117
2020-12-07$91.24$83.0014.7%4.1%22.9%11.0%16.1%5.0%2.0%3.9M-53.4M-106.2K1.0266.21N/AN/A6406569,8655,152
2020-12-08$92.01$85.0013.2%4.0%17.3%8.8%15.1%5.4%2.0%4.0M-58.1M-108.4K0.2369.61N/AN/A2966910,3235,691
2020-12-09$92.11$85.0014.7%4.2%17.3%10.9%14.9%5.7%1.4%3.9M-58.9M-106.7K0.1546.48N/AN/A4046210,3155,742
2020-12-10$91.94$85.0014.3%4.1%17.2%10.3%15.9%5.1%0.8%4.2M-58.9M-103.6K0.7236.55N/AN/A45232510,4175,728
2020-12-11$91.47$85.0014.3%4.1%15.8%10.4%16.8%5.5%1.7%3.9M-55.1M-111.8K0.3822.31N/AN/A75428610,6106,005
2020-12-14$90.65$85.0015.9%4.6%14.3%12.6%15.5%5.4%0.2%4.3M-50.4M-110.2K2.6745.02N/AN/A36497210,7796,102
2020-12-15$91.63$85.0014.2%4.1%14.1%10.2%15.3%4.9%1.4%4.1M-58.8M-108.0K0.3324.07N/AN/A72523810,8516,995
2020-12-16$91.73$85.0013.2%3.8%14.0%8.9%13.5%4.6%1.9%4.6M-60.3M-109.8K0.2536.65N/AN/A98324511,1517,197
2020-12-17$91.85$85.0012.8%3.7%13.7%8.3%12.4%4.4%0.6%4.8M-59.7M-106.7K0.1930.30N/AN/A2464610,9177,349
2020-12-18$91.26$85.0012.3%3.5%14.0%7.7%13.3%3.8%2.1%3.0M-55.0M-103.2K0.1215.54N/AN/A1,31015610,8457,344
2020-12-21$90.01$89.0016.0%4.6%15.0%12.6%17.9%6.6%0.6%1.5M-18.5M-125.1K1.3354.34N/AN/A3785046,8596,183
2020-12-22$89.56$89.0015.5%4.4%14.7%12.0%16.5%6.3%1.3%1.5M-15.5M-129.3K0.7023.28N/AN/A1,8631,2957,1136,452
2020-12-23$90.48$89.0014.8%4.2%13.0%11.0%14.9%5.7%1.5%2.1M-17.8M-158.0K3.2218.74N/AN/A2457898,8567,655
2020-12-24$90.22$89.0014.2%4.1%12.9%10.3%15.8%6.3%1.4%1.6M-13.5M-167.3K6.4122.06N/AN/A462958,9838,359
2020-12-28$90.58$90.0014.6%4.2%13.0%10.7%13.6%5.1%0.2%1.9M-12.8M-159.9K1.2028.09N/AN/A1441738,6948,703
2020-12-29$90.49$90.0014.8%4.3%12.1%11.1%17.5%6.1%1.9%1.9M-12.0M-164.2K1.4227.04N/AN/A66948,7818,818
2020-12-30$90.73$90.0015.6%4.5%11.5%12.1%13.7%4.8%0.4%2.1M-14.5M-163.9K0.0530.48N/AN/A593308,8008,853
2020-12-31$91.35$90.0013.3%3.8%11.5%9.0%15.0%5.5%2.9%2.7M-21.3M-166.0K1.7375.20N/AN/A801389,0378,876