VYM Options History — January 2021

In January 2021, VYM traded between $90.42 and $95.83. ATM implied volatility averaged 17.5%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.9% (HV 20d: 13.6%). Max pain ranged from $90.00 to $91.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.71.

Notable Days

  • 2021-01-12: Highest Volume — 3,261 contracts
  • 2021-01-27: Largest IV spike — 37.6% change
  • 2021-01-27: Highest IV Rank — 20.3%
  • 2021-01-27: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.75$90.42$95.83$90.42$91.01
Max Pain$90.26$90.00$91.00$90.00$91.00
ATM IV17.5%11.0%24.8%19.0%23.9%
Expected Move5.2%4.3%7.1%5.3%6.9%
HV 20d13.6%11.5%18.3%12.1%18.3%
HV 60d18.8%17.3%19.3%18.9%18.5%
IV Rank12.3%5.9%20.3%16.8%19.1%
IV Percentile31.4%5.6%67.9%37.3%64.3%
Term Structure0.3%-1.4%1.5%-0.6%0.4%
VWIV18.6%15.5%26.1%20.6%23.9%
Skew 25d6.9%5.5%9.2%7.6%9.2%
Skew 10d12.9%10.5%22.1%13.3%14.6%
Call IV 25d15.5%12.6%21.4%15.0%18.7%
Put IV 25d22.3%18.5%30.5%22.6%28.0%
Bid-Ask Spread %48.8139.6060.0850.7860.08
Gamma HHI0.190.140.240.170.15
Net GEX3.5M1.3M4.5M1.9M1.3M
Net DEX-35.9M-61.9M-9.4M-13.2M-9.4M
Net VEX-164.9K-179.4K-143.2K-160.3K-166.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.052.131.952.13
Total Volume896.3161073,261381394
Total OI19,282.63217,34521,89118,01620,320

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$90.42$90.0019.0%5.3%12.1%16.8%20.6%7.6%-0.6%1.9M-13.2M-160.3K1.9550.78N/AN/A1292529,0488,968
2021-01-05$91.27$90.0015.3%5.0%11.5%11.7%18.2%7.0%-0.1%2.6M-20.1M-160.2K0.5945.59N/AN/A2351399,0589,144
2021-01-06$93.28$90.0017.6%5.0%13.5%14.9%16.9%7.3%-0.0%3.3M-37.7M-161.1K0.5145.34N/AN/A6613399,2599,070
2021-01-07$94.19$90.0011.5%4.4%13.6%6.6%16.7%6.2%0.9%3.9M-46.6M-143.2K0.0649.97N/AN/A2,0651199,3698,947
2021-01-08$94.01$90.0011.0%4.3%13.7%5.9%17.3%5.9%1.0%3.8M-42.2M-146.9K0.3952.09N/AN/A187729,2978,988
2021-01-11$94.42$90.0015.1%4.9%13.7%11.4%17.2%6.4%-0.1%3.5M-45.8M-145.5K0.4939.60N/AN/A2611279,3209,026
2021-01-12$95.01$90.0016.3%5.3%13.6%13.0%16.1%7.2%-0.6%3.2M-49.6M-145.1K0.0547.18N/AN/A3,1161459,4719,044
2021-01-13$95.12$90.0017.2%4.9%13.0%11.6%16.6%6.1%0.1%4.0M-55.9M-162.2K0.0646.12N/AN/A6484011,5019,103
2021-01-14$95.83$90.0017.9%5.1%12.7%12.6%16.4%5.8%-0.1%3.6M-61.9M-157.4K0.2145.79N/AN/A1,52331911,8299,125
2021-01-15$94.66$90.0018.5%5.3%13.7%13.5%17.5%6.7%0.0%4.2M-52.8M-175.8K0.1244.71N/AN/A1,64019612,7139,178
2021-01-19$95.16$90.0018.2%5.2%13.8%13.0%18.3%6.7%-0.0%4.3M-38.9M-173.0K1.0043.65N/AN/A69369611,5915,754
2021-01-20$95.24$90.0016.7%4.8%13.5%9.9%15.5%5.9%0.9%4.4M-39.1M-178.9K0.1145.77N/AN/A8819912,1716,423
2021-01-21$94.67$90.0016.3%4.7%12.5%9.3%21.3%5.5%0.9%4.5M-36.9M-177.2K2.0845.23N/AN/A10121012,9076,503
2021-01-22$94.24$90.0017.0%4.9%12.4%9.1%17.8%6.6%0.8%4.0M-32.0M-172.2K0.8650.03N/AN/A13311412,9556,614
2021-01-25$94.11$91.0018.7%5.4%12.2%11.5%20.3%6.7%0.4%3.8M-30.6M-172.8K1.1350.59N/AN/A15217112,9856,693
2021-01-26$94.17$91.0018.0%5.2%12.1%10.5%18.6%6.0%0.9%4.2M-31.5M-175.8K0.8853.01N/AN/A575013,0806,797
2021-01-27$91.56$91.0024.8%7.1%16.1%20.3%26.1%9.2%-1.4%2.1M-14.8M-179.3K0.3655.04N/AN/A55619913,1036,832
2021-01-28$92.83$91.0019.7%5.7%16.8%13.0%18.2%8.5%1.5%3.0M-22.9M-179.4K0.5156.83N/AN/A20610513,2226,962
2021-01-29$91.01$91.0023.9%6.9%18.3%19.1%23.9%9.2%0.4%1.3M-9.4M-166.2K2.1360.08N/AN/A12626813,2887,032