VYM Options History — February 2021

In February 2021, VYM traded between $91.76 and $98.31. ATM implied volatility averaged 15.4%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 0.8% (HV 20d: 16.2%). Max pain ranged from $90.00 to $93.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.55.

Notable Days

  • 2021-02-25: Highest Volume — 3,409 contracts
  • 2021-02-25: Largest IV spike — 37.2% change
  • 2021-02-25: Highest IV Rank — 13.5%
  • 2021-02-25: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.39$91.76$98.31$91.76$95.91
Max Pain$91.21$90.00$93.00$91.00$93.00
ATM IV15.4%11.9%20.3%19.8%17.9%
Expected Move4.6%4.1%5.8%5.7%5.1%
HV 20d16.2%13.3%18.4%18.4%13.3%
HV 60d15.3%13.5%18.2%18.1%14.0%
IV Rank6.5%1.7%13.5%13.0%10.0%
IV Percentile16.5%4.4%41.7%39.3%30.2%
Term Structure0.8%-1.7%2.4%1.3%-1.2%
VWIV16.8%13.4%20.7%17.8%18.0%
Skew 25d6.3%5.1%9.2%9.2%7.9%
Skew 10d12.1%6.9%14.5%14.2%14.3%
Call IV 25d13.7%11.8%16.9%16.1%15.1%
Put IV 25d20.0%17.6%25.9%25.3%23.0%
Bid-Ask Spread %48.2523.4468.1757.0456.80
Gamma HHI0.230.080.350.170.23
Net GEX4.5M1.4M8.3M1.4M3.5M
Net DEX-37.7M-55.5M-11.5M-11.5M-35.8M
Net VEX-123.1K-158.8K-92.5K-154.1K-158.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.051.490.270.55
Total Volume735.4741513,409234292
Total OI19,314.15811,34621,42820,50618,066

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$91.76$91.0019.8%5.7%18.4%13.0%17.8%9.2%1.3%1.4M-11.5M-154.1K0.2757.04N/AN/A1845013,3307,176
2021-02-02$92.88$91.0016.4%4.7%18.4%8.1%17.0%6.3%2.4%2.8M-20.0M-154.3K0.7251.63N/AN/A27519713,3667,182
2021-02-03$93.10$91.0015.3%4.4%18.2%6.5%15.8%5.8%2.4%2.8M-20.9M-141.9K0.7035.65N/AN/A896213,5107,273
2021-02-04$93.87$90.0013.3%4.6%16.7%3.7%17.1%6.5%0.9%4.1M-28.8M-130.7K0.9448.33N/AN/A13012213,5467,290
2021-02-05$94.53$90.0011.9%4.5%16.5%1.7%16.4%6.1%1.3%5.5M-34.3M-138.6K1.2333.17N/AN/A17621713,6237,245
2021-02-08$95.23$91.0012.6%4.5%16.7%2.6%16.7%6.0%0.9%5.3M-39.8M-116.9K0.7361.37N/AN/A987213,7027,349
2021-02-09$95.41$91.0012.6%4.6%16.7%2.5%18.3%5.7%1.1%6.4M-42.8M-123.8K0.6739.23N/AN/A16310913,7627,357
2021-02-10$95.26$91.0016.3%4.7%16.5%7.8%18.4%5.8%1.7%6.4M-42.2M-127.9K0.8566.43N/AN/A11810013,7867,403
2021-02-11$95.12$91.0016.3%4.7%16.6%7.8%18.0%5.6%1.0%6.8M-40.3M-120.4K1.4963.79N/AN/A6810113,8357,470
2021-02-12$95.52$91.0014.3%4.1%16.4%4.7%16.4%6.1%1.7%8.3M-45.5M-114.1K0.3758.61N/AN/A1314913,8507,485
2021-02-16$96.08$91.0015.0%4.3%15.9%5.7%14.7%5.2%1.6%7.3M-50.4M-99.1K0.0668.17N/AN/A2961713,8157,461
2021-02-17$96.40$91.0015.3%4.4%15.8%6.1%15.5%5.8%1.0%6.4M-52.9M-94.0K0.4037.72N/AN/A2068213,8357,477
2021-02-18$96.13$91.0014.9%4.3%15.9%5.6%16.1%5.9%1.1%6.9M-51.4M-98.2K0.1426.73N/AN/A5037213,8747,507
2021-02-19$96.41$91.0015.2%4.4%15.7%6.0%15.4%6.3%0.5%2.6M-55.5M-95.4K0.3130.84N/AN/A81825013,9087,520
2021-02-22$96.76$92.0015.3%4.4%15.6%6.1%16.5%6.1%0.3%1.8M-31.6M-92.5K0.1123.44N/AN/A2,4632826,2285,118
2021-02-23$97.13$92.0015.8%4.5%15.6%7.0%17.4%6.3%-0.0%2.3M-35.7M-119.1K0.8347.71N/AN/A105878,4015,293
2021-02-24$98.31$92.0014.8%4.3%16.0%5.5%13.4%5.1%-0.2%2.5M-40.5M-116.6K0.0542.71N/AN/A2,4521298,4195,334
2021-02-25$96.67$92.0020.3%5.8%13.5%13.5%20.7%9.0%-1.7%2.2M-35.6M-142.4K0.1167.41N/AN/A3,0613489,8405,333
2021-02-26$95.91$93.0017.9%5.1%13.3%10.0%18.0%7.9%-1.2%3.5M-35.8M-158.8K0.5556.80N/AN/A18910312,4315,635