VYM Options History — March 2021

In March 2021, VYM traded between $95.76 and $101.67. ATM implied volatility averaged 15.3%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.3% (HV 20d: 15.1%). Max pain ranged from $86.00 to $100.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.55.

Notable Days

  • 2021-03-26: Highest Volume — 2,130 contracts
  • 2021-03-05: Largest IV drop — 16.7% change
  • 2021-03-04: Highest IV Rank — 14.3%
  • 2021-03-04: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$99.69$95.76$101.67$97.31$101.12
Max Pain$91.74$86.00$100.00$93.00$100.00
ATM IV15.3%12.5%20.9%16.0%13.7%
Expected Move4.3%3.6%5.3%4.6%3.9%
HV 20d15.1%10.9%17.1%11.4%15.2%
HV 60d14.8%14.1%15.3%14.1%14.9%
IV Rank7.0%2.8%14.3%7.3%6.6%
IV Percentile16.1%1.6%46.8%19.0%7.9%
Term Structure0.6%-1.8%2.0%-0.6%0.3%
VWIV15.6%13.2%21.1%15.6%14.6%
Skew 25d4.3%1.8%7.2%5.2%1.8%
Skew 10d8.4%4.6%14.1%10.3%4.9%
Call IV 25d13.2%9.5%16.0%13.9%13.0%
Put IV 25d17.5%14.8%23.1%19.1%14.8%
Bid-Ask Spread %42.8014.3080.0928.4380.09
Gamma HHI0.340.210.480.280.29
Net GEX5.9M3.6M7.7M4.6M7.0M
Net DEX-58.4M-78.4M-36.3M-45.4M-52.6M
Net VEX-176.9K-237.3K-153.3K-161.0K-216.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.042.540.251.74
Total Volume843.4351972,130638395
Total OI20,193.52217,50322,76618,29822,766

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$97.31$93.0016.0%4.6%11.4%7.3%15.6%5.2%-0.6%4.6M-45.4M-161.0K0.2528.43N/AN/A51212612,5075,791
2021-03-02$97.16$93.0016.1%4.6%11.4%7.4%15.8%5.3%-0.6%4.5M-45.0M-158.9K0.2137.24N/AN/A2926212,7015,858
2021-03-03$97.26$93.0018.3%5.2%10.9%10.5%17.6%5.4%-1.0%4.5M-45.9M-167.0K0.1326.76N/AN/A3514712,9495,905
2021-03-04$95.76$86.0020.9%5.3%12.6%14.3%21.1%7.2%0.4%3.6M-36.3M-172.6K0.6250.53N/AN/A19311913,1265,925
2021-03-05$98.20$87.0017.4%4.6%15.0%9.3%16.5%7.1%1.1%5.3M-52.8M-168.6K0.2738.62N/AN/A3048213,1646,019
2021-03-08$99.41$87.0020.3%4.7%15.3%13.4%18.3%5.7%1.4%5.5M-62.3M-177.6K0.3324.90N/AN/A69722913,2836,041
2021-03-09$98.98$88.0017.4%4.9%15.4%9.2%16.6%4.2%-0.5%5.6M-59.8M-167.3K0.6741.78N/AN/A25116713,3636,186
2021-03-10$100.30$88.0015.0%4.3%15.9%5.7%15.3%4.0%1.5%6.0M-69.1M-159.8K0.0433.04N/AN/A1,3235113,3606,287
2021-03-11$100.26$89.0014.5%4.2%15.9%5.1%16.7%3.5%1.8%6.5M-70.2M-162.2K0.7133.13N/AN/A1158214,1576,306
2021-03-12$101.06$90.0015.0%4.3%15.9%5.8%14.7%3.5%1.2%6.5M-76.0M-158.0K0.1525.77N/AN/A4436714,1646,312
2021-03-15$101.12$90.0014.2%4.1%15.9%4.6%14.7%2.9%1.7%7.4M-78.0M-160.4K1.0252.47N/AN/A31932514,3696,317
2021-03-16$101.03$90.0013.4%3.8%15.9%3.4%14.3%2.3%2.0%6.7M-77.0M-154.8K0.3717.97N/AN/A73527414,4536,543
2021-03-17$101.13$90.0013.4%3.8%16.0%3.4%13.9%2.3%2.0%7.4M-78.4M-153.3K0.1844.74N/AN/A98318014,5556,628
2021-03-18$100.58$90.0014.7%4.2%16.1%5.3%14.7%3.7%0.2%7.2M-74.4M-167.7K0.1478.67N/AN/A7179815,1076,762
2021-03-19$100.56$90.0013.4%3.8%16.1%3.8%13.2%2.4%1.0%7.7M-74.4M-164.6K0.0872.73N/AN/A1,36911515,2006,771
2021-03-22$99.69$91.0012.5%3.6%16.5%2.8%13.6%5.9%1.0%5.2M-46.0M-171.5K0.1461.36N/AN/A1,17717012,1955,308
2021-03-23$98.56$91.0014.6%4.2%17.1%6.6%14.6%5.4%-0.1%5.1M-38.8M-173.3K2.5418.95N/AN/A35690412,8145,443
2021-03-24$99.06$94.0013.1%3.8%16.7%4.3%14.9%5.5%1.5%5.1M-40.9M-189.0K0.8228.68N/AN/A44436613,0536,472
2021-03-25$99.99$96.0013.3%3.8%15.7%4.6%13.5%6.4%1.2%5.2M-47.7M-195.1K0.1523.53N/AN/A1,28819913,4376,796
2021-03-26$101.24$96.0014.3%4.1%15.7%6.7%16.0%3.1%-0.3%5.9M-60.7M-212.0K0.6672.20N/AN/A1,28584514,6796,946
2021-03-29$101.67$98.0016.1%4.6%15.1%10.3%16.1%3.0%-1.8%6.4M-56.2M-220.9K0.7878.51N/AN/A54842914,7597,161
2021-03-30$101.35$100.0015.2%4.3%15.1%10.2%16.0%2.9%-0.5%6.7M-55.6M-237.3K0.6314.30N/AN/A22414115,1477,366
2021-03-31$101.12$100.0013.7%3.9%15.2%6.6%14.6%1.8%0.3%7.0M-52.6M-216.4K1.7480.09N/AN/A14425115,3427,424