VYM Options History — April 2021

In April 2021, VYM traded between $101.41 and $104.34. ATM implied volatility averaged 12.8%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 3.1% (HV 20d: 9.7%). Max pain ranged from $99.00 to $101.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2021-04-21: Highest Volume — 4,825 contracts
  • 2021-04-12: Largest IV spike — 48.0% change
  • 2021-04-12: Highest IV Rank — 17.4%
  • 2021-04-22: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.81$101.41$104.34$101.41$103.49
Max Pain$100.38$99.00$101.00$100.00$101.00
ATM IV12.8%10.5%15.5%12.5%13.2%
Expected Move3.6%3.3%3.8%3.6%3.8%
HV 20d9.7%8.4%13.7%13.7%9.4%
HV 60d13.6%11.7%14.8%14.8%11.9%
IV Rank8.0%0.0%17.4%3.6%11.6%
IV Percentile6.3%0.0%23.8%1.6%9.5%
Term Structure1.1%0.2%1.6%0.8%1.2%
VWIV12.8%10.9%15.0%13.5%13.1%
Skew 25d3.3%0.1%4.6%0.1%3.4%
Skew 10d6.1%2.2%7.8%2.2%6.7%
Call IV 25d11.4%10.3%13.0%13.0%11.5%
Put IV 25d14.7%13.1%16.1%13.1%14.9%
Bid-Ask Spread %45.7426.6769.0959.7057.13
Gamma HHI0.180.120.280.280.19
Net GEX6.9M4.5M9.5M7.4M8.3M
Net DEX-57.9M-79.5M-37.7M-55.4M-51.5M
Net VEX-207.2K-237.0K-186.3K-218.0K-225.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.072.361.281.73
Total Volume658.0481234,825667311
Total OI22,292.8116,47924,59123,05921,825

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-04-01$101.41$100.0012.5%3.6%13.7%3.6%13.5%0.1%0.8%7.4M-55.4M-218.0K1.2859.70N/AN/A29337415,4047,655
2021-04-05$102.44$99.0014.6%3.8%11.3%9.8%12.6%3.6%1.1%7.3M-66.6M-214.4K0.3549.33N/AN/A1113915,6337,943
2021-04-06$102.17$99.0013.4%3.8%10.8%7.5%13.6%3.0%1.2%7.3M-65.0M-211.6K1.2030.81N/AN/A16720015,6917,971
2021-04-07$102.19$100.0013.5%3.6%10.6%7.7%13.2%3.4%1.2%7.6M-65.7M-205.3K1.3347.98N/AN/A678915,7648,171
2021-04-08$102.01$100.0013.3%3.6%9.7%7.2%12.3%3.0%1.5%7.5M-63.5M-206.2K0.6929.68N/AN/A33623215,7688,201
2021-04-09$102.35$100.0010.5%3.6%9.7%0.0%12.2%3.4%1.2%7.3M-65.9M-207.9K0.2928.73N/AN/A1584615,9608,395
2021-04-12$102.55$100.0015.5%3.5%9.4%17.4%12.3%3.3%1.4%7.4M-67.4M-198.9K0.1526.67N/AN/A1712516,0378,384
2021-04-13$102.13$100.0014.0%3.6%9.5%12.2%12.5%3.1%1.6%7.6M-64.8M-198.1K0.5130.26N/AN/A1,85194216,0408,393
2021-04-14$102.42$100.0012.9%3.7%9.5%8.4%12.7%3.5%1.5%4.7M-72.7M-188.7K0.5743.95N/AN/A895116,0958,421
2021-04-15$102.99$100.0011.7%3.4%9.7%4.3%12.4%3.1%1.4%4.9M-76.1M-186.3K1.2248.55N/AN/A10713116,0908,434
2021-04-16$103.65$101.0011.6%3.3%9.6%4.0%12.7%3.4%1.5%5.1M-79.5M-191.2K0.8036.22N/AN/A35828816,1298,462
2021-04-19$103.10$100.0012.8%3.7%9.9%8.1%15.0%3.9%1.1%4.9M-42.1M-189.1K2.3628.83N/AN/A21550812,1204,359
2021-04-20$102.53$101.0013.0%3.7%9.5%8.6%13.8%4.6%1.1%4.5M-37.7M-188.8K0.5332.03N/AN/A1467712,2774,562
2021-04-21$103.56$101.0012.0%3.4%8.7%5.2%13.1%3.6%0.8%5.2M-43.3M-186.9K0.0757.36N/AN/A4,52629912,3534,605
2021-04-22$102.62$101.0013.4%3.8%9.5%11.8%14.3%4.4%0.8%6.6M-44.6M-227.2K0.8046.25N/AN/A19715816,7644,808
2021-04-23$103.38$101.0012.3%3.5%9.4%7.6%12.3%2.9%1.2%8.0M-50.7M-237.0K0.5443.17N/AN/A1105916,9204,940
2021-04-26$103.08$101.0012.8%3.7%8.6%9.8%12.4%3.7%0.5%7.5M-47.9M-219.0K0.0964.04N/AN/A1411316,9274,947
2021-04-27$103.24$101.0012.8%3.7%8.5%9.8%12.2%3.7%0.2%7.7M-48.9M-220.4K0.1062.73N/AN/A1121116,9904,953
2021-04-28$103.33$101.0012.3%3.5%8.4%7.7%10.9%3.6%0.9%7.8M-47.7M-206.5K1.4268.04N/AN/A23032716,9764,956
2021-04-29$104.34$101.0011.9%3.4%8.8%6.3%12.1%3.6%1.1%9.5M-58.6M-224.8K0.0969.09N/AN/A2332116,9794,847
2021-04-30$103.49$101.0013.2%3.8%9.4%11.6%13.1%3.4%1.2%8.3M-51.5M-225.8K1.7357.13N/AN/A11419716,9774,848