VYM Options History — May 2021

In May 2021, VYM traded between $104.81 and $107.98. ATM implied volatility averaged 13.3%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 0.2% (HV 20d: 13.1%). Max pain ranged from $100.00 to $104.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2021-05-03: Highest Volume — 1,060 contracts
  • 2021-05-11: Largest IV spike — 32.6% change
  • 2021-05-12: Highest IV Rank — 33.4%
  • 2021-05-12: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.45$104.81$107.98$104.81$106.91
Max Pain$102.95$100.00$104.00$101.00$104.00
ATM IV13.3%10.0%18.2%12.1%10.0%
Expected Move3.8%2.9%5.2%3.5%2.9%
HV 20d13.1%9.7%15.1%9.8%14.4%
HV 60d12.9%12.0%13.9%12.1%12.5%
IV Rank12.1%0.0%33.4%6.8%0.0%
IV Percentile14.7%0.0%52.0%3.2%0.0%
Term Structure1.2%-0.9%2.5%1.1%2.4%
VWIV13.8%10.1%18.9%12.8%10.1%
Skew 25d4.8%3.6%6.7%4.0%3.6%
Skew 10d8.9%6.3%13.9%7.5%6.8%
Call IV 25d11.5%8.9%15.6%10.8%8.9%
Put IV 25d16.4%12.4%22.0%14.7%12.4%
Bid-Ask Spread %49.8220.1069.3942.0140.37
Gamma HHI0.330.210.540.220.54
Net GEX12.1M8.2M20.7M10.4M10.5M
Net DEX-76.4M-106.5M-51.7M-64.4M-57.1M
Net VEX-221.7K-249.8K-183.2K-230.0K-183.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.023.250.020.20
Total Volume508.71331,0601,060357
Total OI21,737.917,26423,85221,88818,628

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$104.81$101.0012.1%3.5%9.8%6.8%12.8%4.0%1.1%10.4M-64.4M-230.0K0.0242.01N/AN/A1,0352517,0224,866
2021-05-04$104.81$101.0014.1%4.0%9.7%15.5%14.5%4.5%0.6%9.8M-65.7M-238.7K0.3366.43N/AN/A1193917,0634,861
2021-05-05$105.74$101.0012.9%3.7%10.1%10.4%13.5%4.2%0.6%11.2M-75.9M-243.3K0.0869.39N/AN/A5154217,0964,873
2021-05-06$106.58$100.0012.0%3.8%10.2%6.4%15.1%5.1%2.2%12.1M-86.7M-249.8K0.3748.94N/AN/A2579517,3724,891
2021-05-07$107.49$101.0010.9%3.7%10.5%1.8%13.1%3.9%1.8%13.0M-100.4M-246.5K0.3251.41N/AN/A2528117,4074,945
2021-05-10$107.98$103.0013.0%3.8%10.5%11.0%14.9%4.9%-0.7%12.2M-106.5M-242.1K0.2654.50N/AN/A78220617,4774,993
2021-05-11$106.12$102.0017.3%4.5%12.5%29.2%14.6%5.5%0.3%11.5M-81.3M-244.2K0.4449.89N/AN/A24210717,7285,118
2021-05-12$104.90$102.0018.2%5.2%13.3%33.4%18.9%6.4%-0.2%9.5M-67.4M-241.9K3.2541.06N/AN/A15149017,8235,188
2021-05-13$106.70$104.0015.5%4.5%14.4%21.7%16.5%6.7%1.4%11.9M-86.9M-247.8K2.8948.97N/AN/A17049217,8215,565
2021-05-14$107.47$104.0013.9%4.0%14.5%14.7%14.4%4.7%2.1%13.5M-99.0M-238.7K0.4962.47N/AN/A44521717,9245,653
2021-05-17$107.55$104.0013.6%3.9%14.2%13.6%15.1%5.8%-0.9%13.7M-100.0M-226.1K0.7461.75N/AN/A1299517,7495,739
2021-05-18$106.85$104.0013.6%3.9%14.3%13.6%15.0%5.3%2.2%15.6M-89.6M-220.8K0.9159.26N/AN/A11310317,7965,759
2021-05-19$105.47$104.0016.1%4.6%14.9%24.3%15.6%5.9%-0.2%11.7M-66.6M-207.2K0.2937.97N/AN/A3169317,8275,829
2021-05-20$106.48$104.0014.0%4.0%14.7%15.2%13.7%4.5%1.4%18.9M-81.0M-212.5K0.9157.63N/AN/A16114717,8335,894
2021-05-21$106.63$104.0012.4%3.6%14.6%8.4%12.4%4.9%2.5%20.7M-79.4M-207.3K0.1469.01N/AN/A88912117,8735,979
2021-05-24$107.26$104.0011.7%3.3%14.6%5.2%12.0%4.2%2.4%9.6M-62.1M-195.2K2.9142.42N/AN/A22565413,3053,959
2021-05-25$106.28$104.0012.0%3.5%15.1%6.7%11.9%4.4%1.6%8.2M-52.0M-188.8K1.8120.10N/AN/A21639013,4714,505
2021-05-26$106.38$104.0011.4%3.3%15.1%4.0%11.3%3.9%1.5%8.7M-51.7M-185.2K0.1038.08N/AN/A1211213,5714,849
2021-05-27$106.66$104.0010.4%3.0%14.8%0.0%10.6%3.9%2.5%9.5M-54.3M-183.2K0.2934.61N/AN/A2106013,6534,853
2021-05-28$106.91$104.0010.0%2.9%14.4%0.0%10.1%3.6%2.4%10.5M-57.1M-183.5K0.2040.37N/AN/A2985913,7774,851