VYM Options History — June 2021

In June 2021, VYM traded between $103.03 and $107.95. ATM implied volatility averaged 10.5%, placing in the 3.6% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded below realized volatility by 0.2% (HV 20d: 10.7%). Max pain ranged from $95.00 to $105.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.81.

Notable Days

  • 2021-06-25: Highest Volume — 5,776 contracts
  • 2021-06-18: Largest IV spike — 21.6% change
  • 2021-06-18: Highest IV Rank — 12.0%
  • 2021-06-18: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.84$103.03$107.95$107.02$104.76
Max Pain$98.09$95.00$105.00$104.00$100.00
ATM IV10.5%9.2%12.2%11.1%9.2%
Expected Move3.0%2.6%3.5%3.2%2.6%
HV 20d10.7%8.3%13.8%13.8%10.5%
HV 60d11.3%10.9%11.7%11.6%11.4%
IV Rank3.6%0.0%12.0%4.7%0.0%
IV Percentile2.7%0.0%11.5%2.0%0.0%
Term Structure2.4%1.3%3.4%1.8%2.0%
VWIV11.3%9.4%14.0%11.0%9.4%
Skew 25d3.6%2.6%5.0%3.0%3.8%
Skew 10d6.8%4.9%10.7%5.7%6.6%
Call IV 25d9.5%8.2%10.9%10.1%8.2%
Put IV 25d13.1%11.9%15.5%13.0%12.0%
Bid-Ask Spread %31.9511.3168.1936.5313.57
Gamma HHI0.400.090.690.530.27
Net GEX8.3M830.3K16.2M10.6M5.2M
Net DEX-44.0M-71.5M-18.7M-58.6M-30.1M
Net VEX-157.0K-182.8K-116.9K-178.5K-179.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.015.000.600.35
Total Volume987.7271185,776279144
Total OI19,127.31814,87921,68718,72421,687

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$107.02$104.0011.1%3.2%13.8%4.7%11.0%3.0%1.8%10.6M-58.6M-178.5K0.6036.53N/AN/A17410513,8484,876
2021-06-02$107.19$105.0011.1%3.2%13.8%4.7%10.8%3.7%2.1%11.6M-60.2M-182.8K0.1868.19N/AN/A3606413,8874,918
2021-06-03$107.53$95.0011.1%3.3%13.5%4.8%13.6%4.2%2.6%11.7M-66.0M-181.4K0.6635.05N/AN/A1469613,9774,957
2021-06-04$107.95$95.009.8%3.0%13.3%0.0%11.3%3.8%2.9%13.2M-71.5M-173.8K0.7123.80N/AN/A16711814,0295,033
2021-06-07$107.58$95.0010.7%3.1%13.0%3.8%12.4%3.5%3.0%13.5M-66.9M-169.6K0.6248.36N/AN/A51832314,0895,022
2021-06-08$107.49$95.0011.1%3.1%12.9%5.7%11.3%3.3%3.0%14.5M-65.4M-169.8K0.1234.50N/AN/A4846014,2505,248
2021-06-09$107.13$95.0011.3%3.2%11.3%6.3%12.5%3.5%2.8%13.4M-61.7M-170.6K0.3625.34N/AN/A873114,4615,277
2021-06-10$107.26$95.0010.1%2.9%10.3%1.6%12.2%2.9%3.4%16.2M-62.0M-160.5K0.9815.69N/AN/A979514,4545,278
2021-06-11$107.15$95.009.6%2.7%8.5%0.0%9.6%2.8%3.3%15.7M-59.4M-148.9K5.0014.40N/AN/A11155514,4765,324
2021-06-14$106.59$96.009.6%2.8%8.3%0.3%10.5%3.2%3.2%11.5M-49.9M-135.0K1.2021.29N/AN/A26331514,5195,855
2021-06-15$106.99$96.009.8%2.8%8.4%1.2%9.5%2.6%3.3%14.6M-51.8M-135.4K1.5423.05N/AN/A40462314,4835,941
2021-06-16$106.34$97.0011.0%3.2%8.4%6.6%11.1%3.5%3.2%9.2M-43.6M-131.1K1.8568.10N/AN/A13625214,4136,548
2021-06-17$104.92$97.0010.0%2.9%8.4%2.1%10.2%3.0%2.1%1.2M-30.2M-116.9K0.7629.72N/AN/A43232714,4246,729
2021-06-18$103.03$98.0012.2%3.5%9.8%12.0%12.5%4.5%1.5%830.3K-19.8M-121.5K0.6957.29N/AN/A57739814,6136,849
2021-06-21$103.69$100.0011.4%3.3%10.2%8.2%11.0%5.0%1.3%1.3M-18.7M-142.6K0.2423.62N/AN/A1,1572728,6216,258
2021-06-22$104.06$100.0010.7%3.1%10.0%5.1%11.4%4.0%1.7%1.9M-22.3M-148.2K0.1411.81N/AN/A356499,1146,443
2021-06-23$103.73$100.0010.3%2.9%9.6%3.3%14.0%4.1%1.7%1.9M-18.7M-144.2K0.5116.28N/AN/A2,2401,1359,0226,476
2021-06-24$104.40$100.0010.4%3.0%9.9%3.9%9.7%4.0%2.0%2.2M-25.3M-148.5K0.1116.91N/AN/A238279,4356,620
2021-06-25$105.05$100.009.7%2.8%10.2%0.6%11.3%3.6%2.1%2.6M-29.4M-158.0K0.0152.24N/AN/A5,692849,6126,632
2021-06-28$104.49$100.0010.3%3.0%10.2%3.5%11.4%3.9%1.8%5.0M-29.5M-182.6K0.6955.92N/AN/A15310614,8446,645
2021-06-29$104.17$100.009.8%2.8%10.2%1.3%11.7%3.2%2.1%4.6M-26.6M-174.0K0.5411.31N/AN/A1,79196814,8656,749
2021-06-30$104.76$100.009.2%2.6%10.5%0.0%9.4%3.8%2.0%5.2M-30.1M-179.3K0.3513.57N/AN/A1073714,8826,805