VYM Options History — September 2021

In September 2021, VYM traded between $102.19 and $107.70. ATM implied volatility averaged 12.8%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 1.7% (HV 20d: 11.1%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2021-09-17: Highest Volume — 1,027 contracts
  • 2021-09-20: Largest IV spike — 60.9% change
  • 2021-09-20: Highest IV Rank — 50.5%
  • 2021-09-20: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.32$102.19$107.70$107.08$103.74
Max Pain$101.33$100.00$105.00$105.00$103.00
ATM IV12.8%8.5%19.9%9.2%17.6%
Expected Move3.7%2.6%5.7%2.6%5.1%
HV 20d11.1%8.2%14.9%8.4%14.9%
HV 60d12.1%11.1%12.9%11.7%12.9%
IV Rank20.0%1.5%50.5%4.7%40.8%
IV Percentile35.6%0.4%86.1%2.4%81.7%
Term Structure1.6%-0.9%3.6%1.5%-0.8%
VWIV12.8%9.4%18.1%9.4%15.6%
Skew 25d6.1%3.5%10.6%3.5%6.8%
Skew 10d10.8%6.6%15.9%6.6%11.2%
Call IV 25d11.0%8.3%14.9%8.3%14.5%
Put IV 25d17.2%11.8%25.5%11.8%21.4%
Bid-Ask Spread %45.1920.8273.3973.3951.88
Gamma HHI0.180.110.240.210.15
Net GEX4.0M851.0K8.4M6.5M2.6M
Net DEX-19.3M-36.6M-3.8M-30.6M-11.0M
Net VEX-120.2K-145.6K-103.3K-136.5K-127.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.041.620.350.14
Total Volume4671081,027108269
Total OI23,608.42922,55324,76522,55324,765

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$107.08$105.009.2%2.6%8.4%4.7%9.4%3.5%1.5%6.5M-30.6M-136.5K0.3573.39N/AN/A802816,0606,493
2021-09-02$107.62$100.009.0%3.0%8.5%3.9%10.4%5.2%3.2%7.6M-34.5M-142.4K0.2251.46N/AN/A1633616,1016,494
2021-09-03$107.70$100.008.5%2.9%8.2%1.5%12.4%4.9%3.5%8.4M-36.6M-145.6K0.1248.25N/AN/A2853416,1146,521
2021-09-07$106.58$100.009.2%3.1%9.1%4.6%10.6%5.1%3.6%5.5M-26.1M-122.3K0.2146.01N/AN/A58912416,1926,547
2021-09-08$106.56$100.0010.7%3.1%8.6%11.2%15.6%5.4%3.5%4.8M-24.6M-119.5K1.1438.01N/AN/A13215016,3296,574
2021-09-09$106.26$100.0011.8%3.4%8.2%15.8%11.3%5.3%2.7%4.8M-24.0M-117.8K0.1743.14N/AN/A3896616,5576,693
2021-09-10$105.58$100.0012.4%3.6%8.4%18.5%13.3%6.5%2.6%3.8M-19.8M-116.7K0.8246.39N/AN/A19816316,5336,632
2021-09-13$106.06$100.0012.3%3.5%8.6%17.7%10.6%5.9%2.5%4.6M-23.4M-106.5K0.0441.40N/AN/A4411616,7136,671
2021-09-14$104.94$100.0012.5%3.6%9.2%18.8%10.9%6.1%2.3%2.6M-15.0M-103.3K0.2442.44N/AN/A51312216,7696,805
2021-09-15$106.16$100.0010.9%3.1%10.1%11.9%10.1%4.6%3.4%5.5M-24.6M-108.9K0.0650.70N/AN/A3762116,9846,898
2021-09-16$105.73$101.0010.4%3.0%9.9%9.7%9.9%5.4%2.0%5.0M-20.8M-107.7K1.6236.75N/AN/A20833617,2116,988
2021-09-17$104.85$101.0012.4%3.5%10.1%18.3%11.7%5.7%1.1%1.5M-15.8M-113.2K0.6045.30N/AN/A64338417,5016,986
2021-09-20$102.19$101.0019.9%5.7%13.1%50.5%18.1%10.6%-0.9%851.0K-3.8M-116.8K1.0841.45N/AN/A41144316,1326,950
2021-09-21$102.58$102.0016.6%4.7%12.9%36.3%13.0%8.3%-0.2%1.2M-5.3M-122.0K0.0645.14N/AN/A5703716,1787,262
2021-09-22$103.35$102.0015.5%4.4%13.4%31.6%13.0%7.0%0.6%1.5M-9.2M-115.4K0.1249.29N/AN/A4925816,2857,599
2021-09-23$104.67$102.0012.2%3.5%14.2%17.7%12.2%5.9%1.3%2.6M-15.3M-121.9K0.4325.59N/AN/A46820316,6077,610
2021-09-24$105.03$102.0011.9%3.4%14.2%16.3%12.4%5.9%1.4%3.0M-17.2M-112.5K0.3755.23N/AN/A1355016,6507,611
2021-09-27$105.56$103.0011.8%3.4%14.0%16.0%12.7%5.9%1.4%3.9M-17.8M-116.2K0.2040.94N/AN/A4088216,5197,623
2021-09-28$104.55$103.0016.2%4.7%14.3%34.8%18.1%7.8%-0.1%3.0M-13.2M-121.5K0.1655.41N/AN/A4747816,5567,640
2021-09-29$104.99$103.0017.1%4.9%14.4%38.4%17.9%7.4%-0.2%3.7M-16.2M-129.2K0.3620.82N/AN/A973516,7407,684
2021-09-30$103.74$103.0017.6%5.1%14.9%40.8%15.6%6.8%-0.8%2.6M-11.0M-127.7K0.1451.88N/AN/A2373217,0577,708