VYM Options History — October 2021

In October 2021, VYM traded between $104.52 and $109.21. ATM implied volatility averaged 13.2%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 0.1% (HV 20d: 13.3%). Max pain ranged from $103.00 to $105.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.12.

Notable Days

  • 2021-10-19: Highest Volume — 4,117 contracts
  • 2021-10-11: Largest IV spike — 28.4% change
  • 2021-10-04: Highest IV Rank — 45.2%
  • 2021-10-04: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.79$104.52$109.21$104.59$108.50
Max Pain$103.76$103.00$105.00$103.00$105.00
ATM IV13.2%10.1%18.6%15.3%11.5%
Expected Move3.7%2.9%4.9%4.4%3.3%
HV 20d13.3%10.6%15.4%15.1%10.7%
HV 60d11.9%11.2%12.8%12.8%11.7%
IV Rank22.0%8.6%45.2%30.7%14.9%
IV Percentile41.8%10.3%86.5%66.7%26.6%
Term Structure1.1%0.0%2.0%0.4%1.5%
VWIV12.9%8.6%16.3%15.5%12.3%
Skew 25d5.5%3.8%8.3%5.8%4.2%
Skew 10d11.2%8.9%15.2%11.2%10.9%
Call IV 25d10.8%8.9%14.0%13.3%9.4%
Put IV 25d16.3%13.3%22.3%19.1%13.6%
Bid-Ask Spread %47.2228.7881.4044.9641.81
Gamma HHI0.280.150.540.180.35
Net GEX5.3M2.0M8.8M3.2M7.5M
Net DEX-24.6M-37.6M-14.0M-14.9M-30.1M
Net VEX-121.1K-147.3K-97.4K-124.2K-138.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.022.520.311.35
Total Volume1,201.2861734,1171731,600
Total OI19,889.2389,25725,85224,81715,711

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$104.59$103.0015.3%4.4%15.1%30.7%15.5%5.8%0.4%3.2M-14.9M-124.2K0.3144.96N/AN/A1324117,0967,721
2021-10-04$104.52$103.0018.6%4.9%15.1%45.2%16.3%8.3%0.1%2.9M-14.0M-121.4K2.5242.55N/AN/A9223217,2397,736
2021-10-05$105.33$103.0017.2%4.7%15.0%38.8%14.1%7.2%0.3%3.8M-18.3M-118.7K0.3249.64N/AN/A1354317,2647,750
2021-10-06$105.02$103.0017.1%4.7%15.1%38.4%15.7%7.4%0.0%3.5M-16.8M-112.7K0.8639.42N/AN/A13811917,2897,562
2021-10-07$105.91$103.0014.5%4.2%15.4%27.6%12.9%6.5%1.0%5.3M-24.3M-116.9K0.4257.39N/AN/A35214917,3737,580
2021-10-08$106.06$103.0013.6%4.1%15.2%23.7%13.1%7.0%1.5%5.4M-24.7M-113.5K0.6570.31N/AN/A17811517,5187,691
2021-10-11$105.37$103.0017.5%4.4%15.3%40.3%14.7%6.5%0.6%4.1M-20.8M-104.1K0.1173.81N/AN/A2813217,7557,688
2021-10-12$104.58$103.0017.0%4.3%15.1%38.0%15.1%5.9%0.6%2.7M-15.0M-103.6K1.1334.13N/AN/A10011317,8337,780
2021-10-13$104.88$103.0014.1%4.1%14.5%25.8%13.7%5.9%1.1%2.5M-15.6M-97.4K0.5067.50N/AN/A23611717,8687,784
2021-10-14$106.40$104.0012.8%3.7%15.3%20.1%12.5%5.3%0.3%6.2M-26.1M-100.9K1.5059.79N/AN/A23335017,8507,872
2021-10-15$107.24$104.0011.7%3.3%15.2%15.3%11.1%5.3%1.6%7.3M-35.0M-98.3K0.0542.06N/AN/A1,1965517,9417,911
2021-10-18$106.85$104.0011.5%3.3%11.6%14.3%12.8%5.1%1.6%2.0M-16.3M-99.0K1.4328.78N/AN/A2283264,5194,738
2021-10-19$107.67$104.0010.5%3.0%11.8%10.3%8.6%4.9%1.9%2.7M-21.0M-102.9K0.0230.74N/AN/A4,023945,0084,765
2021-10-20$108.65$104.0010.6%3.0%11.9%10.6%11.8%3.8%1.6%7.2M-35.2M-147.3K1.7238.05N/AN/A7511,2929,0695,095
2021-10-21$108.27$104.0010.7%3.1%11.4%11.3%11.8%4.4%1.7%7.1M-29.5M-141.0K2.0435.07N/AN/A6411,3069,1795,635
2021-10-22$108.69$104.0010.1%2.9%11.4%8.6%11.4%4.5%2.0%8.0M-32.7M-142.7K2.0242.28N/AN/A6881,3919,1995,676
2021-10-25$108.84$104.0010.5%3.0%11.4%10.3%11.8%4.1%1.6%8.2M-34.7M-146.5K2.1039.59N/AN/A7071,4829,2615,768
2021-10-26$109.21$105.0010.8%3.1%10.6%11.6%11.8%4.6%1.3%8.8M-37.6M-143.5K2.1231.17N/AN/A6501,3809,2945,904
2021-10-27$107.75$105.0011.3%3.2%11.9%13.6%12.5%4.3%1.2%6.1M-25.8M-134.7K1.4381.40N/AN/A9411,3489,3135,937
2021-10-28$108.31$105.0011.3%3.2%10.9%13.5%11.0%4.6%1.7%7.2M-28.2M-135.8K0.8941.22N/AN/A1,0249169,4416,061
2021-10-29$108.50$105.0011.5%3.3%10.7%14.9%12.3%4.2%1.5%7.5M-30.1M-138.0K1.3541.81N/AN/A6829189,5216,190