VYM Options History — December 2021 In December 2021, VYM traded between $106.22 and $112.43. ATM implied volatility averaged 15.1%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 0.1% (HV 20d: 15.2%). Max pain ranged from $104.00 to $108.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.93.
Notable Days 2021-12-23 : Highest Volume — 7,666 contracts2021-12-15 : Largest IV drop — 33.9% change2021-12-03 : Highest IV Rank — 94.0%2021-12-03 : Largest Expected Move — 6.8%Monthly Statistics Metric Avg Min Max Open Close Price $109.90 $106.22 $112.43 $106.22 $112.43 Max Pain $106.27 $104.00 $108.00 $108.00 $107.00 ATM IV 15.1% 10.8% 23.8% 22.4% 10.9% Expected Move 4.2% 3.1% 6.8% 6.4% 3.1% HV 20d 15.2% 12.6% 17.9% 12.6% 13.9% HV 60d 12.8% 11.8% 13.5% 12.8% 12.7% IV Rank 42.0% 15.9% 94.0% 85.4% 17.0% IV Percentile 63.3% 18.3% 99.2% 99.2% 20.6% Term Structure 1.0% -3.3% 2.8% -2.3% 1.8% VWIV 17.1% 13.3% 21.9% 20.3% 13.3% Skew 25d 6.2% 3.5% 15.2% 9.8% 4.1% Skew 10d 11.9% 7.2% 22.9% 20.2% 7.3% Call IV 25d 12.7% 9.3% 18.4% 18.0% 9.3% Put IV 25d 18.9% 13.2% 33.6% 27.8% 13.4% Bid-Ask Spread % 38.75 15.67 61.54 61.54 58.44 Gamma HHI 0.20 0.16 0.27 0.18 0.27 Net GEX 6.8M 2.5M 12.5M 2.9M 12.5M Net DEX -38.6M -63.4M -15.0M -16.7M -62.3M Net VEX -190.3K -242.9K -154.6K -165.9K -232.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.93 0.24 2.12 0.64 0.78 Total Volume 3,435.727 1,859 7,666 1,932 3,392 Total OI 21,805.273 16,916 23,773 20,417 23,773
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-12-01 $106.22 $108.00 22.4% 6.4% 12.6% 85.4% 20.3% 9.8% -2.3% 2.9M -16.7M -165.9K 0.64 61.54 N/A N/A 1,179 753 14,110 6,307 2021-12-02 $107.51 $108.00 19.5% 5.6% 13.3% 68.4% 19.9% 9.2% -2.5% 3.8M -22.8M -182.8K 0.69 55.11 N/A N/A 1,099 760 14,407 6,495 2021-12-03 $106.90 $108.00 23.8% 6.8% 13.3% 94.0% 21.9% 15.2% -3.3% 3.2M -19.5M -185.0K 0.69 50.26 N/A N/A 1,165 802 14,431 6,520 2021-12-06 $108.70 $104.00 18.0% 5.2% 14.4% 59.2% 20.1% 8.4% -0.3% 4.7M -28.7M -189.3K 0.65 37.13 N/A N/A 1,198 775 14,514 6,627 2021-12-07 $109.56 $104.00 15.5% 4.3% 14.7% 44.3% 17.9% 6.8% 2.5% 5.6M -34.5M -178.5K 0.69 30.92 N/A N/A 1,115 764 14,667 6,685 2021-12-08 $109.57 $104.00 13.7% 3.9% 14.7% 33.4% 15.3% 5.7% 2.6% 5.6M -33.9M -168.1K 1.45 25.66 N/A N/A 1,027 1,486 14,710 6,710 2021-12-09 $109.41 $105.00 16.2% 4.3% 14.7% 48.7% 17.6% 6.2% 1.9% 5.4M -32.6M -169.8K 1.45 20.24 N/A N/A 1,111 1,616 14,763 7,485 2021-12-10 $109.98 $105.00 12.7% 3.7% 14.8% 27.5% 16.1% 5.5% 2.8% 5.7M -35.3M -161.7K 2.12 44.54 N/A N/A 786 1,666 14,810 7,642 2021-12-13 $109.92 $105.00 16.0% 3.9% 14.8% 47.3% 17.1% 5.6% 2.4% 5.7M -35.0M -154.6K 1.73 43.66 N/A N/A 1,142 1,981 14,821 7,759 2021-12-14 $109.73 $105.00 19.3% 4.3% 14.8% 67.0% 18.0% 5.3% 1.6% 5.4M -34.0M -160.9K 1.30 22.08 N/A N/A 1,311 1,707 14,822 8,026 2021-12-15 $110.71 $106.00 12.7% 3.7% 15.1% 27.8% 14.4% 5.2% 2.7% 7.0M -42.2M -158.8K 1.22 55.06 N/A N/A 1,210 1,478 14,928 8,034 2021-12-16 $111.78 $106.00 14.1% 4.0% 15.4% 35.9% 15.1% 4.8% 1.2% 7.8M -53.3M -166.5K 0.72 38.96 N/A N/A 2,176 1,563 15,011 8,066 2021-12-17 $110.29 $106.00 14.9% 4.3% 16.1% 40.7% 14.8% 5.0% 0.9% 5.9M -41.3M -161.3K 0.92 52.46 N/A N/A 1,941 1,779 15,265 8,130 2021-12-20 $107.88 $108.00 17.7% 5.1% 17.7% 57.6% 21.5% 7.0% 0.0% 2.5M -15.0M -169.8K 0.80 31.16 N/A N/A 2,001 1,609 9,726 7,190 2021-12-21 $108.95 $107.00 15.6% 4.5% 17.5% 44.6% 21.1% 5.6% 0.9% 3.6M -22.7M -172.6K 0.27 25.05 N/A N/A 5,473 1,494 10,215 7,292 2021-12-22 $109.71 $107.00 13.0% 3.7% 17.6% 29.2% 18.2% 5.9% 1.6% 7.0M -36.3M -220.4K 0.24 15.67 N/A N/A 5,884 1,404 14,197 7,383 2021-12-23 $110.71 $107.00 11.8% 3.4% 17.9% 22.0% 14.8% 5.2% 1.7% 8.8M -45.0M -230.8K 0.35 40.78 N/A N/A 5,659 2,007 14,584 7,450 2021-12-27 $111.49 $107.00 11.8% 3.4% 16.5% 22.1% 15.6% 4.3% 1.8% 10.3M -52.8M -236.6K 0.85 34.13 N/A N/A 1,827 1,552 14,721 8,011 2021-12-28 $112.01 $107.00 11.2% 3.2% 16.5% 18.7% 15.4% 4.1% 1.8% 11.2M -58.7M -241.3K 1.04 27.10 N/A N/A 1,669 1,730 14,793 7,964 2021-12-29 $112.30 $107.00 11.1% 3.2% 14.4% 17.6% 13.9% 3.9% 1.4% 12.2M -63.4M -242.9K 0.91 28.79 N/A N/A 1,659 1,517 14,894 8,120 2021-12-30 $112.12 $107.00 10.8% 3.1% 14.4% 15.9% 13.9% 3.5% 1.7% 12.1M -62.0M -236.2K 0.88 53.76 N/A N/A 1,656 1,463 14,941 8,717 2021-12-31 $112.43 $107.00 10.9% 3.1% 13.9% 17.0% 13.3% 4.1% 1.8% 12.5M -62.3M -232.2K 0.78 58.44 N/A N/A 1,901 1,491 14,889 8,884
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