VYM Options History — May 2022

In May 2022, VYM traded between $105.41 and $111.95. ATM implied volatility averaged 20.6%, placing in the 67.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 2.5% (HV 20d: 23.1%). Max pain ranged from $107.00 to $110.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2022-05-23: Highest Volume — 7,516 contracts
  • 2022-05-05: Largest IV spike — 39.6% change
  • 2022-05-09: Highest IV Rank — 97.2%
  • 2022-05-11: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.42$105.41$111.95$107.55$111.44
Max Pain$107.71$107.00$110.00$110.00$107.00
ATM IV20.6%16.3%26.0%21.5%18.5%
Expected Move5.8%4.7%6.6%6.2%5.3%
HV 20d23.1%16.5%26.0%16.5%24.3%
HV 60d18.3%16.2%19.7%16.2%18.4%
IV Rank67.7%44.8%97.2%72.7%56.7%
IV Percentile87.7%70.2%99.6%94.4%79.4%
Term Structure-1.2%-3.6%-0.4%-2.0%-1.8%
VWIV20.4%17.4%24.3%21.5%17.8%
Skew 25d5.1%3.5%6.9%6.9%3.5%
Skew 10d9.6%6.6%12.8%11.4%6.6%
Call IV 25d17.5%15.1%19.6%18.4%16.5%
Put IV 25d22.7%19.0%25.6%25.3%20.0%
Bid-Ask Spread %51.6528.1371.8163.5552.80
Gamma HHI0.140.080.240.100.22
Net GEX2.8M-2.3M9.5M1.5M9.3M
Net DEX-11.9M-62.8M16.5M2.9M-57.1M
Net VEX-204.3K-280.3K-140.5K-184.9K-265.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.081.030.840.39
Total Volume2,019.3331,2667,5161,2661,440
Total OI48,203.23840,91850,12347,61848,187

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-05-02$107.55$110.0021.5%6.2%16.5%72.7%21.5%6.9%-2.0%1.5M2.9M-184.9K0.8463.55N/AN/A68757918,21229,406
2022-05-03$108.54$110.0019.7%5.6%17.0%62.8%19.6%5.3%-1.1%2.3M-4.0M-196.6K0.5956.69N/AN/A94155418,17829,452
2022-05-04$111.78$110.0016.3%4.7%20.2%44.8%19.6%5.2%-0.4%6.8M-27.2M-224.4K0.7571.81N/AN/A77057518,35029,469
2022-05-05$109.00$109.0022.8%6.0%22.0%79.9%21.3%6.0%-0.9%3.4M-10.3M-213.8K1.0352.41N/AN/A83085718,45529,425
2022-05-06$109.38$109.0021.3%5.8%21.8%71.6%21.7%6.7%-0.8%4.1M-13.7M-216.4K1.0161.56N/AN/A70771218,53729,619
2022-05-09$107.49$109.0026.0%6.5%22.3%97.2%22.0%5.7%-1.2%1.8M-1.7M-194.7K0.4555.64N/AN/A1,56170718,57229,791
2022-05-10$106.70$107.0025.1%6.2%22.3%92.2%22.5%5.9%-0.6%1.2M2.8M-188.9K0.7955.02N/AN/A1,06683819,12129,828
2022-05-11$106.49$107.0023.1%6.6%22.3%81.3%24.3%5.3%-0.9%-194.4K5.8M-200.2K0.8952.76N/AN/A92582219,12630,064
2022-05-12$106.17$107.0022.5%6.4%22.0%78.0%23.8%6.1%-1.3%-994.1K11.4M-207.7K0.7953.79N/AN/A1,00879219,15630,125
2022-05-13$108.18$107.0020.1%5.8%23.3%65.2%20.8%5.8%-1.0%794.0K-1.6M-179.3K0.6657.51N/AN/A1,16576919,20330,137
2022-05-16$108.51$107.0019.5%5.6%23.4%61.9%21.2%4.8%-0.7%1.2M-5.7M-178.0K0.6153.74N/AN/A1,20973719,36730,139
2022-05-17$110.05$107.0018.2%5.2%23.5%55.0%18.9%4.4%-0.8%2.6M-17.0M-181.8K0.7259.21N/AN/A1,06877019,58330,205
2022-05-18$106.47$107.0021.7%6.2%25.6%73.9%22.5%5.5%-1.1%-608.2K7.8M-160.7K0.8753.52N/AN/A1,00287119,79730,277
2022-05-19$105.78$107.0019.9%5.7%25.4%64.1%20.4%4.8%-0.7%-1.6M14.7M-142.0K0.4841.82N/AN/A1,42568119,74430,365
2022-05-20$105.41$107.0020.7%5.9%24.8%68.6%19.6%6.2%-1.5%-2.3M16.5M-140.5K0.5758.11N/AN/A1,49085419,74130,382
2022-05-23$107.40$107.0019.6%5.6%25.9%62.7%18.0%4.1%-0.5%1.1M-2.2M-160.4K0.0829.36N/AN/A6,93857812,02028,898
2022-05-24$108.49$107.0020.2%5.8%25.8%65.9%19.0%4.2%-1.3%5.1M-25.0M-241.3K0.3428.13N/AN/A1,08637017,86628,956
2022-05-25$109.23$107.0020.2%5.8%25.9%65.7%19.6%4.2%-3.6%6.1M-34.1M-258.8K0.5657.01N/AN/A1,02157318,09728,987
2022-05-26$110.78$107.0018.0%5.2%26.0%53.9%17.8%3.7%-1.1%7.9M-49.4M-273.3K0.3135.56N/AN/A1,46045818,37729,176
2022-05-27$111.95$107.0016.8%4.8%24.2%47.1%17.4%3.9%-1.0%9.5M-62.8M-280.3K0.4534.74N/AN/A1,04146918,71229,166
2022-05-31$111.44$107.0018.5%5.3%24.3%56.7%17.8%3.5%-1.8%9.3M-57.1M-265.4K0.3952.80N/AN/A1,03840218,98429,203