VYM Options History — June 2022

In June 2022, VYM traded between $99.36 and $112.05. ATM implied volatility averaged 19.3%, placing in the 60.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 3.2% (HV 20d: 22.4%). Max pain ranged from $104.00 to $110.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 5.47.

Notable Days

  • 2022-06-22: Highest Volume — 15,342 contracts
  • 2022-06-13: Largest IV spike — 20.2% change
  • 2022-06-16: Highest IV Rank — 84.3%
  • 2022-06-16: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.95$99.36$112.05$110.96$101.52
Max Pain$108.10$104.00$110.00$107.00$104.00
ATM IV19.3%15.7%23.6%17.4%19.8%
Expected Move5.5%4.5%6.8%5.0%5.7%
HV 20d22.4%18.8%24.4%24.2%23.1%
HV 60d19.9%18.0%21.6%18.3%21.6%
IV Rank60.6%41.1%84.3%50.4%63.3%
IV Percentile79.9%63.5%98.0%72.6%79.4%
Term Structure-0.1%-2.2%1.3%-0.8%0.0%
VWIV17.9%15.6%23.4%16.5%17.9%
Skew 25d3.8%2.2%4.9%3.3%3.2%
Skew 10d7.4%5.7%9.7%7.0%5.7%
Call IV 25d17.7%13.8%22.0%16.0%18.6%
Put IV 25d21.4%17.8%26.7%19.2%21.8%
Bid-Ask Spread %46.9125.0165.5542.3837.31
Gamma HHI0.220.110.290.230.27
Net GEX3.9M-931.2K9.8M8.8M2.9M
Net DEX-14.8M-61.0M33.9M-50.4M-15.5M
Net VEX-195.3K-254.3K-97.3K-254.3K-216.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.470.638.720.635.90
Total Volume9,634.6671,67615,3421,67610,509
Total OI58,223.66748,45762,49648,45761,769

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$110.96$107.0017.4%5.0%24.2%50.4%16.5%3.3%-0.8%8.8M-50.4M-254.3K0.6342.38N/AN/A1,03064619,01329,444
2022-06-02$111.21$110.0016.8%4.6%21.8%47.1%16.3%4.7%0.6%8.9M-51.6M-245.4K5.5832.75N/AN/A1,0135,65219,04929,525
2022-06-03$110.66$110.0016.5%4.5%19.8%45.7%17.6%4.9%1.3%8.6M-46.6M-240.7K5.9845.02N/AN/A9655,77019,10934,551
2022-06-06$110.92$110.0018.2%4.7%19.8%54.8%17.4%4.6%0.4%9.1M-48.5M-235.4K5.7641.30N/AN/A9975,74519,21534,580
2022-06-07$112.05$110.0016.7%4.5%18.8%46.8%15.6%4.0%0.7%9.8M-61.0M-230.4K5.6339.17N/AN/A1,0265,77219,26634,609
2022-06-08$110.75$110.0015.7%4.5%19.2%41.1%16.7%4.0%1.1%9.2M-46.0M-221.4K5.9646.31N/AN/A9675,76619,35334,601
2022-06-09$108.92$110.0017.4%5.0%20.2%50.3%17.4%3.5%0.4%6.3M-25.8M-201.7K8.1425.01N/AN/A1,0068,19019,31934,658
2022-06-10$106.69$110.0018.4%5.3%21.6%55.9%19.2%4.2%0.2%2.8M-5.5M-170.8K6.0442.11N/AN/A1,3678,25919,30742,289
2022-06-13$102.69$110.0022.1%6.3%24.4%76.1%22.5%3.1%-1.6%-429.9K17.7M-131.1K5.0554.88N/AN/A1,6428,29219,16942,463
2022-06-14$102.13$110.0021.9%6.3%24.4%75.2%22.0%4.1%-1.3%-638.0K19.4M-131.1K7.5848.32N/AN/A1,1188,47519,42642,634
2022-06-15$102.71$110.0020.2%5.8%23.8%65.5%20.2%2.2%-0.4%-705.5K17.8M-129.7K7.1663.79N/AN/A1,1568,27519,43842,781
2022-06-16$99.72$110.0023.6%6.8%23.2%84.3%23.4%4.7%-2.2%-709.8K30.5M-111.5K8.0365.55N/AN/A1,0638,54019,60942,830
2022-06-17$99.36$110.0021.5%6.2%23.2%72.8%16.0%4.2%-0.3%-931.2K33.9M-97.3K4.5459.50N/AN/A2,0899,47719,61042,886
2022-06-21$100.89$110.0020.5%5.9%24.1%67.6%18.0%3.6%-0.2%-633.9K27.3M-144.4K1.4457.19N/AN/A6,2939,04613,66942,382
2022-06-22$100.67$108.0020.3%5.8%22.8%66.6%17.4%3.5%-0.2%2.1M1.5M-218.5K1.4442.32N/AN/A6,2849,05819,14041,628
2022-06-23$100.63$105.0020.2%5.8%22.3%65.7%18.0%4.4%-0.5%2.2M-4.1M-217.3K1.5054.44N/AN/A6,0699,10519,55641,069
2022-06-24$103.22$104.0019.4%5.6%24.3%61.7%15.8%3.5%0.0%4.1M-27.0M-240.5K6.1340.94N/AN/A1,5109,25919,69140,823
2022-06-27$103.57$104.0018.7%5.4%23.6%57.4%15.6%3.3%-0.1%4.5M-30.9M-232.5K8.7250.05N/AN/A1,0489,14120,19440,914
2022-06-28$102.65$104.0019.1%5.5%23.1%59.9%16.2%3.0%0.7%4.1M-26.0M-204.9K6.9741.69N/AN/A1,2989,05220,44240,956
2022-06-29$102.06$104.0020.0%5.7%23.1%64.9%17.3%3.9%-0.2%3.5M-20.1M-225.5K6.6655.11N/AN/A1,3529,00620,72241,008
2022-06-30$101.52$104.0019.8%5.7%23.1%63.3%17.9%3.2%0.0%2.9M-15.5M-216.1K5.9037.31N/AN/A1,5228,98720,74641,023