VYM Options History — May 2023

In May 2023, VYM traded between $101.64 and $106.91. ATM implied volatility averaged 14.1%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.3% (HV 20d: 13.9%). Max pain ranged from $103.00 to $106.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.29.

Notable Days

  • 2023-05-02: Highest Volume — 1,282 contracts
  • 2023-05-05: Largest IV drop — 25.4% change
  • 2023-05-04: Highest IV Rank — 26.1%
  • 2023-05-04: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.45$101.64$106.91$106.91$101.64
Max Pain$104.64$103.00$106.00$105.00$103.00
ATM IV14.1%11.9%16.7%11.9%13.5%
Expected Move4.1%3.4%4.9%3.4%3.9%
HV 20d13.9%11.4%15.2%11.9%11.4%
HV 60d14.2%13.5%14.6%13.5%14.2%
IV Rank13.3%2.0%26.1%2.0%10.1%
IV Percentile17.1%0.4%44.8%0.4%9.1%
Term Structure-0.2%-1.9%0.7%0.7%0.1%
VWIV13.5%11.4%17.6%11.4%13.1%
Skew 25d5.6%3.8%7.1%3.8%4.1%
Skew 10d9.6%2.1%11.7%6.9%8.6%
Call IV 25d11.7%10.0%13.6%10.0%12.4%
Put IV 25d17.3%13.7%20.7%13.7%16.5%
Bid-Ask Spread %45.1416.2789.5840.2826.65
Gamma HHI0.150.070.370.370.07
Net GEX3.7M260.1K15.8M15.8M917.3K
Net DEX-12.8M-52.7M-2.8M-52.7M-2.8M
Net VEX-159.8K-268.3K-117.2K-268.3K-117.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.020.940.350.48
Total Volume452.8181531,282212444
Total OI26,24120,97329,37527,37722,083

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$106.91$105.0011.9%3.4%11.9%2.0%11.4%3.8%0.7%15.8M-52.7M-268.3K0.3540.28N/AN/A1575518,7898,588
2023-05-02$104.90$106.0013.4%3.8%13.2%9.6%13.6%5.2%0.5%8.9M-23.8M-205.8K0.5243.04N/AN/A84643618,8888,621
2023-05-03$104.05$105.0014.5%4.2%12.9%15.0%13.7%4.6%0.2%6.3M-17.4M-188.4K0.1450.88N/AN/A2653618,9188,678
2023-05-04$102.78$106.0016.7%4.9%13.1%26.1%17.6%7.1%-0.5%3.4M-9.7M-173.9K0.2845.99N/AN/A58016419,0128,707
2023-05-05$104.53$106.0012.5%4.0%14.6%4.9%12.2%6.4%0.1%7.1M-19.6M-196.5K0.5245.78N/AN/A20710719,3268,827
2023-05-08$104.44$106.0013.7%4.3%14.6%11.3%12.6%6.3%-0.3%6.2M-16.8M-177.5K0.2349.36N/AN/A1343119,3868,867
2023-05-09$104.13$106.0013.9%4.3%14.3%12.2%17.4%6.8%-0.1%6.1M-17.0M-182.4K0.3042.04N/AN/A1283919,4218,884
2023-05-10$103.91$105.0014.4%4.1%14.3%14.5%12.6%4.5%-1.9%3.0M-11.7M-164.4K0.1189.58N/AN/A1381519,4638,896
2023-05-11$103.13$105.0014.7%4.2%14.2%15.9%13.8%6.5%-0.2%1.7M-7.0M-147.1K0.2551.99N/AN/A2165519,4778,878
2023-05-12$103.12$105.0014.5%4.2%14.2%15.3%12.2%6.7%-0.7%1.5M-6.7M-145.3K0.9462.42N/AN/A15014119,4728,902
2023-05-15$103.47$105.0014.4%4.1%14.2%14.4%13.2%7.0%-0.1%1.3M-7.1M-140.2K0.2960.36N/AN/A2627619,5009,029
2023-05-16$102.31$105.0015.0%4.3%14.5%17.4%14.0%6.5%-0.5%260.1K-3.2M-134.7K0.1558.10N/AN/A72611219,5929,027
2023-05-17$103.37$105.0014.2%4.1%15.2%13.4%12.5%5.7%-0.0%1.9M-9.3M-142.4K0.1359.59N/AN/A5086519,6159,035
2023-05-18$103.72$104.0012.9%3.7%15.1%7.3%12.6%5.5%-0.1%3.3M-13.4M-148.2K0.4136.66N/AN/A1556320,2789,067
2023-05-19$103.73$104.0013.3%3.8%15.1%9.0%13.1%4.8%-0.2%3.8M-12.8M-144.6K0.4432.77N/AN/A28912620,2819,094
2023-05-22$103.57$104.0013.2%3.8%14.9%8.6%13.2%4.6%0.2%2.3M-12.8M-154.0K0.3416.27N/AN/A64621712,8098,164
2023-05-23$103.46$104.0014.9%4.3%14.5%16.9%13.3%5.5%-0.6%2.4M-12.4M-153.6K0.0920.59N/AN/A4514013,2578,467
2023-05-24$102.44$104.0016.1%4.6%14.1%22.8%14.0%5.9%-0.9%1.8M-8.6M-144.9K0.1049.85N/AN/A3683813,4508,553
2023-05-25$101.87$103.0014.8%4.2%13.2%16.6%14.0%6.0%-0.5%1.1M-4.9M-132.1K0.1820.87N/AN/A60110713,3668,633
2023-05-26$102.43$103.0014.8%4.2%13.0%16.4%13.7%5.0%-0.1%1.5M-7.0M-131.8K0.0237.94N/AN/A4711113,2448,751
2023-05-30$102.02$103.0014.1%4.0%12.9%13.1%13.8%4.7%-0.5%1.0M-3.9M-122.2K0.1852.05N/AN/A2424413,2288,779
2023-05-31$101.64$103.0013.5%3.9%11.4%10.1%13.1%4.1%0.1%917.3K-2.8M-117.2K0.4826.65N/AN/A29914513,2878,796