VYM Options History — June 2023

In June 2023, VYM traded between $101.81 and $107.16. ATM implied volatility averaged 11.4%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 1.2% (HV 20d: 12.6%). Max pain ranged from $102.00 to $106.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.43.

Notable Days

  • 2023-06-21: Highest Volume — 11,365 contracts
  • 2023-06-12: Largest IV spike — 38.0% change
  • 2023-06-12: Highest IV Rank — 26.6%
  • 2023-06-01: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.93$101.81$107.16$101.81$106.22
Max Pain$104.29$102.00$106.00$103.00$105.00
ATM IV11.4%9.4%16.4%12.3%9.4%
Expected Move3.1%2.7%3.5%3.5%2.7%
HV 20d12.6%11.1%13.9%11.1%13.9%
HV 60d13.3%12.7%14.6%13.9%12.7%
IV Rank3.8%0.0%26.6%4.3%0.0%
IV Percentile4.6%0.0%50.8%2.0%0.0%
Term Structure1.6%0.4%3.2%1.0%1.2%
VWIV11.1%9.5%14.1%14.1%9.5%
Skew 25d2.7%1.7%3.6%3.4%1.7%
Skew 10d5.6%3.2%7.8%6.6%3.2%
Call IV 25d9.9%9.0%11.7%11.7%9.0%
Put IV 25d12.6%10.7%15.1%15.1%10.7%
Bid-Ask Spread %46.7221.0269.4021.0237.69
Gamma HHI0.400.070.510.070.35
Net GEX10.9M917.4K18.5M917.4K18.5M
Net DEX-38.7M-65.6M-3.4M-3.4M-65.6M
Net VEX-276.4K-355.0K-116.5K-116.5K-355.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.029.880.020.49
Total Volume1,68411011,3655,8371,042
Total OI32,184.66722,18740,67022,18740,670

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$101.81$103.0012.3%3.5%11.1%4.3%14.1%3.4%1.0%917.4K-3.4M-116.5K0.0221.02N/AN/A5,7449313,3318,856
2023-06-02$104.06$103.0011.7%3.3%13.0%0.8%13.0%2.0%0.7%7.5M-32.1M-210.7K0.4951.96N/AN/A97647518,8868,939
2023-06-05$103.56$103.0011.8%3.4%11.6%1.4%12.2%3.6%2.1%7.0M-25.7M-207.7K0.5858.77N/AN/A38822419,4069,119
2023-06-06$103.94$102.0011.9%3.0%11.7%2.3%9.9%3.5%3.2%7.9M-27.4M-201.3K0.0667.73N/AN/A2641619,4279,117
2023-06-07$105.14$102.0010.9%3.1%12.4%0.0%11.7%2.9%2.6%10.5M-42.2M-218.7K0.9240.31N/AN/A36633719,5419,105
2023-06-08$105.33$104.0011.3%2.9%12.3%1.8%10.0%3.1%3.0%11.2M-43.9M-226.1K0.2441.16N/AN/A892119,7179,144
2023-06-09$105.16$104.0011.9%2.9%12.0%4.6%10.5%3.1%2.4%11.0M-43.0M-222.3K7.6543.56N/AN/A2261,73019,8279,155
2023-06-12$105.40$104.0016.4%3.2%12.0%26.6%12.6%2.7%2.3%10.7M-40.3M-293.0K1.1562.64N/AN/A17820519,97310,806
2023-06-13$106.04$104.0014.8%3.1%12.1%18.9%11.5%2.8%1.9%11.4M-49.7M-301.5K0.4164.55N/AN/A63825920,03910,943
2023-06-14$105.80$104.0010.4%3.0%11.3%0.0%10.8%2.0%2.4%11.6M-44.7M-296.8K1.2969.40N/AN/A35045020,21711,118
2023-06-15$107.16$105.0010.8%3.1%11.5%2.0%11.2%1.9%1.1%12.1M-63.6M-305.4K0.3866.06N/AN/A83431620,19611,094
2023-06-16$107.15$105.0010.3%3.0%11.5%0.0%10.4%1.7%1.1%13.0M-64.6M-308.7K0.6130.21N/AN/A53832620,40611,163
2023-06-20$105.27$106.0011.6%3.3%13.4%6.2%11.7%2.4%0.4%9.5M-36.8M-297.2K1.2832.79N/AN/A37047313,73210,447
2023-06-21$105.09$106.0011.1%3.2%13.4%3.7%10.4%2.2%1.0%9.4M-36.9M-305.2K9.8828.66N/AN/A1,04510,32013,84310,569
2023-06-22$104.44$105.0010.9%3.1%13.6%2.6%10.3%2.6%1.0%9.8M-28.1M-305.4K0.0263.73N/AN/A5,6699714,31320,675
2023-06-23$103.63$105.0010.3%3.0%13.5%0.0%10.3%3.0%1.7%10.4M-22.6M-315.2K0.2339.44N/AN/A3267419,69420,664
2023-06-26$104.16$105.0010.8%3.1%13.3%2.4%9.8%2.9%1.5%12.2M-31.1M-328.1K0.0650.91N/AN/A2641719,67620,711
2023-06-27$104.84$105.0010.1%2.9%13.4%0.0%10.3%3.1%1.2%14.7M-40.0M-345.5K0.4839.83N/AN/A1185719,66420,717
2023-06-28$104.27$105.0010.6%3.0%13.5%2.2%12.1%3.1%0.9%13.1M-27.5M-310.1K3.4744.35N/AN/A4917019,70920,728
2023-06-29$105.10$105.0010.2%2.9%13.6%0.4%10.4%2.7%1.3%15.6M-43.2M-334.6K0.2826.35N/AN/A1805019,70920,832
2023-06-30$106.22$105.009.4%2.7%13.9%0.0%9.5%1.7%1.2%18.5M-65.6M-355.0K0.4937.69N/AN/A69834419,84120,829