VYM Options History — May 2024

In May 2024, VYM traded between $116.30 and $121.47. ATM implied volatility averaged 11.4%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 2.9% (HV 20d: 8.6%). Max pain ranged from $114.00 to $119.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2024-05-17: Highest Volume — 1,258 contracts
  • 2024-05-13: Largest IV spike — 35.0% change
  • 2024-05-31: Highest IV Rank — 58.3%
  • 2024-05-31: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.15$116.30$121.47$116.44$119.25
Max Pain$116.86$114.00$119.00$118.00$119.00
ATM IV11.4%8.8%15.1%12.9%15.1%
Expected Move3.3%2.5%4.3%3.7%4.3%
HV 20d8.6%6.6%10.6%10.6%9.6%
HV 60d9.5%9.0%10.2%10.1%9.8%
IV Rank26.3%3.3%58.3%38.9%58.3%
IV Percentile49.7%2.8%94.4%75.0%94.4%
Term Structure-1.1%-7.4%3.3%1.1%-7.4%
VWIV11.2%8.9%13.4%12.7%11.9%
Skew 25d1.3%-5.2%4.9%0.7%4.9%
Skew 10d3.3%-7.0%12.2%2.1%-7.0%
Call IV 25d10.2%6.6%14.8%12.5%10.1%
Put IV 25d11.5%6.9%15.0%13.2%15.0%
Bid-Ask Spread %101.4680.73122.7683.40118.11
Gamma HHI0.570.460.650.460.63
Net GEX16.1M10.0M19.9M10.0M17.7M
Net DEX-91.5M-134.5M-54.9M-63.6M-79.0M
Net VEX-396.6K-418.3K-350.6K-411.2K-375.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.069.590.240.11
Total Volume229.636201,2587320
Total OI21,422.520,89221,80321,19921,525

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-05-01$116.44$118.0012.9%3.7%10.6%38.9%12.7%0.7%1.1%10.0M-63.6M-411.2K0.2483.40N/AN/A591418,2992,900
2024-05-02$116.30$118.0014.1%4.0%10.1%49.5%12.5%1.2%-1.4%10.3M-54.9M-376.3K0.2581.46N/AN/A1784418,3262,907
2024-05-03$117.13$118.0010.6%3.0%10.2%19.1%11.7%1.9%1.2%11.9M-62.5M-390.0K0.5382.34N/AN/A492618,4272,936
2024-05-06$117.69$114.0010.7%3.3%10.4%20.2%11.7%0.9%-0.4%13.0M-70.8M-391.5K0.1693.62N/AN/A3245218,4432,933
2024-05-07$118.22$114.0010.5%3.2%10.5%18.4%11.9%4.5%0.3%15.2M-82.0M-410.4K0.3594.07N/AN/A1093818,8092,939
2024-05-08$118.63$114.0010.1%3.1%9.9%14.3%10.9%1.5%0.2%15.3M-85.3M-408.8K0.0680.73N/AN/A2521418,7612,943
2024-05-09$119.41$114.009.7%3.2%10.2%11.3%11.9%1.1%-1.4%17.7M-97.6M-418.3K0.5985.18N/AN/A1207118,6832,949
2024-05-10$119.88$115.009.3%3.0%7.8%8.0%11.0%1.8%-0.7%17.7M-106.4M-415.3K0.1985.21N/AN/A1302518,7622,981
2024-05-13$119.82$115.0012.6%3.2%7.3%36.5%11.1%2.1%-0.5%17.1M-106.4M-417.4K0.5582.45N/AN/A1719418,7922,985
2024-05-14$120.27$115.0013.1%3.4%7.1%40.6%11.0%2.5%-2.2%18.5M-113.4M-414.9K0.1487.16N/AN/A1011418,7962,972
2024-05-15$121.09$115.0010.5%3.0%7.1%18.6%10.6%4.5%-1.6%18.5M-130.7M-398.5K0.18100.40N/AN/A1252218,8102,974
2024-05-16$121.25$115.008.8%2.5%7.1%3.3%11.5%-2.4%0.9%18.3M-132.9M-392.0K0.10119.09N/AN/A2112218,8192,973
2024-05-17$121.47$115.0010.3%3.0%7.0%16.8%10.6%0.2%-1.2%18.9M-134.5M-398.0K0.11110.96N/AN/A1,13412418,8132,990
2024-05-20$120.88$119.0010.6%3.0%6.8%18.8%9.8%0.5%0.0%19.2M-118.2M-414.2K0.67112.06N/AN/A25517218,4292,467
2024-05-21$120.97$119.0010.0%2.9%6.6%13.6%8.9%0.3%0.2%19.9M-118.4M-405.6K0.63114.28N/AN/A563518,2802,612
2024-05-22$120.41$119.0010.7%3.1%6.9%19.9%9.3%2.4%-1.0%18.9M-103.7M-404.0K0.11113.98N/AN/A1481618,2982,634
2024-05-23$118.88$119.0014.4%4.1%8.4%52.6%12.5%-0.7%-4.2%13.9M-78.2M-396.8K0.23116.32N/AN/A1443318,4042,648
2024-05-24$119.34$119.009.9%2.9%8.4%13.3%9.1%1.3%-0.1%19.9M-80.6M-390.1K0.29117.65N/AN/A1424118,4642,668
2024-05-28$118.56$119.0010.7%3.1%8.8%19.4%13.4%1.9%3.3%15.7M-72.6M-380.4K0.37112.31N/AN/A863218,5922,705
2024-05-29$117.44$119.0012.6%3.6%8.8%36.3%10.5%-5.2%-7.0%13.5M-63.6M-365.3K0.59122.76N/AN/A734318,6022,724
2024-05-30$117.91$119.0014.1%4.0%8.9%49.8%11.9%2.3%-3.3%13.0M-58.3M-350.6K9.59118.52N/AN/A2221118,5652,756
2024-05-31$119.25$119.0015.1%4.3%9.6%58.3%11.9%4.9%-7.4%17.7M-79.0M-375.5K0.11118.11N/AN/A18218,5672,958