VYM Options History — June 2024

In June 2024, VYM traded between $118.15 and $120.20. ATM implied volatility averaged 11.1%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 1.8% (HV 20d: 9.3%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.55.

Notable Days

  • 2024-06-20: Highest Volume — 19,547 contracts
  • 2024-06-11: Largest IV spike — 106.0% change
  • 2024-06-11: Highest IV Rank — 93.3%
  • 2024-06-04: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.94$118.15$120.20$118.84$118.45
Max Pain$117.21$115.00$120.00$119.00$120.00
ATM IV11.1%5.6%19.1%11.4%9.3%
Expected Move2.9%1.6%4.6%3.3%2.7%
HV 20d9.3%8.6%10.2%9.5%9.3%
HV 60d9.6%9.4%9.8%9.8%9.6%
IV Rank27.9%0.0%93.3%26.3%26.0%
IV Percentile40.8%0.0%99.6%62.3%9.5%
Term Structure0.4%-5.0%4.5%-2.9%1.2%
VWIV10.3%7.2%12.9%12.1%7.8%
Skew 25d2.0%-3.3%6.0%3.0%3.9%
Skew 10d4.9%-1.9%50.1%3.1%0.2%
Call IV 25d8.6%5.7%11.4%10.6%6.0%
Put IV 25d10.5%5.0%14.3%13.7%9.9%
Bid-Ask Spread %105.8895.65121.30116.2198.89
Gamma HHI0.510.290.700.580.34
Net GEX14.4M5.7M25.9M14.3M7.8M
Net DEX-58.7M-77.9M-41.2M-77.9M-47.8M
Net VEX-318.1K-370.9K-250.2K-364.3K-318.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.003.790.630.21
Total Volume1,197.1054619,547527280
Total OI21,214.05320,07322,37221,53720,766

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-06-03$118.84$119.0011.4%3.3%9.5%26.3%12.1%3.0%-2.9%14.3M-77.9M-364.3K0.63116.21N/AN/A32420318,5772,960
2024-06-04$118.75$119.0016.1%4.6%9.4%66.7%11.6%3.7%0.7%17.1M-71.4M-351.3K0.19121.30N/AN/A541018,5512,761
2024-06-05$119.07$119.0012.7%3.6%9.3%37.1%12.2%2.3%-3.1%18.0M-73.3M-345.6K0.33117.78N/AN/A963218,5642,759
2024-06-06$119.06$115.0013.5%2.5%9.2%44.7%11.2%-0.2%1.5%18.6M-73.1M-351.2K0.35102.78N/AN/A461618,5512,782
2024-06-07$119.00$115.0017.2%2.3%8.9%76.6%9.0%-0.8%2.3%17.9M-71.8M-344.3K3.79111.39N/AN/A249118,5752,773
2024-06-10$119.13$115.009.3%3.9%8.8%7.4%12.9%-2.1%-2.8%25.1M-66.9M-323.9K0.19108.19N/AN/A571118,5842,864
2024-06-11$118.49$115.0019.1%2.5%9.0%93.3%7.2%6.0%1.4%16.0M-64.0M-326.0K0.29107.90N/AN/A481418,5842,867
2024-06-12$118.35$115.0010.7%3.1%8.9%19.7%10.7%0.0%0.6%17.8M-57.7M-307.3K0.68108.81N/AN/A775218,6082,873
2024-06-13$118.88$115.009.9%2.8%8.6%13.0%9.1%0.9%1.6%15.3M-52.0M-280.8K0.21107.62N/AN/A38818,6142,874
2024-06-14$118.37$115.008.8%2.5%8.7%3.5%10.8%3.2%0.6%8.6M-41.2M-278.4K0.21104.81N/AN/A1413018,6062,876
2024-06-17$119.37$115.008.9%2.5%9.3%4.1%9.6%2.8%2.5%21.2M-60.6M-291.2K0.31108.50N/AN/A521618,6042,896
2024-06-18$119.77$115.0010.2%2.9%9.2%15.8%10.3%0.2%1.6%25.9M-62.5M-277.6K0.06104.94N/AN/A128818,6002,900
2024-06-20$120.20$115.0011.1%3.2%9.4%23.0%10.8%-3.3%-5.0%14.7M-52.0M-250.2K0.00101.17N/AN/A19,4836418,6512,898
2024-06-21$118.88$120.0010.5%3.0%10.0%17.9%10.4%2.6%0.3%5.7M-47.3M-330.6K0.2395.65N/AN/A3117219,4342,938
2024-06-24$120.00$120.008.2%2.3%9.5%0.0%10.7%1.6%-0.1%9.9M-62.3M-370.9K0.2398.28N/AN/A1754017,4762,597
2024-06-25$118.75$120.005.6%1.6%10.2%0.0%10.0%5.5%4.5%7.7M-48.7M-323.0K0.36101.08N/AN/A592117,5762,613
2024-06-26$118.28$120.009.7%2.8%10.0%28.7%10.3%4.7%0.8%5.9M-42.0M-301.1K0.4399.17N/AN/A34614817,6082,621
2024-06-27$118.15$120.009.4%2.7%9.4%26.4%9.3%3.1%1.3%6.8M-43.5M-308.0K1.7097.37N/AN/A6310717,9242,762
2024-06-28$118.45$120.009.3%2.7%9.3%26.0%7.8%3.9%1.2%7.8M-47.8M-318.0K0.2198.89N/AN/A2324817,9332,833