VYM Options History — December 2024

In December 2024, VYM traded between $127.13 and $134.06. ATM implied volatility averaged 11.2%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 0.1% (HV 20d: 11.3%). Max pain ranged from $110.00 to $131.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2024-12-19: Highest Volume — 779 contracts
  • 2024-12-18: Largest IV spike — 50.3% change
  • 2024-12-18: Highest IV Rank — 51.4%
  • 2024-12-18: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$130.32$127.13$134.06$134.06$127.38
Max Pain$117.38$110.00$131.00$131.00$120.00
ATM IV11.2%9.4%16.0%11.0%12.7%
Expected Move3.2%2.6%4.6%3.1%3.6%
HV 20d11.3%9.2%14.7%14.5%11.7%
HV 60d11.5%10.8%12.4%11.1%12.2%
IV Rank27.6%18.8%51.4%26.4%35.0%
IV Percentile44.8%13.1%92.1%46.8%71.0%
Term Structure0.9%-1.2%3.4%-1.2%-0.1%
VWIV10.9%8.8%14.9%10.7%11.7%
Skew 25d2.8%-3.0%6.0%3.9%2.4%
Skew 10d4.6%-2.9%8.5%6.3%4.6%
Call IV 25d9.6%5.4%13.8%8.9%11.4%
Put IV 25d12.5%10.3%17.8%12.8%13.8%
Bid-Ask Spread %88.4573.45100.2993.1987.29
Gamma HHI0.150.100.420.420.12
Net GEX5.8M2.8M13.7M13.7M5.6M
Net DEX-71.7M-109.2M-35.6M-109.2M-48.0M
Net VEX-267.7K-297.4K-255.6K-297.4K-262.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.112.170.220.16
Total Volume345.238128779247283
Total OI21,750.95213,21225,40224,40314,334

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-12-02$134.06$131.0011.0%3.1%14.5%26.4%10.7%3.9%-1.2%13.7M-109.2M-297.4K0.2293.19N/AN/A2024520,4943,909
2024-12-03$133.50$131.0010.6%3.0%14.6%24.5%10.3%2.5%-0.6%11.1M-101.7M-291.6K0.1490.50N/AN/A1141620,5073,931
2024-12-04$132.74$131.0010.6%3.0%14.7%24.6%10.0%2.5%-1.0%7.7M-93.5M-270.8K0.2493.52N/AN/A2836720,5353,943
2024-12-05$133.20$110.0010.3%2.9%9.3%23.0%11.7%3.7%1.3%9.5M-98.0M-279.3K0.3590.34N/AN/A953320,5763,951
2024-12-06$132.73$110.0010.1%2.6%9.2%22.0%10.2%2.3%3.4%7.9M-94.2M-269.4K1.7289.16N/AN/A16728720,5803,973
2024-12-09$132.01$112.0011.6%2.8%9.4%29.4%10.5%2.2%2.1%6.0M-87.4M-268.2K0.4886.88N/AN/A1145520,6484,256
2024-12-10$131.26$112.0012.0%3.0%9.5%31.4%10.1%2.6%1.9%4.9M-80.4M-266.9K0.3586.65N/AN/A2649220,6424,302
2024-12-11$131.24$112.009.4%2.7%9.2%18.8%9.5%2.6%2.4%4.9M-80.5M-262.2K2.1789.94N/AN/A7015220,6474,345
2024-12-12$130.80$112.009.6%2.7%9.2%19.5%10.0%1.3%2.7%3.5M-76.5M-257.2K0.1191.22N/AN/A1922120,6634,485
2024-12-13$131.89$112.009.5%2.7%9.5%19.1%9.6%6.0%2.5%4.2M-84.5M-264.0K2.0192.35N/AN/A10420920,6634,487
2024-12-16$131.80$112.009.9%2.8%9.3%21.2%10.1%2.5%1.9%4.2M-82.8M-265.4K0.8992.10N/AN/A19917720,6574,644
2024-12-17$130.74$112.0010.7%3.1%9.5%24.9%10.7%2.7%1.5%3.3M-74.5M-257.1K0.1287.55N/AN/A3294120,6824,484
2024-12-18$127.33$112.0016.0%4.6%13.2%51.4%14.9%-3.0%-0.7%2.8M-51.7M-256.1K1.03100.29N/AN/A17718320,8084,502
2024-12-19$127.13$113.0014.6%4.2%13.2%44.2%13.8%4.8%0.5%3.3M-49.2M-255.6K0.6488.61N/AN/A47630320,8394,563
2024-12-20$127.52$120.0012.5%3.6%12.1%34.1%13.1%4.1%0.4%2.8M-35.6M-261.8K0.2873.45N/AN/A43812219,4574,752
2024-12-23$127.67$120.0011.8%3.4%11.6%30.3%11.9%3.8%0.2%4.4M-45.5M-261.3K0.2284.16N/AN/A5241179,3593,853
2024-12-24$128.73$120.009.9%2.8%11.8%20.9%8.8%4.1%1.5%5.1M-54.8M-268.5K0.1279.63N/AN/A350439,8293,909
2024-12-26$129.24$120.0010.2%2.9%12.0%22.5%9.0%2.9%0.7%5.6M-58.3M-274.3K0.1386.48N/AN/A3154110,0303,935
2024-12-27$128.21$121.0011.7%3.3%12.2%29.9%11.1%2.9%0.1%5.5M-52.5M-268.9K0.8485.44N/AN/A1079010,2813,962
2024-12-30$127.55$122.0011.1%3.2%11.8%27.0%10.7%2.8%-0.2%5.4M-47.9M-264.5K0.8188.63N/AN/A19515810,3364,017
2024-12-31$127.38$120.0012.7%3.6%11.7%35.0%11.7%2.4%-0.1%5.6M-48.0M-262.2K0.1687.29N/AN/A2453810,3653,969