Vanguard High Dividend Yi... (VYM)
VYM Daily Delta Exposure
VYM's current Delta Exposure (DEX) is 793.78K shares, which is 45% larger than the 3M average of 548.18K shares. During this period, DEX ranged from 322.84K on May 23, 2025 to 813.08K on Aug 13, 2025, with dealers maintaining net short exposure requiring continuous hedging. Delta exposure has been increasing recently, forcing increased dealer shorting that could cap rallies. The current put-call delta ratio of 0.06 shows bullish call positioning but leaves the market vulnerable to pullbacks. Near extreme DEX levels suggest potential for mean reversion as positions unwind.
DEX History
| Date | Call Delta | Put Delta | Net Delta | P/C Delta |
|---|---|---|---|---|
| Aug 18, 2025 | 842,938.24 | -49,161.5 | 793,776.74 | 0.06 |
| Aug 15, 2025 | 839,777.92 | -46,008.42 | 793,769.5 | 0.05 |
| Aug 14, 2025 | 817,259.4 | -40,963.13 | 776,296.27 | 0.05 |
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