VYM Options History — July 2016

In July 2016, VYM traded between $71.13 and $73.67. ATM implied volatility averaged 9.5%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded below realized volatility by 5.9% (HV 20d: 15.4%). Max pain ranged from $68.00 to $73.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2016-07-14: Highest Volume — 1,508 contracts
  • 2016-07-05: Largest IV spike — 59.8% change
  • 2016-07-05: Highest IV Rank — 29.8%
  • 2016-07-05: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.83$71.13$73.67$71.56$73.20
Max Pain$71.80$68.00$73.00$68.00$73.00
ATM IV9.5%7.9%12.7%7.9%9.4%
Expected Move2.8%2.3%3.4%2.3%2.7%
HV 20d15.4%7.4%17.8%16.9%7.4%
HV 60d12.1%11.8%12.3%12.0%11.8%
IV Rank14.8%7.0%29.8%8.3%13.6%
IV Percentile16.6%4.4%49.2%4.8%15.9%
Term Structure1.6%-0.1%3.8%3.8%1.4%
VWIV10.4%8.6%12.2%12.2%8.6%
Skew 25d3.7%0.9%5.8%5.0%1.6%
Skew 10d7.6%3.2%12.6%7.0%12.3%
Call IV 25d7.8%5.9%10.0%8.7%9.1%
Put IV 25d11.5%9.5%14.6%13.7%10.7%
Bid-Ask Spread %96.8288.86103.92100.21102.00
Gamma HHI0.210.160.290.270.17
Net GEX323.4K1.8K805.7K703.4K233.9K
Net DEX-6.1M-10.4M-3.7M-6.1M-4.0M
Net VEX-33.9K-36.2K-29.9K-35.0K-34.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.281.620.661.25
Total Volume740.053971,5081,098412
Total OI3,438.42,8304,0533,7473,071

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$71.56$68.007.9%2.3%16.9%8.3%12.2%5.0%3.8%703.4K-6.1M-35.0K0.66100.21N/AN/A6604381,9861,761
2016-07-05$71.13$71.0012.7%3.4%16.9%29.8%11.5%4.6%1.3%670.8K-5.6M-34.6K0.5888.86N/AN/A6853972,0181,761
2016-07-06$71.45$70.0011.0%3.4%17.0%22.3%10.8%4.5%1.4%793.2K-5.8M-34.0K0.5892.04N/AN/A6753942,0261,770
2016-07-07$71.22$71.009.8%3.4%17.0%16.6%11.1%4.4%-0.1%805.7K-6.0M-33.6K0.3896.06N/AN/A6622502,0181,791
2016-07-08$72.24$71.0010.2%3.0%17.8%18.5%9.8%4.0%1.5%413.9K-8.1M-31.0K0.4097.98N/AN/A6342512,0601,796
2016-07-11$72.53$71.008.3%2.9%17.6%9.8%11.3%3.8%1.2%356.3K-8.7M-30.5K0.4091.30N/AN/A5972402,0641,806
2016-07-12$72.94$71.0010.9%3.0%17.3%21.7%10.8%3.9%0.7%301.3K-9.4M-30.0K0.4596.38N/AN/A6723012,0801,808
2016-07-13$73.12$71.009.8%2.8%17.3%16.7%10.3%4.1%1.5%1.8K-9.7M-30.4K0.4993.14N/AN/A6733282,1071,875
2016-07-14$73.45$72.009.8%2.8%17.2%16.7%9.9%5.1%1.1%85.9K-10.4M-29.9K0.2892.24N/AN/A1,1803282,1471,903
2016-07-15$73.37$72.009.6%2.8%17.2%14.6%9.9%4.0%1.7%199.7K-9.2M-34.5K0.3496.10N/AN/A9303172,1501,903
2016-07-18$73.46$72.009.3%2.7%17.2%13.2%10.3%4.3%1.5%206.2K-4.4M-34.8K1.5093.57N/AN/A1712571,4531,377
2016-07-19$73.25$72.009.8%2.8%17.2%15.6%9.6%4.2%1.0%189.9K-4.2M-35.4K1.4999.13N/AN/A1812691,4771,418
2016-07-20$73.58$73.008.5%2.4%17.1%9.3%10.6%2.2%2.0%196.1K-4.4M-36.0K1.62103.92N/AN/A1632641,5131,455
2016-07-21$73.33$73.009.2%2.6%17.2%12.7%10.4%5.8%1.4%211.8K-4.2M-36.2K1.3294.86N/AN/A1762331,5301,457
2016-07-22$73.67$73.008.3%2.4%16.8%8.4%9.6%2.3%1.7%230.0K-4.8M-34.6K1.2597.73N/AN/A1902371,5511,461
2016-07-25$73.44$73.009.4%2.7%13.1%13.5%11.0%3.6%1.4%223.6K-4.6M-35.3K1.2699.26N/AN/A1902391,5601,471
2016-07-26$73.45$73.009.4%2.7%10.5%13.4%10.3%3.5%1.8%215.3K-4.4M-35.5K1.3697.96N/AN/A1752381,5601,475
2016-07-27$73.13$73.008.0%2.3%10.1%7.0%10.3%1.8%2.6%228.2K-4.0M-35.3K1.18102.50N/AN/A1822151,5701,477
2016-07-28$73.07$73.009.4%2.7%8.9%13.4%9.2%0.9%2.2%201.1K-3.7M-36.2K1.17101.22N/AN/A1832141,5821,480
2016-07-29$73.20$73.009.4%2.7%7.4%13.6%8.6%1.6%1.4%233.9K-4.0M-34.9K1.25102.00N/AN/A1832291,5821,489