VYM Options History — August 2016

In August 2016, VYM traded between $72.53 and $73.29. ATM implied volatility averaged 8.8%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 3.2% (HV 20d: 5.6%). Max pain ranged from $72.00 to $73.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 4.67.

Notable Days

  • 2016-08-19: Highest Volume — 1,654 contracts
  • 2016-08-17: Largest IV spike — 39.9% change
  • 2016-08-17: Highest IV Rank — 14.7%
  • 2016-08-04: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.98$72.53$73.29$72.86$72.91
Max Pain$72.96$72.00$73.00$73.00$73.00
ATM IV8.8%6.9%9.7%8.4%9.1%
Expected Move2.6%2.0%2.9%2.4%2.6%
HV 20d5.6%4.8%7.7%7.7%4.9%
HV 60d11.2%10.8%11.8%11.8%10.9%
IV Rank10.7%2.0%14.7%9.2%12.5%
IV Percentile10.5%0.8%20.6%6.3%13.1%
Term Structure0.5%-0.9%3.1%1.8%-0.9%
VWIV9.6%8.0%11.1%11.1%9.9%
Skew 25d3.8%0.3%6.5%3.2%0.3%
Skew 10d2.8%-0.2%7.2%4.0%0.8%
Call IV 25d7.7%5.1%10.6%8.5%9.0%
Put IV 25d11.4%9.4%13.5%11.6%9.4%
Bid-Ask Spread %102.8095.87109.17101.07109.17
Gamma HHI0.170.170.180.170.18
Net GEX187.9K-76.9K450.5K217.9K-67.2K
Net DEX-3.5M-4.9M-1.8M-3.8M-2.0M
Net VEX-37.6K-46.9K-31.5K-35.1K-45.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.670.7615.081.3315.08
Total Volume807.696171,6544221,576
Total OI3,644.2173,1034,4603,1034,460

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$72.86$73.008.4%2.4%7.7%9.2%11.1%3.2%1.8%217.9K-3.8M-35.1K1.33101.07N/AN/A1812411,5911,512
2016-08-02$72.53$73.008.8%2.5%7.5%11.0%10.9%1.9%-0.1%170.5K-3.2M-35.0K1.26105.84N/AN/A1832301,5931,527
2016-08-03$72.61$72.009.3%2.7%7.4%12.9%10.2%1.2%-0.2%176.9K-3.1M-35.4K1.41101.91N/AN/A1832581,6011,526
2016-08-04$72.69$73.008.0%2.9%7.3%7.0%9.8%4.7%1.0%192.9K-3.2M-35.3K1.4295.87N/AN/A1872651,6021,548
2016-08-05$73.08$73.008.0%2.6%5.6%7.0%9.2%3.9%0.7%263.4K-4.1M-33.9K1.0896.91N/AN/A2432621,6151,548
2016-08-08$73.05$73.009.5%2.6%5.5%14.1%9.3%3.3%0.8%319.1K-4.5M-34.1K0.9099.79N/AN/A2702421,6891,550
2016-08-09$73.03$73.007.5%2.5%5.1%4.8%9.1%4.1%1.2%372.1K-4.6M-33.7K0.92100.32N/AN/A2642441,7261,550
2016-08-10$72.82$73.008.2%2.4%5.1%8.1%8.8%2.6%3.1%303.8K-4.2M-33.6K1.0397.64N/AN/A2392451,7271,552
2016-08-11$73.24$73.009.3%2.7%5.3%13.0%8.8%4.0%1.2%450.5K-4.6M-33.3K0.9499.23N/AN/A2472331,7341,559
2016-08-12$73.12$73.009.5%2.7%5.3%13.9%9.2%3.0%0.5%419.7K-4.6M-32.7K1.0298.75N/AN/A2452501,7381,555
2016-08-15$73.26$73.009.5%2.7%5.3%13.9%9.0%3.9%0.6%447.3K-4.9M-32.0K1.1898.87N/AN/A2132511,7401,583
2016-08-16$72.90$73.006.9%2.0%5.5%2.0%8.0%2.1%1.4%358.4K-4.4M-32.4K1.43104.78N/AN/A1672381,7501,593
2016-08-17$73.05$73.009.7%2.8%5.3%14.7%9.9%5.8%-0.4%336.3K-4.1M-31.7K1.43103.35N/AN/A7101,7521,606
2016-08-18$73.29$73.009.0%2.6%5.3%11.7%10.1%5.9%1.2%382.2K-4.7M-32.1K0.76101.26N/AN/A29221,7531,616
2016-08-19$73.09$73.009.1%2.6%5.1%12.0%9.5%4.2%1.5%329.3K-4.7M-31.5K8.90106.65N/AN/A1671,4871,7291,621
2016-08-22$73.05$73.008.8%2.5%5.0%10.9%9.9%3.3%-0.0%-38.1K-2.4M-46.9K9.55106.88N/AN/A1521,4511,5842,725
2016-08-23$73.15$73.008.2%2.4%5.0%8.1%9.2%5.4%0.2%-17.3K-3.1M-43.7K9.70107.73N/AN/A1501,4551,5832,741
2016-08-24$72.95$73.009.4%2.7%4.9%13.5%0.0%3.7%0.5%-52.3K-2.3M-46.4K0.00105.27N/AN/A0361,5882,752
2016-08-25$72.93$73.009.0%2.6%4.9%11.7%10.5%6.5%-0.7%-46.7K-2.2M-45.1K9.69106.80N/AN/A1501,4541,5882,782
2016-08-26$72.74$73.008.9%2.6%4.9%11.9%10.2%3.9%-0.7%-69.5K-1.8M-46.3K8.92106.13N/AN/A1631,4541,5872,795
2016-08-29$73.16$73.009.1%2.6%5.1%12.8%9.3%6.5%-0.5%-50.1K-2.1M-44.5K9.80104.39N/AN/A1521,4901,5912,805
2016-08-30$73.04$73.008.6%2.5%4.8%10.3%9.7%3.5%0.4%-76.9K-2.4M-44.5K15.07105.71N/AN/A991,4921,6042,846
2016-08-31$72.91$73.009.1%2.6%4.9%12.5%9.9%0.3%-0.9%-67.2K-2.0M-45.1K15.08109.17N/AN/A981,4781,6112,849