VYM Options History — July 2017

In July 2017, VYM traded between $77.80 and $79.55. ATM implied volatility averaged 7.1%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 0.2% (HV 20d: 6.9%). Max pain ranged from $75.00 to $78.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.48.

Notable Days

2017-07-19: Highest Volume — 1,505 contracts
2017-07-27: Largest IV spike — 38.3% change
2017-07-06: Highest IV Rank — 20.6%
2017-07-06: Largest Expected Move — 2.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$78.78	$77.80	$79.55	$78.50	$79.55
Max Pain	$77.70	$75.00	$78.00	$75.00	$78.00
ATM IV	7.1%	5.6%	9.0%	7.6%	5.6%
Expected Move	2.1%	1.6%	2.6%	2.2%	1.6%
HV 20d	6.9%	5.9%	7.7%	6.4%	5.9%
HV 60d	6.5%	6.3%	6.8%	6.4%	6.3%
IV Rank	7.9%	0.0%	20.6%	10.7%	0.0%
IV Percentile	13.3%	0.0%	48.4%	15.9%	0.0%
Term Structure	1.6%	0.1%	3.9%	3.9%	1.5%
VWIV	8.3%	6.1%	12.4%	8.9%	6.3%
Skew 25d	3.5%	2.0%	5.6%	5.6%	3.1%
Skew 10d	7.4%	2.0%	11.1%	8.7%	5.9%
Call IV 25d	5.9%	4.4%	8.0%	4.4%	5.2%
Put IV 25d	9.4%	7.6%	12.5%	10.0%	8.2%
Bid-Ask Spread %	53.50	33.17	96.69	51.17	44.27
Gamma HHI	0.34	0.21	0.65	0.26	0.25
Net GEX	1.5M	865.1K	3.4M	1.1M	1.3M
Net DEX	-7.1M	-10.5M	-4.7M	-7.0M	-6.0M
Net VEX	-21.7K	-23.5K	-18.9K	-23.5K	-23.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.29	0.72	0.48	0.61
Total Volume	873.65	484	1,505	894	500
Total OI	2,725.65	2,021	3,214	2,728	2,207

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-07-03	$78.50	$75.00	7.6%	2.2%	6.4%	10.7%	8.9%	5.6%	3.9%	1.1M	-7.0M	-23.5K	0.48	51.17	N/A	N/A	602	292	1,923	805
2017-07-05	$78.52	$75.00	7.3%	2.1%	6.3%	8.9%	8.3%	3.8%	1.9%	1.0M	-6.8M	-23.2K	0.51	94.64	N/A	N/A	568	287	1,930	820
2017-07-06	$77.80	$78.00	9.0%	2.6%	7.1%	20.6%	12.4%	4.5%	1.6%	865.1K	-5.3M	-22.2K	0.39	44.23	N/A	N/A	737	289	1,936	819
2017-07-07	$78.18	$78.00	7.3%	2.5%	7.3%	8.6%	10.0%	5.3%	1.4%	1.2M	-6.6M	-22.3K	0.38	35.60	N/A	N/A	760	289	2,112	842
2017-07-10	$78.15	$78.00	7.5%	2.4%	7.1%	10.4%	9.5%	3.9%	1.6%	1.3M	-6.3M	-21.3K	0.37	34.49	N/A	N/A	761	283	2,147	842
2017-07-11	$77.95	$78.00	7.5%	2.4%	7.0%	10.1%	9.8%	3.5%	1.1%	1.3M	-6.2M	-21.4K	0.46	71.22	N/A	N/A	598	276	2,149	850
2017-07-12	$78.44	$78.00	8.6%	2.5%	7.3%	18.1%	8.9%	3.4%	1.5%	1.5M	-7.4M	-21.0K	0.45	56.98	N/A	N/A	623	281	2,152	851
2017-07-13	$78.52	$78.00	6.6%	1.9%	7.3%	3.6%	8.4%	3.9%	2.1%	1.7M	-7.2M	-20.7K	0.48	39.99	N/A	N/A	596	289	2,180	858
2017-07-14	$78.98	$78.00	6.4%	1.8%	7.7%	2.4%	7.8%	3.5%	2.4%	2.0M	-9.2M	-20.8K	0.50	81.06	N/A	N/A	582	289	2,183	865
2017-07-17	$78.81	$78.00	6.8%	1.9%	7.7%	5.0%	8.5%	3.4%	1.9%	2.1M	-8.8M	-19.8K	0.49	38.55	N/A	N/A	588	290	2,193	865
2017-07-18	$78.79	$78.00	6.6%	1.9%	7.4%	3.9%	8.2%	3.4%	2.1%	2.2M	-8.7M	-18.9K	0.60	46.20	N/A	N/A	550	328	2,194	863
2017-07-19	$79.13	$78.00	8.1%	2.3%	7.4%	14.4%	7.4%	2.7%	0.3%	2.2M	-9.6M	-19.5K	0.29	33.17	N/A	N/A	1,168	337	2,197	862
2017-07-20	$79.34	$78.00	7.3%	2.1%	7.2%	8.6%	7.7%	3.3%	1.4%	1.7M	-10.5M	-21.7K	0.37	38.90	N/A	N/A	915	339	2,296	872
2017-07-21	$79.07	$78.00	6.7%	1.9%	7.3%	4.4%	7.8%	2.0%	1.8%	3.4M	-9.8M	-21.2K	0.41	36.78	N/A	N/A	823	339	2,320	894
2017-07-24	$78.95	$78.00	6.2%	1.8%	6.9%	1.0%	8.0%	2.9%	1.5%	1.1M	-4.7M	-21.7K	0.49	58.82	N/A	N/A	435	211	1,562	459
2017-07-25	$79.18	$78.00	6.6%	1.9%	6.9%	3.7%	6.1%	3.1%	1.8%	1.1M	-5.5M	-22.3K	0.49	58.04	N/A	N/A	417	205	1,587	475
2017-07-26	$79.13	$78.00	5.6%	1.6%	6.4%	0.0%	8.5%	2.1%	0.8%	1.2M	-6.0M	-23.4K	0.45	96.69	N/A	N/A	440	196	1,598	492
2017-07-27	$79.40	$78.00	7.8%	2.2%	6.4%	14.6%	6.9%	3.5%	0.1%	1.1M	-5.5M	-23.1K	0.72	44.74	N/A	N/A	282	202	1,638	502
2017-07-28	$79.29	$78.00	6.9%	2.0%	5.9%	9.0%	6.9%	2.8%	1.0%	1.2M	-5.3M	-23.0K	0.62	64.48	N/A	N/A	313	193	1,652	521
2017-07-31	$79.55	$78.00	5.6%	1.6%	5.9%	0.0%	6.3%	3.1%	1.5%	1.3M	-6.0M	-23.2K	0.61	44.27	N/A	N/A	310	190	1,685	522