VYM Options History — August 2017

In August 2017, VYM traded between $78.18 and $79.52. ATM implied volatility averaged 8.0%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 2.0% (HV 20d: 6.0%). Max pain ranged from $78.00 to $81.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.63.

Notable Days

  • 2017-08-21: Highest Volume — 940 contracts
  • 2017-08-02: Largest IV spike — 44.9% change
  • 2017-08-17: Highest IV Rank — 41.9%
  • 2017-08-17: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.98$78.18$79.52$79.52$79.32
Max Pain$79.35$78.00$81.00$78.00$78.00
ATM IV8.0%4.7%11.3%4.7%7.5%
Expected Move2.4%1.3%3.2%1.3%2.2%
HV 20d6.0%3.9%7.5%5.9%7.5%
HV 60d6.2%5.7%6.5%6.2%6.5%
IV Rank21.1%0.0%41.9%0.0%18.0%
IV Percentile34.6%0.0%84.5%0.0%23.0%
Term Structure0.5%-0.5%1.5%1.5%1.1%
VWIV8.2%5.6%11.7%5.7%7.9%
Skew 25d4.1%0.9%7.5%3.1%1.8%
Skew 10d8.0%0.8%12.8%4.1%5.6%
Call IV 25d6.4%4.5%8.2%4.5%6.8%
Put IV 25d10.6%6.0%14.1%7.7%8.5%
Bid-Ask Spread %46.0330.7676.5032.7832.81
Gamma HHI0.360.250.560.250.47
Net GEX1.4M603.4K1.6M1.2M1.6M
Net DEX-5.2M-6.5M-2.3M-6.1M-6.5M
Net VEX-23.1K-26.2K-19.1K-22.6K-25.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.220.850.770.54
Total Volume563.478434940434580
Total OI2,357.4351,9332,5742,2072,574

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$79.52$78.004.7%1.3%5.9%0.0%5.7%3.1%1.5%1.2M-6.1M-22.6K0.7732.78N/AN/A2451891,684523
2017-08-02$79.33$78.006.8%2.0%6.0%13.4%5.6%0.9%1.0%1.3M-5.8M-22.4K0.8036.46N/AN/A2582061,685523
2017-08-03$79.35$81.006.5%2.3%4.7%11.7%6.5%3.5%0.6%1.3M-5.8M-22.5K0.8060.98N/AN/A2572061,703548
2017-08-04$79.45$81.006.0%2.3%4.5%8.3%6.4%3.6%0.7%1.3M-6.2M-22.9K0.7933.66N/AN/A2592051,705548
2017-08-07$79.51$81.004.8%1.9%4.5%0.8%6.4%3.5%1.0%1.5M-5.9M-21.2K0.5332.84N/AN/A3802031,740550
2017-08-08$79.42$81.006.7%2.4%4.4%12.9%6.8%5.9%0.6%1.5M-6.1M-23.4K0.5171.82N/AN/A3801951,768551
2017-08-09$79.37$81.009.1%2.6%3.9%28.0%7.2%4.7%0.2%1.5M-5.7M-23.1K0.6336.29N/AN/A3252061,771551
2017-08-10$78.71$80.009.9%2.8%5.0%33.2%9.7%7.4%0.5%1.2M-4.6M-23.2K0.7669.10N/AN/A3262491,784550
2017-08-11$78.66$80.0010.4%3.0%4.6%36.5%10.4%7.5%0.1%1.2M-4.4M-23.3K0.7575.44N/AN/A3312491,782574
2017-08-14$79.26$80.008.9%2.6%5.3%26.7%7.1%4.9%0.3%1.5M-5.7M-21.6K0.7463.32N/AN/A3372491,748574
2017-08-15$79.36$80.008.0%2.3%5.3%20.9%8.2%5.6%0.5%1.6M-6.2M-21.4K0.8037.88N/AN/A3372691,742575
2017-08-16$79.31$80.008.5%2.4%5.1%24.3%9.3%3.3%0.4%1.5M-6.1M-21.2K0.8564.08N/AN/A3272771,742585
2017-08-17$78.29$80.0011.3%3.2%6.8%41.9%11.7%6.0%-0.5%1.3M-3.3M-20.2K0.7676.50N/AN/A3242451,750606
2017-08-18$78.18$80.0010.1%2.9%6.7%34.3%9.6%4.8%0.5%1.6M-3.1M-19.2K0.7134.02N/AN/A3452451,773609
2017-08-21$78.20$79.0010.4%3.0%6.7%36.1%8.7%4.4%-0.4%603.4K-2.3M-19.1K0.2240.97N/AN/A7691711,433500
2017-08-22$78.81$79.008.0%2.3%7.2%21.3%8.6%3.4%0.4%1.3M-4.6M-24.7K0.4337.38N/AN/A3961721,842522
2017-08-23$78.65$78.007.9%2.3%7.2%20.3%9.6%3.7%0.1%1.3M-5.1M-25.8K0.4937.96N/AN/A3541721,941552
2017-08-24$78.54$78.008.1%2.3%7.1%21.9%9.5%3.9%0.9%1.3M-4.9M-26.2K0.5030.76N/AN/A3461741,940552
2017-08-25$78.86$78.007.4%2.1%7.3%17.0%8.3%3.5%0.8%1.5M-5.6M-26.1K0.5037.29N/AN/A3521751,945555
2017-08-28$78.70$78.008.1%2.3%7.2%21.4%9.1%2.3%-0.0%1.4M-5.1M-25.0K0.5045.66N/AN/A3651841,962557
2017-08-29$78.78$78.007.4%2.1%7.2%17.3%9.9%3.4%1.0%1.5M-5.1M-25.4K0.5137.79N/AN/A3661861,974568
2017-08-30$78.92$78.007.5%2.2%7.2%18.0%7.5%3.3%0.9%1.6M-5.6M-25.7K0.4932.82N/AN/A3861881,988572
2017-08-31$79.32$78.007.5%2.2%7.5%18.0%7.9%1.8%1.1%1.6M-6.5M-25.9K0.5432.81N/AN/A3762042,000574