VYM Options History — July 2018

In July 2018, VYM traded between $82.83 and $86.43. ATM implied volatility averaged 8.8%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 1.3% (HV 20d: 7.5%). Max pain ranged from $83.00 to $85.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.34.

Notable Days

  • 2018-07-13: Highest Volume — 1,275 contracts
  • 2018-07-11: Largest IV spike — 24.9% change
  • 2018-07-03: Highest IV Rank — 31.2%
  • 2018-07-03: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.85$82.83$86.43$82.83$86.43
Max Pain$83.95$83.00$85.00$83.00$85.00
ATM IV8.8%6.8%12.6%11.9%8.5%
Expected Move2.6%1.9%3.6%3.4%2.4%
HV 20d7.5%6.5%8.5%6.5%6.6%
HV 60d9.1%8.0%10.1%10.1%8.0%
IV Rank18.0%10.7%31.2%28.7%16.7%
IV Percentile50.4%24.2%79.0%75.8%48.0%
Term Structure1.4%-0.9%2.4%0.3%1.2%
VWIV10.5%7.4%14.4%13.4%8.3%
Skew 25d3.7%2.4%5.4%3.4%2.6%
Skew 10d8.4%4.9%12.2%9.8%6.8%
Call IV 25d7.5%6.2%10.3%9.6%7.2%
Put IV 25d11.3%9.0%14.8%12.9%9.8%
Bid-Ask Spread %50.5628.5682.8029.4963.50
Gamma HHI0.310.180.470.190.28
Net GEX2.0M822.5K3.6M824.0K1.5M
Net DEX-8.0M-10.7M-3.5M-3.5M-10.7M
Net VEX-42.0K-44.5K-36.3K-36.3K-44.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.220.560.550.22
Total Volume855.1434731,275773921
Total OI3,991.5242,8404,6384,2423,122

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$82.83$83.0011.9%3.4%6.5%28.7%13.4%3.4%0.3%824.0K-3.5M-36.3K0.5529.49N/AN/A5002733,2121,030
2018-07-03$82.99$83.0012.6%3.6%6.6%31.2%14.4%4.5%-0.9%822.5K-3.8M-39.4K0.5682.80N/AN/A4912743,2041,140
2018-07-05$83.59$84.0010.7%3.1%6.8%24.6%12.7%5.4%1.0%1.1M-4.7M-39.4K0.5564.20N/AN/A4902713,2141,147
2018-07-06$84.14$84.009.7%2.9%7.2%21.1%12.8%4.2%1.6%1.6M-6.8M-40.6K0.4738.99N/AN/A4962313,2211,152
2018-07-09$84.68$84.008.2%2.4%7.5%15.8%12.4%3.8%2.4%2.2M-8.3M-40.5K0.3028.56N/AN/A7682313,2401,152
2018-07-10$85.26$84.008.2%2.6%7.9%15.7%11.1%3.1%2.0%2.5M-10.5M-44.3K0.3061.66N/AN/A8122413,3181,154
2018-07-11$84.50$84.0010.2%2.9%8.4%22.8%12.3%4.4%0.7%2.2M-7.8M-42.2K0.3151.24N/AN/A7962463,3531,167
2018-07-12$84.76$84.009.0%2.6%8.5%18.6%11.9%4.5%1.4%2.4M-8.6M-42.5K0.2747.47N/AN/A9892703,3551,172
2018-07-13$84.76$84.008.7%2.5%8.5%17.7%11.4%3.7%0.9%2.4M-8.8M-43.9K0.2744.45N/AN/A1,0052703,3581,194
2018-07-16$84.80$84.008.7%2.5%8.5%17.4%11.2%4.7%1.7%2.7M-9.0M-42.4K0.3056.13N/AN/A9062703,3771,194
2018-07-17$85.10$84.008.4%2.4%8.2%16.5%9.3%3.7%1.6%3.1M-10.2M-42.6K0.3043.99N/AN/A7422243,3941,194
2018-07-18$85.03$84.008.1%2.3%8.2%15.6%8.7%2.8%1.9%3.4M-10.0M-42.1K0.3145.30N/AN/A7372293,4091,199
2018-07-19$84.87$84.008.4%2.4%8.2%16.6%9.6%3.6%1.6%3.6M-9.1M-42.1K0.3045.94N/AN/A7382183,4251,208
2018-07-20$84.71$84.008.3%2.4%7.6%16.2%9.9%4.7%1.4%3.2M-8.1M-40.9K0.2755.13N/AN/A6391723,4271,211
2018-07-23$84.73$84.007.2%2.1%7.6%12.4%7.4%2.7%2.1%1.3M-6.2M-39.5K0.2438.44N/AN/A5121252,232608
2018-07-24$85.09$84.008.3%2.4%6.8%16.0%8.9%3.7%0.9%1.5M-7.4M-44.0K0.2947.41N/AN/A4681342,429614
2018-07-25$85.55$84.006.8%1.9%7.0%10.7%8.1%2.6%1.5%1.6M-7.5M-43.0K0.3166.42N/AN/A4381342,338625
2018-07-26$86.09$84.007.5%2.1%6.9%13.2%8.7%2.4%1.4%1.5M-9.4M-43.9K0.4254.00N/AN/A3341392,351625
2018-07-27$85.88$84.007.6%2.2%7.1%13.6%8.6%4.2%1.9%1.5M-8.6M-43.9K0.2858.13N/AN/A4811352,345632
2018-07-30$85.97$84.008.3%2.4%7.0%16.3%9.2%3.4%2.1%1.5M-9.5M-44.3K0.3638.44N/AN/A4471612,447633
2018-07-31$86.43$85.008.5%2.4%6.6%16.7%8.3%2.6%1.2%1.5M-10.7M-44.5K0.2263.50N/AN/A7561652,468654