VYM Options History — August 2018

In August 2018, VYM traded between $85.79 and $88.07. ATM implied volatility averaged 7.7%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 0.6% (HV 20d: 7.1%). Max pain ranged from $85.00 to $86.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.48.

Notable Days

  • 2018-08-01: Highest Volume — 815 contracts
  • 2018-08-10: Largest IV spike — 108.9% change
  • 2018-08-14: Highest IV Rank — 26.7%
  • 2018-08-15: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.95$85.79$88.07$85.97$87.39
Max Pain$85.09$85.00$86.00$85.00$86.00
ATM IV7.7%4.7%11.3%8.5%8.8%
Expected Move2.3%1.4%2.8%2.4%2.5%
HV 20d7.1%5.1%8.1%7.1%7.9%
HV 60d7.8%7.3%8.3%8.1%7.3%
IV Rank14.2%3.6%26.7%16.9%18.0%
IV Percentile35.9%2.0%72.2%49.2%54.8%
Term Structure0.5%-0.5%1.7%0.9%-0.0%
VWIV8.5%5.3%10.1%8.5%8.4%
Skew 25d3.2%1.7%5.3%2.7%3.3%
Skew 10d7.3%2.8%10.8%7.5%8.9%
Call IV 25d6.6%4.8%7.8%7.8%7.0%
Put IV 25d9.9%7.9%12.8%10.5%10.3%
Bid-Ask Spread %53.0229.5989.9342.2542.66
Gamma HHI0.230.210.260.250.21
Net GEX1.6M1.5M1.8M1.5M1.5M
Net DEX-11.5M-13.8M-8.8M-9.1M-11.5M
Net VEX-43.2K-45.5K-40.0K-45.4K-42.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.250.640.250.50
Total Volume654.826573815815591
Total OI3,325.0433,1413,4723,1413,414

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-08-01$85.97$85.008.5%2.4%7.1%16.9%8.5%2.7%0.9%1.5M-9.1M-45.4K0.2542.25N/AN/A6501652,473668
2018-08-02$86.03$85.007.3%2.1%6.8%12.8%7.5%2.6%1.6%1.6M-9.4M-45.4K0.2629.59N/AN/A5941562,520697
2018-08-03$86.59$85.004.9%1.4%6.8%4.1%5.3%3.9%0.7%1.7M-11.0M-45.5K0.2643.39N/AN/A5991562,535705
2018-08-06$86.77$85.006.7%2.3%6.6%10.5%8.7%3.9%0.1%1.7M-11.4M-44.5K0.3648.60N/AN/A4541622,544706
2018-08-07$86.98$85.006.0%2.0%6.2%8.2%7.3%2.8%0.6%1.7M-12.2M-43.8K0.4249.83N/AN/A4771982,561715
2018-08-08$86.88$85.005.9%2.0%5.1%7.7%7.2%3.5%0.7%1.8M-12.0M-43.6K0.4763.45N/AN/A4772262,592721
2018-08-09$86.74$85.004.7%2.3%5.2%3.6%7.8%2.5%0.4%1.7M-11.5M-44.1K0.4972.95N/AN/A4572262,592751
2018-08-10$86.06$85.009.9%2.7%6.1%21.6%9.8%5.3%0.2%1.5M-9.6M-44.9K0.5273.22N/AN/A4502362,592752
2018-08-13$85.80$85.0010.2%2.7%6.2%22.8%9.5%5.1%0.3%1.7M-8.9M-43.2K0.5447.08N/AN/A4392362,609759
2018-08-14$86.18$85.0011.3%2.6%6.3%26.7%9.2%4.2%0.1%1.8M-10.1M-43.6K0.5546.49N/AN/A4272362,623759
2018-08-15$85.79$85.009.7%2.8%6.5%21.1%9.7%4.7%0.1%1.8M-8.8M-42.7K0.6067.51N/AN/A4052412,634759
2018-08-16$86.89$85.007.3%2.1%7.8%12.8%8.3%2.4%1.2%1.8M-11.8M-43.2K0.5653.12N/AN/A4092282,636781
2018-08-17$87.36$85.007.5%2.1%7.8%13.3%8.4%3.1%1.7%1.6M-13.7M-42.4K0.5548.19N/AN/A4052242,683789
2018-08-20$87.58$85.007.8%2.2%7.8%14.4%8.5%3.9%-0.5%1.5M-12.2M-42.5K0.4645.50N/AN/A4251972,508694
2018-08-21$87.74$85.007.6%2.2%7.8%13.7%9.6%3.1%0.3%1.5M-13.1M-42.2K0.5759.54N/AN/A4102342,559700
2018-08-22$87.40$85.008.0%2.3%7.9%15.0%9.4%2.4%-0.3%1.6M-12.6M-43.0K0.6071.44N/AN/A4032402,563740
2018-08-23$87.02$85.007.6%2.2%7.8%13.7%9.8%3.2%1.0%1.6M-11.2M-42.6K0.6447.71N/AN/A3852482,562746
2018-08-24$87.44$85.008.0%2.3%7.9%15.0%7.7%2.9%0.7%1.6M-12.3M-42.6K0.4534.41N/AN/A3961772,577759
2018-08-27$87.92$85.006.9%2.0%8.0%11.3%8.0%2.9%1.0%1.5M-13.2M-42.0K0.4258.38N/AN/A4251792,602760
2018-08-28$87.78$85.007.3%2.1%7.9%12.6%9.1%2.2%0.6%1.6M-13.2M-41.2K0.4441.15N/AN/A4181832,614755
2018-08-29$88.07$85.006.8%1.9%7.6%10.8%7.3%1.7%1.1%1.6M-13.8M-40.0K0.5843.00N/AN/A3902262,600761
2018-08-30$87.48$86.009.4%2.7%8.1%20.2%10.1%2.1%0.1%1.5M-12.0M-41.8K0.5489.93N/AN/A3902112,597809
2018-08-31$87.39$86.008.8%2.5%7.9%18.0%8.4%3.3%-0.0%1.5M-11.5M-42.2K0.5042.66N/AN/A3951962,600814