VYM Options History — July 2019

In July 2019, VYM traded between $87.81 and $89.23. ATM implied volatility averaged 8.7%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 1.5% (HV 20d: 7.3%). Max pain ranged from $85.00 to $88.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2019-07-12: Highest Volume — 573 contracts
  • 2019-07-08: Largest IV spike — 31.1% change
  • 2019-07-31: Highest IV Rank — 27.9%
  • 2019-07-31: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.47$87.81$89.23$87.81$88.35
Max Pain$87.00$85.00$88.00$85.00$87.00
ATM IV8.7%6.3%11.2%8.6%11.2%
Expected Move2.6%1.8%3.2%2.5%3.2%
HV 20d7.3%6.5%9.6%9.6%7.0%
HV 60d10.8%10.7%10.9%10.8%10.7%
IV Rank17.4%6.9%27.9%16.8%27.9%
IV Percentile30.0%2.8%53.2%27.8%53.2%
Term Structure0.9%0.2%1.8%1.4%0.6%
VWIV10.0%7.6%17.6%9.1%11.4%
Skew 25d3.8%3.1%4.8%3.4%4.2%
Skew 10d8.3%2.9%10.2%8.9%7.9%
Call IV 25d7.4%5.2%9.0%7.3%9.0%
Put IV 25d11.2%8.9%13.2%10.7%13.2%
Bid-Ask Spread %74.1765.6794.4588.5994.45
Gamma HHI0.190.150.240.150.20
Net GEX1.7M1.1M2.1M1.8M1.2M
Net DEX-11.7M-14.6M-7.1M-11.5M-7.9M
Net VEX-41.1K-45.6K-37.3K-41.2K-45.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.103.631.171.76
Total Volume167.9554857363235
Total OI3,752.6822,8144,3503,9653,279

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$87.81$85.008.6%2.5%9.6%16.8%9.1%3.4%1.4%1.8M-11.5M-41.2K1.1788.59N/AN/A29342,7181,247
2019-07-02$87.94$85.007.6%2.2%7.7%12.4%9.0%3.4%1.5%1.9M-12.0M-40.0K1.7980.27N/AN/A19342,7291,251
2019-07-03$88.60$85.006.4%1.8%7.8%7.3%7.8%3.7%1.8%1.8M-14.0M-38.7K0.3878.77N/AN/A65252,7331,256
2019-07-05$88.52$88.006.3%2.4%7.4%6.9%9.2%3.9%1.4%1.9M-13.9M-37.7K0.5867.99N/AN/A93542,7241,256
2019-07-08$88.20$88.008.3%2.8%7.5%15.4%0.0%3.8%0.7%1.9M-12.9M-37.4K0.1266.10N/AN/A4352,7561,273
2019-07-09$87.95$88.007.9%2.8%7.6%13.8%17.6%3.9%0.7%2.0M-12.3M-38.0K0.6365.67N/AN/A57362,7751,274
2019-07-10$88.31$88.0010.0%2.9%7.7%23.0%10.0%4.8%0.8%1.9M-13.4M-38.2K0.7577.67N/AN/A63472,7951,305
2019-07-11$88.19$88.009.4%2.7%7.7%20.5%9.6%4.0%0.9%2.1M-13.2M-37.3K0.5970.75N/AN/A86512,8281,306
2019-07-12$88.65$88.008.5%2.4%7.8%16.2%9.7%3.7%1.1%1.9M-14.5M-37.4K0.1076.70N/AN/A520532,8291,309
2019-07-15$88.67$87.008.6%2.5%7.8%16.8%10.8%3.4%1.3%1.9M-14.6M-39.9K0.4972.24N/AN/A39192,9021,311
2019-07-16$88.62$87.008.4%2.4%6.7%15.8%9.5%3.5%1.3%1.9M-14.4M-40.3K0.2669.32N/AN/A118312,9071,320
2019-07-17$88.08$87.009.3%2.7%6.7%19.9%11.9%3.8%0.9%1.9M-13.1M-40.6K0.1769.45N/AN/A228392,9461,319
2019-07-18$88.41$87.009.9%2.8%6.8%22.5%11.3%3.8%0.5%1.7M-14.2M-42.1K0.1673.49N/AN/A250413,0121,337
2019-07-19$88.30$87.0010.0%2.9%6.5%22.9%10.4%4.2%0.7%1.6M-14.0M-41.7K0.2371.07N/AN/A257593,0121,338
2019-07-22$87.94$87.009.5%2.7%6.6%20.6%8.9%4.2%0.9%1.1M-7.1M-41.2K1.3171.21N/AN/A841102,136678
2019-07-23$88.60$87.008.1%2.3%7.0%14.6%8.6%3.5%0.9%1.2M-8.1M-44.1K0.4672.28N/AN/A85392,220782
2019-07-24$89.08$87.008.5%2.4%6.7%16.3%8.5%3.8%0.7%1.3M-9.1M-43.6K0.4779.49N/AN/A101472,239797
2019-07-25$88.74$87.008.5%2.4%6.8%16.5%9.2%3.1%0.8%1.2M-8.8M-44.7K0.5866.96N/AN/A77452,282806
2019-07-26$89.22$87.008.5%2.4%6.9%16.4%7.6%4.3%0.6%1.3M-9.7M-44.3K0.3466.65N/AN/A136462,295811
2019-07-29$89.23$87.009.2%2.6%6.9%19.5%8.2%3.9%0.2%1.5M-10.0M-44.2K3.6375.20N/AN/A301092,378811
2019-07-30$88.84$87.009.7%2.8%6.7%21.7%10.6%3.7%0.2%1.4M-9.1M-45.2K3.2277.39N/AN/A371192,402875
2019-07-31$88.35$87.0011.2%3.2%7.0%27.9%11.4%4.2%0.6%1.2M-7.9M-45.6K1.7694.45N/AN/A851502,410869