VYM Options History — August 2019

In August 2019, VYM traded between $84.06 and $87.27. ATM implied volatility averaged 15.6%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.2% (HV 20d: 15.8%). 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 1 of 22 days. Put/call ratio averaged 1.48.

Notable Days

  • 2019-08-08: Highest Volume — 670 contracts
  • 2019-08-05: Largest IV spike — 58.8% change
  • 2019-08-13: Highest IV Rank — 71.7%
  • 2019-08-14: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.54$84.06$87.27$87.27$86.12
Max Pain$85.55$85.00$88.00$88.00$85.00
ATM IV15.6%9.1%21.6%13.7%14.8%
Expected Move4.3%3.5%5.3%3.9%4.2%
HV 20d15.8%7.8%20.2%7.8%20.1%
HV 60d12.4%10.5%13.9%10.5%13.1%
IV Rank45.1%19.0%71.7%38.9%40.1%
IV Percentile75.3%32.5%96.8%70.2%69.8%
Term Structure-0.8%-2.2%1.8%-0.5%-0.5%
VWIV14.7%11.2%19.5%11.2%14.7%
Skew 25d7.1%5.1%8.6%5.9%7.7%
Skew 10d12.2%5.8%16.5%10.9%11.9%
Call IV 25d11.2%9.2%14.4%10.6%10.7%
Put IV 25d18.3%15.1%21.6%16.5%18.4%
Bid-Ask Spread %78.8768.62106.44106.4472.23
Gamma HHI0.110.090.190.190.11
Net GEX544.9K198.3K944.4K944.4K735.4K
Net DEX-2.4M-5.4M319.3K-5.4M-4.2M
Net VEX-43.1K-47.7K-38.5K-44.5K-46.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.0311.330.890.19
Total Volume169.27332670306108
Total OI3,729.9553,2924,0333,3394,033

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$87.27$88.0013.7%3.9%7.8%38.9%11.2%5.9%-0.5%944.4K-5.4M-44.5K0.89106.44N/AN/A1621442,421918
2019-08-02$86.77$88.0012.8%3.7%8.0%35.0%15.8%5.1%-0.1%855.7K-4.4M-42.7K8.4594.62N/AN/A11932,357935
2019-08-05$84.66$87.0020.3%4.8%11.6%67.7%19.5%5.6%-1.0%414.1K-900.1K-38.5K3.5381.99N/AN/A973422,3561,017
2019-08-06$85.16$87.0017.4%4.6%11.9%55.2%15.1%8.6%-1.3%385.9K-912.5K-40.9K0.8376.69N/AN/A96802,3281,293
2019-08-07$85.33$87.0016.8%4.5%11.8%52.5%16.1%8.2%-1.0%407.4K-1.3M-40.9K0.6068.62N/AN/A113682,3381,285
2019-08-08$86.58$85.009.1%3.6%13.1%19.0%11.5%6.6%-0.7%677.0K-3.5M-42.0K0.0379.46N/AN/A649212,3291,286
2019-08-09$86.47$85.0013.2%3.9%12.9%36.9%13.6%6.5%-0.6%673.1K-3.9M-45.3K0.0780.46N/AN/A6042,4161,297
2019-08-12$85.26$85.0020.8%4.6%13.7%67.7%17.7%8.4%-2.2%468.8K-1.8M-42.8K11.3377.42N/AN/A6682,4611,297
2019-08-13$86.19$85.0021.6%3.9%14.4%71.7%13.7%8.3%1.8%612.2K-3.8M-47.7K0.1584.86N/AN/A4162,4611,329
2019-08-14$84.06$85.0018.5%5.3%16.6%57.2%16.1%8.1%-1.5%221.8K210.9K-39.8K0.7272.95N/AN/A1471062,4571,327
2019-08-15$84.06$85.0018.1%5.2%16.5%55.1%16.1%7.0%-1.8%198.3K319.3K-40.7K1.4772.54N/AN/A36532,4451,352
2019-08-16$85.19$85.0015.4%4.4%17.4%43.0%15.1%7.4%-1.4%361.3K-1.6M-42.2K0.8879.52N/AN/A32282,4411,379
2019-08-19$86.34$85.0013.3%3.8%18.2%32.9%12.5%6.7%-0.9%699.6K-3.9M-43.3K0.2471.86N/AN/A343832,3261,257
2019-08-20$85.63$85.0012.2%3.5%18.1%27.9%13.2%5.9%-0.3%616.0K-2.8M-43.8K0.3780.75N/AN/A43162,4401,278
2019-08-21$86.05$85.0012.3%3.5%18.1%28.6%12.2%5.9%-0.1%712.3K-3.6M-44.0K0.3377.24N/AN/A108362,4771,299
2019-08-22$86.24$85.0014.2%4.1%18.1%37.2%12.5%7.5%-1.4%739.7K-3.6M-45.1K0.3983.54N/AN/A2392,5111,310
2019-08-23$84.10$85.0018.1%5.2%19.8%55.5%15.5%6.0%-1.8%337.2K-628.9K-42.4K0.5374.16N/AN/A148782,5311,313
2019-08-26$84.55$85.0015.7%4.5%20.0%44.2%16.0%7.6%-1.0%355.0K-832.8K-41.3K0.9278.35N/AN/A24222,4881,388
2019-08-27$84.63$85.0015.9%4.6%20.0%45.2%15.1%7.4%-0.9%382.2K-1.3M-42.8K0.2971.06N/AN/A62182,5131,400
2019-08-28$85.16$85.0016.0%4.6%20.2%45.4%16.0%7.7%-0.8%495.6K-2.2M-44.7K0.2472.28N/AN/A49122,5631,416
2019-08-29$86.01$85.0013.8%3.9%20.2%35.4%14.4%7.3%-0.3%695.3K-3.8M-45.0K0.1078.01N/AN/A7272,5751,416
2019-08-30$86.12$85.0014.8%4.2%20.1%40.1%14.7%7.7%-0.5%735.4K-4.2M-46.9K0.1972.23N/AN/A91172,6161,417