VYM Options History — September 2019

In September 2019, VYM traded between $85.92 and $89.90. ATM implied volatility averaged 11.2%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 2.3% (HV 20d: 13.6%). Max pain ranged from $85.00 to $89.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2019-09-05: Highest Volume — 279 contracts
  • 2019-09-24: Largest IV spike — 70.1% change
  • 2019-09-03: Highest IV Rank — 45.3%
  • 2019-09-03: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.68$85.92$89.90$85.92$88.81
Max Pain$86.45$85.00$89.00$85.00$89.00
ATM IV11.2%7.9%15.9%15.9%11.8%
Expected Move3.3%2.3%4.6%4.6%3.4%
HV 20d13.6%7.1%18.6%18.0%9.6%
HV 60d13.4%13.1%13.6%13.1%13.5%
IV Rank23.5%8.1%45.3%45.3%26.1%
IV Percentile43.5%5.6%78.2%78.2%51.6%
Term Structure1.6%-0.9%3.3%-0.9%1.3%
VWIV12.3%8.1%17.2%17.2%11.2%
Skew 25d5.2%2.5%7.5%7.5%5.2%
Skew 10d10.7%5.3%14.2%12.6%12.4%
Call IV 25d9.4%8.3%12.5%12.5%10.5%
Put IV 25d14.7%11.0%20.0%20.0%15.7%
Bid-Ask Spread %66.4853.3580.2674.4873.58
Gamma HHI0.170.100.240.100.21
Net GEX1.4M688.4K1.9M688.4K1.3M
Net DEX-10.4M-14.2M-3.6M-3.6M-8.4M
Net VEX-47.3K-51.8K-43.5K-44.8K-49.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.072.140.440.07
Total Volume117.9352797280
Total OI4,262.553,9014,5784,0944,029

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$85.92$85.0015.9%4.6%18.0%45.3%17.2%7.5%-0.9%688.4K-3.6M-44.8K0.4474.48N/AN/A50222,6641,430
2019-09-04$86.80$85.0012.3%3.5%18.2%28.7%15.1%6.4%0.0%1.0M-5.9M-45.3K0.1479.64N/AN/A109152,7001,424
2019-09-05$87.81$85.0011.0%3.2%18.6%22.4%14.8%6.3%2.0%1.3M-8.5M-46.2K1.1158.57N/AN/A1321472,7371,424
2019-09-06$87.97$86.0010.3%3.1%18.0%19.2%8.1%5.8%2.3%1.4M-9.0M-47.5K0.5454.70N/AN/A95512,8261,398
2019-09-09$88.38$86.0011.1%3.3%18.0%23.1%12.8%6.0%1.1%1.5M-10.3M-48.4K1.3072.52N/AN/A43562,8921,414
2019-09-10$88.66$86.009.5%3.1%17.1%15.4%12.4%6.2%2.0%1.5M-10.7M-48.8K1.0959.62N/AN/A34372,9161,439
2019-09-11$89.38$86.0011.1%3.2%16.9%22.8%11.6%5.5%1.2%1.4M-12.8M-48.4K0.5968.26N/AN/A119702,9401,466
2019-09-12$89.90$86.009.8%2.8%13.7%17.0%12.9%5.1%2.1%1.4M-14.2M-47.2K2.1466.17N/AN/A21452,9241,459
2019-09-13$89.77$86.009.4%2.7%13.7%15.4%13.2%4.4%2.8%1.5M-13.7M-47.0K2.1164.32N/AN/A28592,9321,476
2019-09-16$89.35$86.0010.8%3.1%13.5%21.7%11.8%5.7%2.0%1.5M-12.9M-45.8K0.6464.79N/AN/A45292,9431,463
2019-09-17$89.42$87.0011.2%3.2%12.8%23.4%11.0%4.5%2.0%1.6M-12.7M-45.3K0.1669.78N/AN/A95152,9571,491
2019-09-18$89.49$87.0010.4%3.0%12.3%19.7%10.4%3.6%1.0%1.8M-13.4M-43.9K0.3580.26N/AN/A100352,9541,492
2019-09-19$89.47$87.009.6%2.7%12.2%15.8%9.5%2.5%3.3%1.7M-13.5M-43.5K0.2163.68N/AN/A150312,9631,536
2019-09-20$89.40$87.0010.3%3.0%12.3%19.3%10.7%4.3%2.7%1.6M-12.7M-46.5K0.0871.04N/AN/A11093,0191,559
2019-09-23$89.62$87.007.9%2.3%7.1%8.1%8.8%2.7%1.9%1.9M-11.0M-44.2K0.2669.11N/AN/A85222,7331,168
2019-09-24$88.15$87.0013.4%3.8%9.9%33.7%14.3%5.6%3.0%1.1M-7.6M-49.5K0.6158.46N/AN/A139852,7231,214
2019-09-25$88.56$87.0011.4%3.3%9.9%23.9%11.7%5.1%1.0%1.3M-8.8M-51.1K0.3353.35N/AN/A54182,8431,287
2019-09-26$88.48$87.0012.8%3.7%9.9%30.5%13.0%5.5%0.6%1.3M-8.9M-51.1K0.1363.61N/AN/A3142,8941,303
2019-09-27$88.31$87.0014.5%4.2%9.5%38.6%16.1%6.6%0.3%1.2M-8.4M-51.8K1.0063.64N/AN/A44442,9131,306
2019-09-30$88.81$89.0011.8%3.4%9.6%26.1%11.2%5.2%1.3%1.3M-8.4M-49.4K0.0773.58N/AN/A7552,7241,305