VYM Options History — July 2020

In July 2020, VYM traded between $77.56 and $82.42. ATM implied volatility averaged 22.5%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.0% (HV 20d: 20.5%). Max pain ranged from $78.00 to $80.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.95.

Notable Days

  • 2020-07-15: Highest Volume — 1,795 contracts
  • 2020-07-13: Largest IV spike — 25.9% change
  • 2020-07-14: Highest IV Rank — 31.1%
  • 2020-07-13: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.58$77.56$82.42$78.81$80.91
Max Pain$78.18$78.00$80.00$80.00$78.00
ATM IV22.5%19.6%29.5%22.9%19.6%
Expected Move6.5%5.6%7.7%6.6%5.6%
HV 20d20.5%13.6%31.0%30.9%14.4%
HV 60d27.4%25.2%30.0%30.0%25.2%
IV Rank21.6%17.6%31.1%22.4%17.6%
IV Percentile65.0%54.8%82.1%68.7%54.8%
Term Structure0.5%-2.7%2.4%1.5%1.7%
VWIV23.8%18.8%31.1%25.1%25.2%
Skew 25d9.1%6.7%11.2%9.1%7.6%
Skew 10d16.9%12.2%21.0%16.9%12.2%
Call IV 25d18.9%16.4%21.4%20.2%16.5%
Put IV 25d28.0%23.9%32.4%29.4%24.2%
Bid-Ask Spread %26.1014.7654.3433.0125.82
Gamma HHI0.110.080.280.090.11
Net GEX1.2M502.8K2.4M728.0K1.2M
Net DEX-9.6M-16.8M2.2M-2.3M-10.7M
Net VEX-80.1K-91.4K-67.9K-76.7K-83.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.173.031.732.93
Total Volume543.4091711,795257790
Total OI11,069.6367,90913,32811,46510,603

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$78.81$80.0022.9%6.6%30.9%22.4%25.1%9.1%1.5%728.0K-2.3M-76.7K1.7333.01N/AN/A941636,8814,584
2020-07-02$79.09$80.0021.5%6.2%31.0%20.6%22.2%6.7%2.4%828.1K-3.8M-76.7K0.5535.36N/AN/A139766,9154,644
2020-07-06$79.57$78.0021.8%6.9%28.9%21.0%26.2%10.0%0.3%1000.0K-5.6M-74.2K0.9320.94N/AN/A7136637,0044,618
2020-07-07$78.83$78.0023.7%7.1%28.1%23.1%26.6%10.2%-0.4%922.0K-3.3M-74.3K1.5821.71N/AN/A1011607,1574,589
2020-07-08$78.88$78.0022.2%7.0%28.0%21.1%27.9%10.8%-0.2%927.4K-2.8M-73.4K0.8629.84N/AN/A1401207,1724,726
2020-07-09$77.56$78.0023.3%7.2%28.0%22.6%31.1%11.1%-1.3%502.8K2.2M-67.9K1.5126.98N/AN/A4006037,1764,787
2020-07-10$79.06$78.0022.6%6.9%19.6%21.6%26.0%10.2%-0.1%982.2K-3.1M-72.8K0.9719.92N/AN/A1041017,1755,203
2020-07-13$79.48$78.0028.4%7.7%19.6%29.6%26.3%11.1%-0.5%1.1M-5.3M-74.1K0.2815.97N/AN/A6371807,2325,215
2020-07-14$80.26$78.0029.5%7.4%19.9%31.1%24.4%11.2%0.3%1.4M-8.7M-76.3K0.2826.37N/AN/A228637,5335,249
2020-07-15$81.36$78.0024.3%7.0%19.0%24.0%25.2%9.6%0.7%1.9M-14.7M-78.1K0.8119.37N/AN/A9908057,6675,205
2020-07-16$81.35$78.0023.9%6.9%18.9%23.5%23.2%9.3%-2.7%2.1M-15.8M-77.4K0.7423.57N/AN/A2541877,9415,373
2020-07-17$81.67$78.0021.4%6.2%18.9%20.1%20.9%9.0%1.6%2.4M-16.8M-77.0K0.2214.76N/AN/A4861097,9515,377
2020-07-20$81.12$78.0020.7%5.9%19.1%19.1%20.6%7.7%0.7%792.1K-9.8M-73.0K0.2230.43N/AN/A7571664,9132,996
2020-07-21$82.00$78.0021.2%6.1%18.6%19.8%20.4%8.6%0.8%1.1M-13.4M-83.4K0.1724.08N/AN/A6081025,6163,124
2020-07-22$82.42$78.0020.7%5.9%18.6%19.0%20.5%8.6%0.9%1.3M-15.3M-89.3K0.2623.05N/AN/A174456,1023,170
2020-07-23$82.26$78.0022.1%6.3%15.9%21.1%23.8%9.1%0.4%1.3M-15.3M-91.4K1.0027.89N/AN/A1131136,2563,202
2020-07-24$81.38$78.0022.3%6.4%16.6%21.3%22.1%8.7%0.7%1.2M-12.8M-88.5K1.0021.09N/AN/A2062056,3253,199
2020-07-27$81.49$78.0021.4%6.1%14.6%20.0%18.8%8.3%1.3%1.3M-12.7M-87.9K0.2517.88N/AN/A366906,4593,377
2020-07-28$81.60$78.0020.5%5.9%14.3%18.9%22.6%7.8%1.2%1.4M-13.7M-88.8K1.0128.01N/AN/A85866,7233,414
2020-07-29$82.19$78.0019.7%5.6%13.6%17.7%19.1%7.5%1.4%1.6M-15.3M-89.4K0.5154.34N/AN/A115596,7863,509
2020-07-30$81.38$78.0021.6%6.2%14.2%20.3%25.1%8.2%1.1%1.4M-13.1M-88.8K3.0333.86N/AN/A892706,8453,539
2020-07-31$80.91$78.0019.6%5.6%14.4%17.6%25.2%7.6%1.7%1.2M-10.7M-83.7K2.9325.82N/AN/A2015896,8743,729