VYM Options History — August 2020

In August 2020, VYM traded between $81.49 and $84.58. ATM implied volatility averaged 17.8%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 6.7% (HV 20d: 11.2%). Max pain ranged from $79.00 to $82.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2020-08-24: Highest Volume — 1,047 contracts
  • 2020-08-11: Largest IV spike — 17.5% change
  • 2020-08-03: Highest IV Rank — 17.8%
  • 2020-08-11: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.28$81.49$84.58$81.49$83.98
Max Pain$80.48$79.00$82.00$79.00$81.00
ATM IV17.8%16.1%19.8%19.8%18.6%
Expected Move5.2%4.6%5.8%5.7%5.3%
HV 20d11.2%9.7%14.5%14.5%9.7%
HV 60d22.2%19.5%25.2%25.2%19.5%
IV Rank15.2%12.8%17.8%17.8%16.2%
IV Percentile52.0%47.6%55.2%55.2%53.6%
Term Structure1.3%0.4%2.5%2.5%0.4%
VWIV18.7%16.2%21.0%19.0%19.7%
Skew 25d7.6%6.1%9.3%7.0%7.1%
Skew 10d15.1%13.3%18.4%13.6%14.6%
Call IV 25d15.6%14.0%17.0%17.0%16.2%
Put IV 25d23.2%21.1%26.2%24.0%23.3%
Bid-Ask Spread %30.1914.8050.7028.6027.30
Gamma HHI0.150.110.200.110.16
Net GEX2.4M1.3M3.2M1.3M2.4M
Net DEX-19.8M-27.5M-12.3M-12.3M-20.8M
Net VEX-87.6K-96.2K-77.1K-87.5K-93.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.101.130.520.58
Total Volume377.9051231,047179346
Total OI11,247.7628,59812,63511,11310,344

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$81.49$79.0019.8%5.7%14.5%17.8%19.0%7.0%2.5%1.3M-12.3M-87.5K0.5228.60N/AN/A118616,9224,191
2020-08-04$81.76$79.0019.1%5.5%13.9%16.9%21.0%7.2%1.1%1.5M-13.3M-87.0K0.4421.30N/AN/A97436,9594,208
2020-08-05$82.15$79.0017.6%5.1%14.0%14.9%17.5%6.3%2.1%1.7M-14.7M-86.9K0.3414.80N/AN/A109377,0124,218
2020-08-06$82.08$81.0017.1%5.5%12.1%14.2%18.7%8.5%1.4%1.7M-14.4M-83.8K0.4544.13N/AN/A85387,0704,219
2020-08-07$82.95$82.0016.7%5.5%10.9%13.7%20.1%9.0%1.0%2.2M-18.5M-85.3K0.2634.44N/AN/A5331387,1084,239
2020-08-10$83.77$80.0016.1%5.4%11.2%12.8%19.4%8.7%1.2%2.7M-23.4M-91.0K0.5023.07N/AN/A3131577,4794,314
2020-08-11$83.81$80.0018.9%5.8%10.9%16.6%20.8%9.3%0.4%2.6M-24.2M-93.1K0.4028.29N/AN/A2801127,5574,307
2020-08-12$84.58$80.0018.1%5.2%10.4%15.6%16.4%8.6%1.3%2.9M-27.5M-92.0K0.1427.92N/AN/A457637,6404,322
2020-08-13$83.69$80.0018.5%5.3%11.3%16.1%20.7%8.1%1.1%3.0M-24.4M-91.4K0.6423.17N/AN/A124797,7484,353
2020-08-14$83.81$80.0018.6%5.3%11.2%16.3%19.2%8.2%1.6%3.0M-24.7M-90.8K0.2421.43N/AN/A111277,7724,398
2020-08-17$83.72$80.0017.4%5.0%10.9%14.6%18.1%7.8%1.9%3.2M-24.1M-84.4K0.7824.24N/AN/A2111647,8064,415
2020-08-18$83.38$81.0018.0%5.2%10.5%15.4%17.9%7.5%0.9%3.1M-21.8M-84.1K0.5425.69N/AN/A2461327,8344,451
2020-08-19$83.19$81.0018.6%5.3%10.4%16.3%18.9%6.9%0.5%3.0M-20.8M-83.5K1.0928.69N/AN/A1381517,8624,542
2020-08-20$82.76$81.0017.6%5.1%10.6%14.9%19.6%8.2%1.2%2.8M-18.2M-77.4K0.5050.70N/AN/A2731367,9244,650
2020-08-21$82.62$81.0017.0%4.9%9.8%14.0%17.5%7.7%1.0%2.4M-16.8M-77.1K0.1025.55N/AN/A546547,8894,746
2020-08-24$83.73$81.0016.6%4.8%10.7%13.5%16.9%7.8%1.5%1.8M-16.6M-80.4K0.2325.36N/AN/A8511966,1432,455
2020-08-25$83.69$81.0016.2%4.6%10.8%13.0%16.2%7.4%1.3%2.1M-18.4M-90.1K0.3522.54N/AN/A129456,9172,593
2020-08-26$83.44$81.0018.0%5.2%10.6%15.4%18.2%6.8%1.0%2.1M-17.9M-90.9K1.1347.41N/AN/A1922167,0152,615
2020-08-27$84.05$81.0018.1%5.2%10.1%15.5%17.6%6.4%1.3%2.2M-20.8M-96.2K0.2250.27N/AN/A411907,1312,760
2020-08-28$84.33$81.0017.5%5.0%9.7%14.7%19.3%6.1%1.4%2.4M-22.0M-93.1K0.4039.13N/AN/A3061217,2472,828
2020-08-31$83.98$81.0018.6%5.3%9.7%16.2%19.7%7.1%0.4%2.4M-20.8M-93.4K0.5827.30N/AN/A2191277,4382,906