VYM Options History — September 2020

In September 2020, VYM traded between $78.92 and $85.34. ATM implied volatility averaged 22.6%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.9% (HV 20d: 18.7%). Max pain ranged from $80.00 to $81.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2020-09-21: Highest Volume — 1,513 contracts
  • 2020-09-03: Largest IV spike — 47.5% change
  • 2020-09-08: Highest IV Rank — 31.3%
  • 2020-09-03: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.97$78.92$85.34$83.59$80.79
Max Pain$80.48$80.00$81.00$81.00$81.00
ATM IV22.6%17.8%29.6%17.8%21.3%
Expected Move6.3%5.1%7.6%5.1%6.1%
HV 20d18.7%10.0%23.8%10.0%23.8%
HV 60d16.7%15.2%19.9%19.2%16.8%
IV Rank21.7%15.2%31.3%15.2%20.0%
IV Percentile62.3%51.2%82.1%51.2%54.0%
Term Structure3.2%1.1%4.8%1.4%3.7%
VWIV22.4%19.2%29.4%19.4%19.2%
Skew 25d7.7%5.9%11.4%6.4%7.3%
Skew 10d13.8%8.4%21.5%19.2%11.3%
Call IV 25d19.6%16.9%22.6%16.9%18.8%
Put IV 25d27.3%23.3%34.0%23.3%26.1%
Bid-Ask Spread %37.2411.9361.4151.6349.75
Gamma HHI0.170.120.230.150.12
Net GEX2.0M715.5K3.7M2.3M1.6M
Net DEX-15.3M-31.3M-2.9M-19.2M-11.0M
Net VEX-106.3K-121.3K-93.4K-95.4K-121.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.081.520.090.23
Total Volume685.6192591,5131,465585
Total OI12,414.85710,37713,69810,58813,698

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$83.59$81.0017.8%5.1%10.0%15.2%19.4%6.4%1.4%2.3M-19.2M-95.4K0.0951.63N/AN/A1,3441217,5892,999
2020-09-02$85.34$81.0019.6%5.6%12.1%17.6%20.2%5.9%1.1%2.8M-31.3M-117.3K0.2745.09N/AN/A5101398,4693,128
2020-09-03$83.31$80.0028.9%7.6%15.2%30.3%29.4%11.4%2.6%2.0M-22.4M-120.5K0.5661.41N/AN/A3411918,6273,180
2020-09-04$83.89$80.0025.3%6.5%15.0%25.3%25.6%9.5%3.5%2.4M-23.2M-115.8K0.4859.59N/AN/A2611248,6043,353
2020-09-08$82.24$80.0029.6%6.9%16.2%31.3%23.1%8.8%3.4%1.9M-15.4M-104.1K0.2760.85N/AN/A1,0602918,6553,428
2020-09-09$83.20$80.0022.9%6.6%16.8%22.1%23.0%8.4%2.8%2.6M-21.9M-114.2K0.9657.45N/AN/A1491439,2203,599
2020-09-10$81.84$80.0022.2%6.4%17.3%21.1%27.8%8.2%3.2%2.0M-14.7M-106.2K1.1454.82N/AN/A1211389,2803,633
2020-09-11$82.28$80.0022.7%6.5%17.1%21.9%21.3%9.1%2.4%2.3M-16.7M-106.1K0.4550.82N/AN/A214979,2953,651
2020-09-14$83.31$80.0021.1%6.1%17.8%19.7%20.6%6.8%3.1%3.0M-21.1M-101.4K0.8717.44N/AN/A1711489,2313,698
2020-09-15$82.99$80.0020.8%6.0%17.8%19.2%20.0%6.6%3.8%2.7M-19.1M-100.1K0.2120.07N/AN/A421899,3073,750
2020-09-16$83.76$80.0019.8%5.7%18.1%17.9%19.9%6.1%3.8%3.7M-23.3M-100.1K0.7629.43N/AN/A2091589,4103,778
2020-09-17$82.94$80.0021.4%6.1%18.4%20.1%23.8%7.8%3.3%2.8M-18.9M-99.1K0.7018.55N/AN/A4012819,5013,858
2020-09-18$82.73$80.0020.1%5.8%18.3%18.3%22.2%6.4%4.1%2.2M-16.2M-96.2K0.4714.21N/AN/A5982839,5504,069
2020-09-21$79.81$81.0023.9%6.9%22.4%23.5%21.6%7.9%2.6%777.3K-5.0M-93.4K0.2411.93N/AN/A1,2242896,9793,398
2020-09-22$80.35$81.0023.1%6.6%21.9%22.4%20.9%7.7%2.9%1.1M-7.7M-102.0K0.1913.32N/AN/A344667,7573,543
2020-09-23$78.92$81.0023.6%6.8%22.6%23.0%27.1%7.3%4.8%890.5K-4.2M-97.5K1.5230.40N/AN/A3134768,0283,561
2020-09-24$78.99$81.0023.8%6.8%22.6%23.3%23.0%8.1%4.4%715.5K-2.9M-98.3K0.4132.06N/AN/A4211738,0844,020
2020-09-25$79.56$81.0022.0%6.3%22.6%20.9%21.0%7.5%4.0%903.5K-5.2M-104.3K0.0832.56N/AN/A812688,2664,150
2020-09-28$81.01$81.0021.8%6.2%23.7%20.5%20.4%7.0%4.3%1.5M-12.2M-118.0K0.4834.13N/AN/A8624138,7604,162
2020-09-29$80.49$81.0022.9%6.6%23.8%22.1%19.9%7.1%2.3%1.4M-9.5M-121.1K0.1436.55N/AN/A305449,0074,437
2020-09-30$80.79$81.0021.3%6.1%23.8%20.0%19.2%7.3%3.7%1.6M-11.0M-121.3K0.2349.75N/AN/A4761099,2474,451