VYM Options History — October 2020

In October 2020, VYM traded between $79.08 and $84.87. ATM implied volatility averaged 22.3%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.7% (HV 20d: 18.5%). Max pain ranged from $81.00 to $81.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.78.

Notable Days

  • 2020-10-30: Highest Volume — 1,520 contracts
  • 2020-10-26: Largest IV spike — 25.6% change
  • 2020-10-28: Highest IV Rank — 33.7%
  • 2020-10-28: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.53$79.08$84.87$80.56$79.08
Max Pain$81.00$81.00$81.00$81.00$81.00
ATM IV22.3%15.5%31.4%21.3%31.2%
Expected Move6.7%5.5%9.0%6.1%8.9%
HV 20d18.5%13.9%22.3%22.3%18.5%
HV 60d16.8%16.3%18.2%16.8%18.2%
IV Rank21.2%12.1%33.7%19.9%33.4%
IV Percentile56.8%36.1%84.5%53.6%84.1%
Term Structure0.3%-1.9%3.8%3.2%-1.9%
VWIV23.4%19.7%31.1%20.2%31.1%
Skew 25d8.6%5.8%11.4%5.8%11.4%
Skew 10d14.7%9.0%19.1%9.0%18.9%
Call IV 25d19.4%16.5%25.7%19.3%25.2%
Put IV 25d28.0%24.1%36.6%25.1%36.6%
Bid-Ask Spread %33.1912.4473.6242.0329.86
Gamma HHI0.180.120.500.120.12
Net GEX2.9M762.1K6.8M1.6M762.1K
Net DEX-19.8M-38.2M-275.8K-10.8M-275.8K
Net VEX-125.2K-133.5K-111.2K-122.9K-111.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.075.750.070.47
Total Volume658.3641471,5205891,520
Total OI14,054.09111,41516,46714,02313,889

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$80.56$81.0021.3%6.1%22.3%19.9%20.2%5.8%3.2%1.6M-10.8M-122.9K0.0742.03N/AN/A552379,5254,498
2020-10-02$81.15$81.0021.2%6.1%21.1%19.8%21.5%6.7%3.8%2.2M-14.6M-127.2K1.7573.62N/AN/A2143759,9024,500
2020-10-05$82.31$81.0021.1%7.0%21.6%19.7%23.0%9.1%0.3%2.9M-19.9M-129.5K0.6029.65N/AN/A23214010,0404,591
2020-10-06$81.78$81.0020.9%6.9%20.6%19.4%23.9%8.8%0.8%2.8M-17.8M-127.5K1.6639.00N/AN/A20233510,1844,584
2020-10-07$83.09$81.0019.2%6.6%20.9%17.0%22.5%8.4%0.6%3.7M-25.7M-131.3K0.2626.20N/AN/A53513810,2604,676
2020-10-08$83.99$81.0016.6%6.3%20.3%13.5%19.7%8.2%0.9%4.0M-30.8M-129.7K0.2422.82N/AN/A59214410,0144,718
2020-10-09$84.09$81.0015.5%5.7%20.3%12.1%20.5%7.1%1.6%4.4M-32.2M-128.7K0.4740.87N/AN/A35816710,1364,769
2020-10-12$84.87$81.0016.8%5.5%20.1%13.8%19.7%7.8%1.3%4.7M-38.2M-125.3K0.4628.69N/AN/A34715810,2294,790
2020-10-13$84.09$81.0019.2%5.8%20.3%17.1%22.1%8.2%0.4%4.9M-31.5M-123.9K0.4231.30N/AN/A32513610,3314,837
2020-10-14$83.76$81.0020.4%5.8%20.1%18.6%27.3%7.9%0.9%4.7M-28.4M-122.2K5.7531.79N/AN/A1761,01210,4184,812
2020-10-15$83.78$81.0020.9%6.0%19.8%19.3%22.2%8.3%0.7%4.7M-27.6M-124.5K0.6330.21N/AN/A33821410,4885,765
2020-10-16$84.13$81.0021.4%6.1%19.8%20.0%19.7%7.6%-0.0%6.8M-31.9M-122.6K0.0844.46N/AN/A1,0638010,5275,940
2020-10-19$82.94$81.0022.8%6.5%15.5%22.0%20.7%8.8%0.7%1.9M-16.8M-124.9K0.2131.61N/AN/A9612017,6783,737
2020-10-20$83.30$81.0022.9%6.6%15.4%22.2%22.6%9.3%-0.1%2.1M-18.8M-133.5K0.2529.81N/AN/A4351088,4323,910
2020-10-21$82.76$81.0022.2%6.4%13.9%21.2%22.3%8.2%-0.0%2.2M-17.7M-133.2K0.1721.23N/AN/A472788,7683,999
2020-10-22$83.83$81.0021.4%6.1%14.4%20.1%22.2%9.1%0.1%2.4M-21.2M-132.3K0.3234.69N/AN/A111368,5984,081
2020-10-23$83.80$81.0021.1%6.1%14.4%19.7%21.2%8.9%0.4%2.5M-21.3M-131.7K0.3527.69N/AN/A124448,6674,123
2020-10-26$81.99$81.0026.5%7.6%15.6%27.0%26.5%8.9%-1.1%1.9M-14.0M-125.5K1.0022.78N/AN/A2402398,7294,133
2020-10-27$81.38$81.0026.6%7.6%15.7%27.2%27.5%9.1%-1.7%1.7M-10.6M-120.0K1.0612.44N/AN/A2632808,7414,266
2020-10-28$79.22$81.0031.4%9.0%18.4%33.7%30.0%10.2%-1.9%983.1K-2.7M-112.5K0.8546.51N/AN/A4934178,8154,524
2020-10-29$79.76$81.0028.8%8.3%18.6%30.2%27.4%10.5%-1.6%959.1K-2.5M-113.2K0.1932.91N/AN/A499938,6934,873
2020-10-30$79.08$81.0031.2%8.9%18.5%33.4%31.1%11.4%-1.9%762.1K-275.8K-111.2K0.4729.86N/AN/A1,0354858,9734,916