VYM Options History — July 2021

In July 2021, VYM traded between $101.90 and $105.83. ATM implied volatility averaged 11.7%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 1.9% (HV 20d: 13.6%). Max pain ranged from $100.00 to $104.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2021-07-19: Highest Volume — 1,547 contracts
  • 2021-07-08: Largest IV spike — 53.3% change
  • 2021-07-19: Highest IV Rank — 40.8%
  • 2021-07-19: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.71$101.90$105.83$105.33$105.28
Max Pain$102.86$100.00$104.00$100.00$104.00
ATM IV11.7%8.1%17.6%9.4%12.2%
Expected Move3.4%2.3%5.1%2.7%3.5%
HV 20d13.6%10.6%15.1%10.6%14.8%
HV 60d12.6%11.4%13.5%11.4%12.9%
IV Rank15.2%0.0%40.8%0.9%17.6%
IV Percentile16.8%0.0%65.1%0.4%19.8%
Term Structure1.8%0.6%2.9%2.3%1.6%
VWIV12.5%7.4%22.6%9.1%13.7%
Skew 25d5.5%3.0%9.0%3.6%5.2%
Skew 10d10.5%7.5%13.7%8.9%10.8%
Call IV 25d10.0%7.4%13.3%8.1%10.0%
Put IV 25d15.5%10.5%22.3%11.7%15.2%
Bid-Ask Spread %40.0011.4662.5748.8057.99
Gamma HHI0.210.120.310.310.17
Net GEX5.0M1.5M7.0M6.3M4.9M
Net DEX-25.3M-36.6M-7.4M-36.6M-24.9M
Net VEX-161.7K-197.0K-142.8K-197.0K-148.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.113.441.831.38
Total Volume4351261,547410279
Total OI21,548.28618,63724,09821,74720,613

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$105.33$100.009.4%2.7%10.6%0.9%9.1%3.6%2.3%6.3M-36.6M-197.0K1.8348.80N/AN/A14526514,9456,802
2021-07-02$105.62$100.008.1%2.3%10.6%0.0%7.4%3.0%2.9%6.6M-36.6M-180.1K0.1811.46N/AN/A2424314,9927,039
2021-07-06$104.42$101.0010.6%3.4%11.2%10.8%13.3%5.3%2.0%4.8M-25.7M-160.0K1.4730.59N/AN/A23634715,2067,051
2021-07-07$104.70$102.009.1%3.2%11.3%4.3%11.1%5.1%2.3%5.5M-28.8M-169.0K0.1127.41N/AN/A2072215,2397,344
2021-07-08$103.42$102.0014.0%3.9%11.9%25.2%12.2%5.9%1.3%3.9M-20.8M-164.3K0.6142.71N/AN/A17010415,3987,415
2021-07-09$105.20$102.009.5%3.3%13.6%6.0%10.2%5.2%2.0%6.4M-33.2M-172.4K1.9127.39N/AN/A23745315,3747,467
2021-07-12$105.58$102.009.4%3.1%13.7%5.7%12.5%5.5%2.0%7.0M-35.0M-173.0K1.4658.57N/AN/A18026315,4967,774
2021-07-13$104.92$104.0011.8%3.4%13.8%15.8%12.1%5.5%1.9%6.0M-30.2M-160.7K1.2020.73N/AN/A24829715,5687,873
2021-07-14$104.90$104.0011.6%3.3%13.7%15.0%12.4%5.1%2.4%6.0M-29.0M-162.6K0.4562.57N/AN/A873915,6178,133
2021-07-15$104.87$104.0012.2%3.5%13.6%17.7%16.4%5.7%1.3%6.2M-28.2M-158.5K3.4432.46N/AN/A12141615,6598,146
2021-07-16$104.02$104.0012.9%3.7%13.0%20.6%13.2%6.2%1.4%5.1M-22.1M-160.9K0.1759.84N/AN/A5639815,7208,378
2021-07-19$101.90$104.0017.6%5.1%13.5%40.8%22.6%9.0%0.6%1.5M-7.4M-142.8K1.5455.52N/AN/A60893913,6305,007
2021-07-20$103.74$103.0013.7%3.9%14.8%24.1%13.4%6.9%1.1%2.6M-14.4M-152.3K0.3718.84N/AN/A50318613,6735,631
2021-07-21$104.63$103.0012.2%3.5%15.1%17.7%13.0%5.9%1.6%3.8M-19.8M-161.4K0.5157.85N/AN/A1417214,0695,760
2021-07-22$104.17$103.0012.5%3.6%15.1%18.7%11.5%5.8%1.4%2.9M-16.5M-150.8K0.1443.94N/AN/A1211714,1765,808
2021-07-23$104.84$103.0010.8%3.1%15.1%11.3%10.2%5.0%2.6%4.2M-20.8M-154.2K0.3726.76N/AN/A2278514,2335,818
2021-07-26$105.19$103.0011.6%3.3%15.0%14.9%10.9%5.3%2.0%4.7M-23.6M-150.8K0.1426.55N/AN/A4576614,2325,818
2021-07-27$105.03$104.0012.8%3.7%14.9%20.0%13.7%6.0%1.6%4.4M-22.4M-155.6K0.4353.38N/AN/A1185114,4175,865
2021-07-28$105.24$104.0012.1%3.5%14.8%17.0%11.8%5.2%1.4%5.1M-25.0M-157.0K0.3254.28N/AN/A1073414,6325,895
2021-07-29$105.83$104.0011.7%3.3%14.8%15.2%11.2%4.5%1.5%6.1M-29.4M-163.1K0.7322.44N/AN/A19714414,6585,943
2021-07-30$105.28$104.0012.2%3.5%14.8%17.6%13.7%5.2%1.6%4.9M-24.9M-148.3K1.3857.99N/AN/A11716214,6655,948