VYM Options History — August 2021

In August 2021, VYM traded between $105.22 and $108.26. ATM implied volatility averaged 11.0%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 0.1% (HV 20d: 10.9%). Max pain ranged from $104.00 to $105.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2021-08-26: Highest Volume — 7,124 contracts
  • 2021-08-27: Largest IV drop — 22.0% change
  • 2021-08-19: Highest IV Rank — 29.4%
  • 2021-08-19: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.07$105.22$108.26$105.22$107.56
Max Pain$104.86$104.00$105.00$104.00$105.00
ATM IV11.0%9.0%15.0%12.7%9.0%
Expected Move3.3%2.6%4.3%3.6%2.6%
HV 20d10.9%8.1%14.8%14.8%8.7%
HV 60d11.8%11.3%12.9%12.8%11.6%
IV Rank12.5%3.9%29.4%19.5%3.9%
IV Percentile14.2%0.4%52.8%24.6%0.4%
Term Structure1.3%0.2%3.5%1.3%3.5%
VWIV11.4%9.6%15.2%12.9%10.6%
Skew 25d5.7%4.6%7.5%5.2%4.7%
Skew 10d12.1%8.6%17.9%10.5%11.5%
Call IV 25d9.4%7.7%12.1%10.1%8.3%
Put IV 25d15.1%12.5%19.6%15.4%13.1%
Bid-Ask Spread %37.1415.7068.7557.4215.70
Gamma HHI0.210.130.320.140.23
Net GEX6.3M3.7M11.2M4.5M7.3M
Net DEX-33.3M-47.3M-23.0M-23.0M-34.0M
Net VEX-134.0K-158.5K-120.4K-149.1K-150.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.054.190.510.50
Total Volume719.9091137,124314163
Total OI19,911.54514,01022,41120,60022,411

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$105.22$104.0012.7%3.6%14.8%19.5%12.9%5.2%1.3%4.5M-23.0M-149.1K0.5157.42N/AN/A20810614,7195,881
2021-08-03$106.17$104.0011.3%3.2%14.5%13.7%9.9%5.2%2.1%4.5M-27.8M-139.9K0.0561.81N/AN/A3491914,7365,874
2021-08-04$105.34$104.0011.3%3.2%14.8%13.5%10.2%4.9%2.1%4.3M-23.2M-133.2K0.5926.46N/AN/A714214,7665,905
2021-08-05$105.73$105.0010.1%3.6%14.1%8.6%11.2%6.4%1.3%4.6M-25.5M-132.9K0.9629.68N/AN/A838014,9085,904
2021-08-06$106.40$105.009.6%3.6%12.9%6.2%11.4%5.8%0.9%5.2M-29.9M-133.4K0.1520.62N/AN/A3244814,9125,941
2021-08-09$106.37$105.009.7%3.5%12.9%6.9%10.7%6.0%1.2%5.5M-30.3M-128.5K3.2421.97N/AN/A9029214,9765,945
2021-08-10$107.24$105.009.6%3.5%12.9%6.3%12.2%5.9%1.2%6.3M-36.9M-129.1K0.3733.46N/AN/A31611615,1525,954
2021-08-11$107.99$105.0011.5%3.3%13.1%14.4%11.2%5.9%1.2%11.2M-44.4M-137.2K0.0740.36N/AN/A6864515,1886,181
2021-08-12$108.12$105.0011.2%3.2%13.1%13.1%10.6%5.3%1.3%9.2M-44.4M-132.9K0.1851.08N/AN/A2765015,2166,198
2021-08-13$108.16$105.0010.8%3.1%12.6%11.7%10.0%4.9%1.8%10.9M-47.2M-141.6K0.1027.08N/AN/A3013015,4876,216
2021-08-16$108.26$105.0011.3%3.2%9.4%13.7%11.5%5.7%1.6%8.8M-47.3M-129.1K2.4768.21N/AN/A21753515,6336,272
2021-08-17$107.58$105.0012.1%3.5%8.1%17.1%12.3%6.8%1.2%9.0M-42.2M-136.0K0.8121.29N/AN/A27722315,6956,277
2021-08-18$106.76$105.0013.0%3.7%8.4%21.1%13.5%6.7%0.3%6.1M-32.8M-135.2K0.4445.00N/AN/A1175115,7376,437
2021-08-19$106.12$105.0015.0%4.3%8.5%29.4%15.2%7.5%0.2%5.1M-27.0M-135.4K0.2726.15N/AN/A2747515,7736,483
2021-08-20$106.83$105.0012.0%3.4%8.5%16.8%11.8%6.6%0.8%7.5M-32.0M-123.6K0.6757.96N/AN/A49332915,8276,509
2021-08-23$107.49$105.0011.5%3.3%8.7%14.3%9.6%5.5%1.0%3.7M-27.8M-124.8K0.0861.70N/AN/A761638,8495,161
2021-08-24$107.45$105.0011.1%3.2%8.7%13.0%9.9%5.6%1.1%3.9M-27.6M-123.0K0.3826.13N/AN/A221848,9745,239
2021-08-25$107.83$105.009.7%2.8%8.7%6.7%10.4%5.3%1.4%4.4M-31.1M-126.6K4.1919.35N/AN/A1405879,2855,269
2021-08-26$107.10$105.0011.8%3.4%9.0%15.7%12.6%5.6%0.8%3.9M-27.5M-127.0K0.0920.08N/AN/A6,5605649,3935,282
2021-08-27$107.99$105.009.2%2.6%9.1%4.6%11.4%4.9%1.9%4.8M-32.4M-120.4K0.8516.83N/AN/A1511299,4165,788
2021-08-30$107.76$105.009.1%2.6%9.2%4.2%11.8%4.6%1.6%8.3M-38.1M-158.5K0.4568.75N/AN/A2029015,9576,328
2021-08-31$107.56$105.009.0%2.6%8.7%3.9%10.6%4.7%3.5%7.3M-34.0M-150.8K0.5015.70N/AN/A1095416,0016,410