VYM Options History — July 2022

In July 2022, VYM traded between $100.14 and $106.46. ATM implied volatility averaged 18.2%, placing in the 54.2% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 1.2% (HV 20d: 19.5%). Max pain ranged from $98.00 to $104.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 5.87.

Notable Days

  • 2022-07-18: Highest Volume — 17,417 contracts
  • 2022-07-11: Largest IV spike — 23.4% change
  • 2022-07-12: Highest IV Rank — 87.7%
  • 2022-07-12: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.82$100.14$106.46$102.88$106.46
Max Pain$99.45$98.00$104.00$104.00$100.00
ATM IV18.2%14.4%24.3%18.5%14.5%
Expected Move5.2%4.1%6.0%5.3%4.2%
HV 20d19.5%15.4%24.3%23.9%15.7%
HV 60d21.9%21.5%22.5%21.8%21.5%
IV Rank54.2%32.8%87.7%56.3%33.7%
IV Percentile68.4%44.0%98.4%73.4%44.8%
Term Structure0.5%-0.2%1.4%1.3%1.0%
VWIV18.6%14.9%22.7%16.8%14.9%
Skew 25d4.7%2.8%5.5%3.3%3.4%
Skew 10d8.9%7.2%10.4%8.2%7.4%
Call IV 25d15.7%12.9%17.4%17.2%12.9%
Put IV 25d20.4%16.3%22.7%20.5%16.3%
Bid-Ask Spread %46.1123.0357.5647.0751.41
Gamma HHI0.320.240.510.260.24
Net GEX6.6M207.4K13.0M3.9M13.0M
Net DEX-40.2M-98.2M-3.4M-25.3M-98.2M
Net VEX-229.8K-287.2K-167.7K-219.8K-285.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.870.4410.967.579.75
Total Volume9,327.71,85617,41710,17612,157
Total OI53,751.9537,68063,70761,84846,613

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-07-01$102.88$104.0018.5%5.3%23.9%56.3%16.8%3.3%1.3%3.9M-25.3M-219.8K7.5747.07N/AN/A1,1878,98920,81741,031
2022-07-05$101.34$99.0021.4%5.9%24.2%72.3%22.2%5.5%-0.2%2.8M-12.5M-197.0K7.3139.14N/AN/A1,2629,22520,88241,033
2022-07-06$101.93$99.0019.9%5.5%24.3%63.4%21.3%5.3%0.2%3.1M-17.8M-196.9K7.2644.20N/AN/A1,2509,08120,96541,256
2022-07-07$102.69$99.0018.6%5.4%24.2%56.2%21.3%5.2%0.6%3.6M-25.0M-200.1K1.1832.06N/AN/A1,5331,81421,04141,196
2022-07-08$102.73$98.0016.8%5.2%24.1%46.3%20.1%5.5%0.7%4.2M-28.4M-182.1K0.4449.15N/AN/A1,55868721,38141,295
2022-07-11$101.88$98.0020.8%5.6%23.6%68.2%20.8%5.3%0.6%3.2M-19.5M-190.4K0.6329.02N/AN/A1,14271421,46641,295
2022-07-12$101.31$98.0024.3%6.0%22.8%87.7%22.7%5.3%-0.2%2.5M-15.2M-177.1K0.8623.03N/AN/A1,1891,01921,47541,286
2022-07-13$101.07$98.0019.8%5.7%18.5%62.9%20.8%5.1%0.5%1.9M-12.0M-177.4K0.9351.81N/AN/A1,1111,03021,47041,514
2022-07-14$100.14$98.0019.6%5.6%18.6%61.7%19.7%5.0%1.4%207.4K-3.4M-167.7K0.7551.52N/AN/A1,6111,20621,54441,430
2022-07-15$101.84$99.0017.9%5.1%19.6%52.5%18.1%4.9%0.9%4.4M-21.1M-182.0K4.3852.31N/AN/A2,53211,08022,01941,688
2022-07-18$101.13$99.0018.9%5.4%16.5%57.6%17.8%5.0%0.0%4.3M-19.9M-185.8K1.6052.00N/AN/A6,70710,71012,25725,423
2022-07-19$103.53$100.0017.3%5.0%18.3%49.2%17.5%4.8%0.6%8.9M-55.6M-282.4K6.2540.53N/AN/A1,79011,19618,21125,563
2022-07-20$103.42$100.0018.2%5.2%17.6%53.7%17.2%5.3%0.3%9.6M-57.4M-284.1K9.1652.31N/AN/A1,21511,12619,11426,096
2022-07-21$103.19$100.0016.7%4.8%17.6%45.8%19.2%4.6%0.7%10.0M-53.7M-277.7K10.9645.75N/AN/A1,00911,05419,29726,171
2022-07-22$102.97$100.0016.4%4.7%17.7%44.1%18.1%4.5%1.2%9.9M-52.2M-273.7K9.9155.54N/AN/A1,10810,98119,35526,165
2022-07-25$103.80$100.0016.8%4.8%15.4%46.0%16.1%4.4%0.1%10.6M-62.4M-277.4K8.9950.77N/AN/A1,21610,93119,53526,200
2022-07-26$103.50$100.0018.0%5.2%15.4%52.8%17.0%4.4%-0.2%10.5M-59.0M-270.0K8.9240.79N/AN/A1,22710,94219,84526,237
2022-07-27$105.02$100.0015.9%4.5%15.9%41.0%15.4%4.0%0.2%12.3M-77.8M-281.5K9.6757.56N/AN/A1,13110,93520,04926,272
2022-07-28$105.60$100.0014.4%4.1%15.7%32.8%15.2%2.8%0.8%12.9M-86.9M-287.2K10.9156.19N/AN/A99910,90020,26526,287
2022-07-29$106.46$100.0014.5%4.2%15.7%33.7%14.9%3.4%1.0%13.0M-98.2M-285.9K9.7551.41N/AN/A1,13111,02620,33226,281