VYM Options History — August 2022

In August 2022, VYM traded between $104.16 and $110.33. ATM implied volatility averaged 14.6%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.2% (HV 20d: 13.4%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 3.71.

Notable Days

2022-08-31: Highest Volume — 16,697 contracts
2022-08-26: Largest IV spike — 19.1% change
2022-08-30: Highest IV Rank — 48.7%
2022-08-30: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$107.31	$104.16	$110.33	$106.21	$104.16
Max Pain	$103.09	$100.00	$105.00	$100.00	$105.00
ATM IV	14.6%	13.0%	17.3%	16.0%	17.2%
Expected Move	4.2%	3.7%	4.9%	4.6%	4.9%
HV 20d	13.4%	10.5%	15.4%	15.2%	15.3%
HV 60d	18.9%	17.8%	20.6%	20.6%	18.6%
IV Rank	34.1%	25.0%	48.7%	41.7%	48.4%
IV Percentile	44.0%	31.0%	61.1%	52.4%	60.7%
Term Structure	0.8%	-0.7%	1.7%	-0.0%	-0.3%
VWIV	15.5%	12.5%	20.2%	16.2%	16.5%
Skew 25d	3.9%	3.0%	5.2%	3.4%	4.3%
Skew 10d	7.0%	5.6%	8.7%	6.8%	6.2%
Call IV 25d	13.2%	11.6%	15.6%	14.0%	15.3%
Put IV 25d	17.1%	14.8%	20.7%	17.4%	19.6%
Bid-Ask Spread %	51.24	30.18	67.68	66.29	47.78
Gamma HHI	0.30	0.20	0.47	0.25	0.37
Net GEX	11.3M	6.3M	16.1M	13.1M	7.7M
Net DEX	-95.3M	-163.6M	-23.7M	-95.6M	-23.7M
Net VEX	-218.8K	-276.4K	-165.0K	-276.4K	-187.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.71	0.02	18.53	11.30	1.91
Total Volume	4,349.261	180	16,697	12,006	16,697
Total OI	45,227.391	39,602	48,234	46,737	45,300

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2022-08-01	$106.21	$100.00	16.0%	4.6%	15.2%	41.7%	16.2%	3.4%	-0.0%	13.1M	-95.6M	-276.4K	11.30	66.29	N/A	N/A	976	11,030	20,421	26,316
2022-08-02	$105.72	$100.00	14.9%	4.3%	14.1%	35.6%	16.5%	4.2%	0.3%	13.5M	-87.5M	-273.4K	10.80	30.30	N/A	N/A	1,025	11,066	20,526	26,427
2022-08-03	$106.29	$100.00	14.7%	4.2%	14.1%	34.4%	15.2%	4.0%	0.4%	14.4M	-97.8M	-267.3K	11.33	53.56	N/A	N/A	972	11,009	20,749	26,443
2022-08-04	$105.31	$103.00	14.7%	4.4%	14.5%	34.4%	19.8%	3.9%	1.7%	14.7M	-83.4M	-263.8K	14.22	46.60	N/A	N/A	774	11,007	20,838	26,465
2022-08-05	$105.57	$103.00	13.1%	4.0%	14.5%	25.9%	19.5%	4.3%	1.3%	15.6M	-85.2M	-254.6K	11.62	52.97	N/A	N/A	946	10,996	20,856	26,497
2022-08-08	$105.80	$103.00	13.6%	4.2%	14.0%	28.3%	20.2%	4.5%	1.2%	16.1M	-91.3M	-244.4K	18.53	65.21	N/A	N/A	596	11,045	20,764	26,526
2022-08-09	$105.74	$103.00	14.0%	4.3%	13.8%	30.9%	14.1%	4.3%	1.5%	16.1M	-90.7M	-241.3K	0.48	62.02	N/A	N/A	122	58	20,797	26,569
2022-08-10	$107.40	$103.00	13.6%	3.9%	14.4%	28.2%	12.5%	3.7%	1.6%	15.0M	-121.8M	-228.8K	0.20	57.71	N/A	N/A	487	98	20,832	26,610
2022-08-11	$107.91	$103.00	13.4%	3.9%	13.7%	27.6%	13.5%	3.1%	1.6%	13.8M	-129.7M	-226.5K	0.09	48.79	N/A	N/A	452	39	20,962	26,584
2022-08-12	$109.34	$103.00	13.2%	3.8%	13.3%	26.3%	13.5%	3.2%	1.1%	11.2M	-151.1M	-211.9K	0.90	61.40	N/A	N/A	188	169	21,045	26,600
2022-08-15	$109.67	$103.00	13.0%	3.7%	12.7%	25.4%	14.1%	3.0%	1.2%	10.7M	-155.0M	-202.6K	0.11	46.11	N/A	N/A	579	63	21,053	26,733
2022-08-16	$110.33	$103.00	13.4%	3.8%	10.5%	27.1%	14.8%	3.3%	0.9%	9.8M	-163.6M	-201.2K	0.14	48.21	N/A	N/A	456	64	21,199	26,780
2022-08-17	$109.69	$103.00	13.5%	3.9%	10.9%	28.1%	14.1%	3.8%	1.0%	10.8M	-156.5M	-206.3K	0.18	67.68	N/A	N/A	264	48	21,280	26,807
2022-08-18	$110.30	$103.00	13.0%	3.7%	10.7%	25.0%	12.7%	3.1%	1.1%	10.2M	-163.3M	-205.0K	0.10	30.18	N/A	N/A	554	55	21,367	26,819
2022-08-19	$109.44	$103.00	13.6%	3.9%	11.3%	28.4%	14.2%	4.2%	1.4%	9.4M	-152.7M	-204.0K	0.09	40.25	N/A	N/A	839	77	21,390	26,844
2022-08-22	$107.60	$103.00	15.7%	4.5%	13.1%	40.2%	16.5%	3.9%	0.8%	8.1M	-54.9M	-199.3K	1.36	58.39	N/A	N/A	281	381	13,849	25,753
2022-08-23	$107.72	$103.00	15.7%	4.5%	13.0%	40.0%	16.1%	4.0%	0.5%	8.4M	-55.9M	-201.8K	0.53	46.11	N/A	N/A	122	65	13,957	25,984
2022-08-24	$107.87	$104.00	14.6%	4.2%	12.2%	34.3%	14.3%	3.9%	0.6%	8.9M	-57.1M	-197.2K	0.29	39.86	N/A	N/A	245	70	14,055	26,038
2022-08-25	$108.85	$105.00	14.1%	4.0%	12.4%	31.3%	13.5%	3.7%	0.5%	8.7M	-67.5M	-198.4K	0.23	49.02	N/A	N/A	226	52	14,249	26,107
2022-08-26	$106.42	$105.00	16.8%	4.8%	14.8%	46.3%	15.9%	4.0%	-0.2%	8.1M	-42.8M	-192.1K	0.56	51.45	N/A	N/A	199	112	14,377	26,125
2022-08-29	$106.06	$105.00	17.1%	4.9%	14.8%	47.8%	16.6%	3.9%	-0.7%	8.2M	-39.2M	-184.2K	0.40	43.62	N/A	N/A	359	143	14,429	26,225
2022-08-30	$104.68	$105.00	17.3%	4.9%	15.4%	48.7%	17.1%	5.2%	-0.1%	6.3M	-24.9M	-165.0K	0.02	64.97	N/A	N/A	4,922	105	14,347	26,336
2022-08-31	$104.16	$105.00	17.2%	4.9%	15.3%	48.4%	16.5%	4.3%	-0.3%	7.7M	-23.7M	-187.4K	1.91	47.78	N/A	N/A	5,747	10,950	18,944	26,356