VYM Options History — July 2023

In July 2023, VYM traded between $104.98 and $110.25. ATM implied volatility averaged 10.6%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 0.4% (HV 20d: 11.1%). Max pain ranged from $104.00 to $107.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2023-07-21: Highest Volume — 11,697 contracts
  • 2023-07-10: Largest IV spike — 11.3% change
  • 2023-07-10: Highest IV Rank — 9.4%
  • 2023-07-10: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.87$104.98$110.25$106.63$110.03
Max Pain$105.25$104.00$107.00$105.00$107.00
ATM IV10.6%9.4%11.5%9.4%10.2%
Expected Move3.1%2.7%3.6%2.7%2.9%
HV 20d11.1%8.9%12.8%11.8%8.9%
HV 60d12.6%11.5%13.1%12.6%11.5%
IV Rank5.7%0.2%9.4%0.2%3.6%
IV Percentile4.3%0.4%7.9%0.4%1.6%
Term Structure0.9%0.4%1.4%1.4%1.1%
VWIV11.0%9.6%12.2%10.1%11.6%
Skew 25d2.4%1.5%4.1%1.9%1.6%
Skew 10d5.5%3.4%8.6%4.1%3.4%
Call IV 25d9.8%8.9%10.6%8.9%9.7%
Put IV 25d12.3%10.9%14.6%10.9%11.3%
Bid-Ask Spread %53.3118.4166.7734.3160.53
Gamma HHI0.370.260.540.320.37
Net GEX19.0M13.4M26.0M19.0M17.6M
Net DEX-81.4M-140.0M-40.2M-74.5M-78.1M
Net VEX-352.3K-404.3K-321.4K-355.7K-400.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.021.570.680.57
Total Volume1,082.0513111,697197180
Total OI39,687.5533,02343,28141,05634,893

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$106.63$105.009.4%2.7%11.8%0.2%10.1%1.9%1.4%19.0M-74.5M-355.7K0.6834.31N/AN/A1178020,14720,909
2023-07-05$106.19$105.0010.4%3.0%11.8%4.6%10.4%2.0%1.3%19.2M-66.1M-351.5K0.1139.31N/AN/A3053520,19620,952
2023-07-06$104.98$105.0011.3%3.5%12.6%8.8%12.2%4.1%1.1%16.8M-40.2M-326.0K0.2150.38N/AN/A4268820,48720,978
2023-07-07$105.12$104.0010.3%3.4%11.9%4.1%11.2%3.6%0.9%18.3M-42.4M-330.7K1.2244.27N/AN/A597220,64421,041
2023-07-10$105.44$104.0011.5%3.6%11.9%9.4%11.2%3.6%0.5%19.6M-48.1M-327.5K0.3956.91N/AN/A1385420,67021,091
2023-07-11$106.47$104.0011.4%3.4%12.4%9.2%11.1%3.4%0.8%21.2M-71.2M-341.2K0.6444.74N/AN/A62039520,76821,112
2023-07-12$107.09$104.0010.8%3.1%12.5%6.6%10.5%3.1%1.2%22.5M-84.4M-334.0K0.6757.83N/AN/A49733220,91321,158
2023-07-13$107.48$105.0010.9%3.1%12.4%6.9%11.2%3.0%1.2%21.5M-95.0M-342.4K0.1456.77N/AN/A3284521,06321,234
2023-07-14$106.63$105.0010.3%3.0%12.8%4.2%11.1%2.8%1.2%26.0M-75.3M-325.9K0.4863.48N/AN/A29213921,20121,241
2023-07-17$106.87$105.0010.8%3.1%11.9%6.6%12.2%2.8%0.8%25.4M-81.0M-321.4K0.4955.93N/AN/A1286321,24321,307
2023-07-18$107.41$105.0010.7%3.1%12.1%6.1%10.5%2.0%1.2%23.2M-96.1M-322.1K1.5766.77N/AN/A30948621,29021,335
2023-07-19$108.25$106.0011.1%3.2%10.3%8.0%10.8%1.7%0.8%18.9M-115.1M-327.9K0.6063.15N/AN/A45527121,35021,502
2023-07-20$109.09$106.0010.8%3.1%10.5%6.5%11.4%2.1%0.8%14.9M-130.7M-331.8K1.0063.44N/AN/A48348421,43921,577
2023-07-21$109.63$105.0010.4%3.0%10.1%4.8%10.4%1.5%0.8%13.4M-140.0M-333.4K0.0261.97N/AN/A11,42727021,55721,724
2023-07-24$110.25$106.0010.9%3.1%9.4%6.7%10.8%1.5%0.4%16.0M-82.5M-397.3K0.3063.02N/AN/A80624019,23913,784
2023-07-25$109.98$106.0010.8%3.1%9.6%6.2%11.7%2.1%0.4%15.7M-76.2M-385.4K0.2463.39N/AN/A2476019,52113,979
2023-07-26$110.20$106.0010.3%2.9%9.5%4.1%10.2%2.3%0.6%16.5M-79.9M-386.5K0.2155.99N/AN/A72115419,63214,037
2023-07-27$109.52$106.0010.7%3.1%9.6%6.2%11.0%2.3%0.4%16.1M-71.1M-404.3K1.1245.65N/AN/A21724420,01414,136
2023-07-28$110.06$106.009.7%2.8%9.4%1.4%9.6%1.8%1.0%17.4M-79.9M-399.9K0.2418.41N/AN/A3027220,09814,289
2023-07-31$110.03$107.0010.2%2.9%8.9%3.6%11.6%1.6%1.1%17.6M-78.1M-400.5K0.5760.53N/AN/A1156520,54714,346