VYM Options History — August 2023

In August 2023, VYM traded between $105.82 and $109.94. ATM implied volatility averaged 12.1%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 3.6% (HV 20d: 8.4%). Max pain ranged from $106.00 to $109.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.45.

Notable Days

  • 2023-08-23: Highest Volume — 5,629 contracts
  • 2023-08-02: Largest IV spike — 22.3% change
  • 2023-08-17: Highest IV Rank — 19.4%
  • 2023-08-17: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.83$105.82$109.94$109.94$107.81
Max Pain$107.61$106.00$109.00$107.00$106.00
ATM IV12.1%9.4%13.7%10.1%9.4%
Expected Move3.5%2.7%3.9%2.9%2.7%
HV 20d8.4%7.7%9.3%8.9%9.2%
HV 60d10.7%10.0%11.2%11.2%10.0%
IV Rank12.1%0.0%19.4%3.3%0.0%
IV Percentile17.3%0.0%29.4%1.6%0.0%
Term Structure0.4%-0.0%1.1%1.1%1.1%
VWIV12.0%9.9%13.1%11.1%9.9%
Skew 25d3.4%0.9%4.6%1.4%0.9%
Skew 10d6.8%2.8%9.1%6.2%2.8%
Call IV 25d10.6%9.4%12.1%9.7%9.4%
Put IV 25d14.0%10.3%16.3%11.1%10.3%
Bid-Ask Spread %53.2629.7373.6749.9173.67
Gamma HHI0.280.080.490.370.24
Net GEX11.1M2.9M20.5M18.2M9.2M
Net DEX-37.2M-78.6M-12.2M-78.6M-33.8M
Net VEX-344.0K-406.1K-291.7K-406.1K-352.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.011.940.801.24
Total Volume744.4351195,629119350
Total OI34,911.30429,26836,23435,04536,062

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$109.94$107.0010.1%2.9%8.9%3.3%11.1%1.4%1.1%18.2M-78.6M-406.1K0.8049.91N/AN/A665320,65014,395
2023-08-02$109.34$107.0012.4%3.5%9.0%13.6%12.0%2.4%0.6%17.9M-66.5M-402.1K0.7253.16N/AN/A47033920,68914,423
2023-08-03$109.10$109.0011.9%3.6%7.8%11.6%12.1%4.1%0.1%16.9M-60.4M-389.7K0.1946.90N/AN/A57710920,80114,601
2023-08-04$108.44$109.0013.0%3.8%8.3%16.5%13.1%4.6%0.1%14.8M-47.0M-372.2K0.0940.41N/AN/A3843520,79814,652
2023-08-07$109.28$109.0011.9%3.6%8.6%11.3%11.8%4.0%0.2%19.4M-61.4M-375.0K0.2244.48N/AN/A2264920,83114,659
2023-08-08$108.97$109.0012.0%3.6%8.2%12.1%12.6%4.4%0.3%17.9M-52.3M-359.6K0.3054.12N/AN/A50915120,89014,688
2023-08-09$108.97$109.0012.4%3.6%8.0%13.8%12.3%4.0%0.1%18.0M-54.6M-366.5K0.3947.53N/AN/A31212220,90114,738
2023-08-10$108.44$109.0013.1%3.7%8.2%16.7%11.9%3.9%0.1%16.0M-42.9M-349.6K0.5929.73N/AN/A22713321,10014,759
2023-08-11$109.05$109.0012.0%3.5%7.7%12.1%13.0%3.5%0.4%20.5M-53.5M-363.1K0.1054.83N/AN/A2092121,15614,764
2023-08-14$108.75$109.0011.7%3.3%7.8%10.3%11.8%4.0%0.5%19.5M-42.9M-333.6K0.1854.31N/AN/A1883321,22214,772
2023-08-15$107.28$109.0013.4%3.8%9.2%18.0%12.6%4.0%-0.0%7.9M-20.0M-302.2K0.6053.96N/AN/A49129321,25714,787
2023-08-16$106.88$108.0013.1%3.7%8.8%16.7%12.5%4.5%0.2%4.2M-14.3M-291.7K0.2739.81N/AN/A50113621,35814,841
2023-08-17$106.63$108.0013.7%3.9%8.2%19.4%12.7%4.3%0.2%3.6M-15.2M-296.9K0.2545.99N/AN/A49312221,38214,702
2023-08-18$107.03$108.0013.6%3.9%8.1%19.1%12.9%3.9%0.4%4.7M-18.0M-305.1K0.2859.45N/AN/A96627321,50214,732
2023-08-21$106.75$107.0012.9%3.7%7.7%16.1%12.3%4.1%0.2%2.9M-15.2M-297.7K0.1354.40N/AN/A6918814,79914,469
2023-08-22$105.82$107.0013.0%3.7%8.1%16.2%12.4%3.2%0.1%2.9M-12.2M-292.7K0.1232.66N/AN/A3944615,29414,529
2023-08-23$106.45$106.0012.5%3.6%8.5%14.0%11.0%3.3%0.2%3.4M-15.5M-292.1K0.0164.15N/AN/A5,5864315,37414,454
2023-08-24$105.97$106.0012.8%3.7%8.4%15.4%12.7%3.2%0.6%5.8M-21.7M-340.4K0.1157.02N/AN/A4955620,78714,482
2023-08-25$106.53$106.0011.1%3.2%8.4%7.6%11.4%3.3%1.0%6.8M-25.1M-348.1K0.3571.99N/AN/A32211320,87414,506
2023-08-28$106.88$106.0011.0%3.1%8.6%7.2%10.4%2.8%0.9%7.2M-27.9M-345.5K1.9464.42N/AN/A12925021,00014,568
2023-08-29$107.81$106.0010.6%3.1%9.3%5.7%11.7%2.5%1.0%8.8M-36.7M-363.6K0.1268.72N/AN/A4275321,10114,627
2023-08-30$107.88$106.009.9%2.8%9.2%2.5%10.5%1.9%0.7%9.0M-40.5M-365.7K1.4563.44N/AN/A24135021,34514,639
2023-08-31$107.81$106.009.4%2.7%9.2%0.0%9.9%0.9%1.1%9.2M-33.8M-352.3K1.2473.67N/AN/A15619421,37314,689