VYM Options History — July 2024

In July 2024, VYM traded between $118.28 and $124.65. ATM implied volatility averaged 11.0%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 1.9% (HV 20d: 9.1%). Max pain ranged from $112.00 to $121.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.49.

Notable Days

  • 2024-07-11: Highest Volume — 1,479 contracts
  • 2024-07-24: Largest IV spike — 72.9% change
  • 2024-07-24: Highest IV Rank — 72.4%
  • 2024-07-24: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.57$118.28$124.65$118.28$124.65
Max Pain$119.68$112.00$121.00$120.00$121.00
ATM IV11.0%8.4%15.9%9.6%12.1%
Expected Move3.2%2.4%4.6%2.8%3.5%
HV 20d9.1%8.3%10.7%8.4%9.4%
HV 60d9.0%8.4%9.3%9.3%9.1%
IV Rank37.6%19.2%72.4%28.0%45.3%
IV Percentile43.6%0.8%96.4%15.9%69.8%
Term Structure0.7%-1.7%1.7%0.4%0.4%
VWIV10.8%7.9%14.2%9.2%10.6%
Skew 25d2.2%-5.8%8.5%-3.7%6.9%
Skew 10d5.9%1.6%9.0%5.7%6.0%
Call IV 25d9.1%5.0%13.7%9.2%6.9%
Put IV 25d11.3%5.4%15.3%5.4%13.8%
Bid-Ask Spread %84.0370.07101.1498.7498.48
Gamma HHI0.490.260.690.330.69
Net GEX14.0M6.9M22.3M8.1M22.3M
Net DEX-78.4M-128.6M-43.4M-49.2M-110.3M
Net VEX-369.2K-428.0K-277.1K-325.0K-403.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.012.870.080.51
Total Volume329.682511,479156273
Total OI22,049.95520,99723,59220,99722,192

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-07-01$118.28$120.009.6%2.8%8.4%28.0%9.2%-3.7%0.4%8.1M-49.2M-325.0K0.0898.74N/AN/A1451118,1312,866
2024-07-02$118.62$120.008.4%2.4%8.4%19.2%8.1%2.2%1.4%6.9M-43.4M-288.5K0.2898.15N/AN/A401118,2552,873
2024-07-03$118.81$120.008.6%2.5%8.4%20.9%8.4%3.5%1.3%8.3M-49.3M-294.2K0.01101.14N/AN/A440518,2622,874
2024-07-05$118.56$112.009.4%2.9%8.3%26.5%9.9%2.4%0.6%8.3M-44.8M-296.2K0.5778.31N/AN/A352018,6802,874
2024-07-08$118.80$114.009.0%2.8%8.4%23.9%9.5%2.0%1.6%8.6M-47.0M-277.1K0.6574.63N/AN/A402618,6802,890
2024-07-09$118.91$117.008.7%2.8%8.4%21.8%7.9%2.3%1.7%9.2M-47.4M-284.7K0.5175.21N/AN/A1065418,6772,930
2024-07-10$119.70$119.009.8%2.8%8.7%29.6%9.3%2.4%1.1%10.9M-55.7M-295.3K0.0570.07N/AN/A99518,7662,964
2024-07-11$120.87$119.0010.0%2.9%9.1%30.8%9.6%6.5%1.5%14.1M-71.2M-332.2K0.1781.16N/AN/A1,26121818,8382,964
2024-07-12$121.68$120.009.6%2.7%9.2%27.6%9.6%1.5%1.6%15.3M-83.0M-380.5K0.4786.33N/AN/A1768219,4413,030
2024-07-15$122.05$120.0010.1%2.9%9.2%31.2%9.3%1.8%1.4%16.2M-90.1M-385.9K1.0980.34N/AN/A37040319,5343,033
2024-07-16$123.69$121.0010.0%2.9%9.9%30.7%9.7%1.5%0.9%19.8M-113.6M-415.3K0.2282.19N/AN/A1994419,6683,265
2024-07-17$124.31$121.0012.2%3.5%9.7%46.3%11.4%-1.1%1.1%17.6M-128.6M-424.1K0.1186.80N/AN/A6457219,7493,288
2024-07-18$123.41$121.0012.3%3.5%10.2%47.1%12.7%2.6%0.8%16.6M-109.8M-421.1K0.1580.53N/AN/A87912819,9123,321
2024-07-19$122.39$121.0013.1%3.8%10.7%52.6%12.4%8.5%0.6%14.9M-100.2M-415.8K0.2579.87N/AN/A3077820,2223,370
2024-07-22$122.87$121.0011.8%3.4%9.8%43.6%12.5%2.8%0.9%17.0M-83.4M-413.9K2.8772.32N/AN/A6819518,8422,748
2024-07-23$122.38$121.009.2%2.6%9.5%25.3%11.8%-1.7%0.5%14.4M-80.2M-408.0K0.3788.88N/AN/A1104118,8942,885
2024-07-24$121.74$121.0015.9%4.6%8.9%72.4%13.2%2.7%0.0%12.4M-70.9M-400.0K0.2686.15N/AN/A1654318,9622,921
2024-07-25$122.34$121.0011.6%3.3%8.7%41.7%13.4%-5.8%-1.7%13.3M-75.7M-399.6K0.0894.95N/AN/A79619,0562,936
2024-07-26$123.53$121.0012.9%3.7%9.1%51.4%12.6%4.8%0.4%17.9M-91.7M-428.0K0.7773.85N/AN/A786019,1222,941
2024-07-29$123.48$121.0013.5%3.9%9.1%55.1%13.1%3.4%-0.2%18.2M-88.4M-416.3K0.8275.14N/AN/A514219,1552,946
2024-07-30$123.54$121.0013.6%3.9%9.1%55.9%14.2%3.1%-1.0%17.5M-90.3M-417.5K0.5985.48N/AN/A905319,1612,981
2024-07-31$124.65$121.0012.1%3.5%9.4%45.3%10.6%6.9%0.4%22.3M-110.3M-403.6K0.5198.48N/AN/A1819219,2062,986