VYM Options History — August 2024

In August 2024, VYM traded between $117.64 and $127.04. ATM implied volatility averaged 14.9%, placing in the 47.5% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 1.6% (HV 20d: 16.5%). Max pain ranged from $120.00 to $123.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2024-08-16: Highest Volume — 19,207 contracts
  • 2024-08-02: Largest IV spike — 44.6% change
  • 2024-08-02: Highest IV Rank — 100.0%
  • 2024-08-02: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.79$117.64$127.04$122.59$127.04
Max Pain$121.14$120.00$123.00$121.00$123.00
ATM IV14.9%11.6%25.9%14.9%12.4%
Expected Move4.0%3.3%6.2%4.3%3.5%
HV 20d16.5%11.6%17.5%11.6%14.1%
HV 60d12.1%9.8%12.7%9.8%12.2%
IV Rank47.5%29.3%100.0%65.0%33.3%
IV Percentile80.2%60.7%100.0%92.9%73.0%
Term Structure-0.9%-7.2%1.5%-0.1%-0.3%
VWIV13.5%10.1%22.4%14.4%13.1%
Skew 25d4.8%-0.2%11.5%2.5%-0.2%
Skew 10d6.5%-0.5%18.0%8.4%2.6%
Call IV 25d10.7%7.1%15.7%13.9%9.3%
Put IV 25d15.5%9.1%22.2%16.4%9.1%
Bid-Ask Spread %85.2974.78100.7279.0397.46
Gamma HHI0.340.100.580.580.56
Net GEX8.7M2.6M15.1M14.6M15.1M
Net DEX-64.9M-102.4M-33.4M-75.2M-102.4M
Net VEX-356.4K-435.7K-272.0K-382.4K-428.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.003.430.611.45
Total Volume1,092.7272519,207182355
Total OI22,283.86421,39522,74622,30122,236

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-08-01$122.59$121.0014.9%4.3%11.6%65.0%14.4%2.5%-0.1%14.6M-75.2M-382.4K0.6179.03N/AN/A1136919,2953,006
2024-08-02$120.38$121.0021.5%6.2%13.5%100.0%17.9%5.5%-7.2%7.8M-49.0M-349.2K1.1680.35N/AN/A24828819,2573,047
2024-08-05$117.64$121.0025.9%5.6%15.9%100.0%22.4%2.7%1.5%4.5M-35.9M-314.3K3.4396.78N/AN/A17058319,2313,163
2024-08-06$119.38$121.0019.5%4.4%16.8%68.6%14.1%8.4%-1.7%4.8M-38.4M-324.0K0.65100.72N/AN/A795119,2343,494
2024-08-07$118.51$121.0020.0%5.1%16.8%70.9%17.5%11.5%-1.6%3.4M-33.4M-302.0K0.3878.83N/AN/A602319,2463,481
2024-08-08$120.22$121.0017.3%4.7%17.3%57.7%17.2%11.4%-0.4%4.5M-40.2M-320.9K0.1478.00N/AN/A1822619,2503,483
2024-08-09$120.37$121.0015.6%4.3%17.1%49.4%10.1%9.0%-0.9%4.1M-41.2M-309.9K0.1074.78N/AN/A93919,2573,482
2024-08-12$119.64$121.0017.2%4.2%17.1%57.4%12.5%7.1%-0.8%2.6M-37.3M-296.5K0.0991.92N/AN/A3523119,2613,485
2024-08-13$121.03$121.0016.5%3.8%16.9%53.9%13.3%4.9%-0.7%3.4M-42.5M-287.0K0.1079.04N/AN/A981018,9743,508
2024-08-14$121.84$120.0012.1%3.5%17.0%32.1%12.4%7.9%-0.2%3.6M-47.1M-287.4K0.3485.32N/AN/A1113819,0273,502
2024-08-15$123.33$121.0012.3%3.5%17.5%32.9%12.0%2.9%-0.1%10.1M-59.9M-272.0K0.1785.83N/AN/A3816319,0803,516
2024-08-16$123.66$121.0011.6%3.3%17.2%29.3%12.3%3.0%-0.5%5.4M-59.4M-290.6K0.0082.46N/AN/A19,1535419,1853,488
2024-08-19$124.38$121.0012.5%3.6%17.3%34.0%11.5%5.1%-1.0%11.2M-75.5M-388.6K0.1885.05N/AN/A3526318,3773,018
2024-08-20$123.88$121.0011.8%3.4%17.3%30.2%12.1%1.9%-0.1%10.1M-73.0M-377.8K0.7681.45N/AN/A544118,6613,074
2024-08-21$124.35$121.0012.9%3.7%17.2%35.7%11.0%4.3%-1.2%10.9M-80.0M-409.5K0.2079.32N/AN/A1422818,6963,097
2024-08-22$124.16$121.0013.3%3.8%17.1%37.9%12.8%1.8%-1.5%10.6M-78.0M-403.9K0.2886.57N/AN/A401118,8013,122
2024-08-23$125.56$121.0011.9%3.4%17.3%30.9%12.2%3.3%-1.1%12.7M-88.2M-423.1K1.0592.25N/AN/A626518,8223,126
2024-08-26$125.91$121.0012.2%3.5%17.3%32.6%13.1%1.1%-0.4%13.5M-94.3M-412.5K0.4888.81N/AN/A1065118,8543,149
2024-08-27$125.78$121.0011.9%3.4%17.3%30.9%12.1%2.8%-0.8%13.2M-85.1M-405.6K0.1980.83N/AN/A21418,8623,187
2024-08-28$125.70$121.0012.0%3.4%17.0%31.4%12.3%4.2%-0.1%11.7M-96.2M-435.7K2.7482.59N/AN/A4612618,8583,185
2024-08-29$126.13$123.0011.7%3.4%15.8%30.0%11.9%3.5%-0.3%13.2M-96.3M-420.4K0.9288.87N/AN/A989018,8713,297
2024-08-30$127.04$123.0012.4%3.5%14.1%33.3%13.1%-0.2%-0.3%15.1M-102.4M-428.4K1.4597.46N/AN/A14521018,8783,358