VYM Options History — September 2024

In September 2024, VYM traded between $123.09 and $128.06. ATM implied volatility averaged 12.9%, placing in the 35.8% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.6% (HV 20d: 11.3%). Max pain ranged from $120.00 to $125.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.18.

Notable Days

  • 2024-09-19: Highest Volume — 1,002 contracts
  • 2024-09-11: Largest IV drop — 26.1% change
  • 2024-09-06: Highest IV Rank — 60.7%
  • 2024-09-03: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$126.14$123.09$128.06$125.54$127.94
Max Pain$121.90$120.00$125.00$124.00$124.00
ATM IV12.9%10.3%17.9%14.9%11.5%
Expected Move3.5%2.9%4.3%4.3%3.3%
HV 20d11.3%10.8%12.0%11.7%11.2%
HV 60d12.8%12.5%13.1%12.5%12.9%
IV Rank35.8%22.8%60.7%46.1%28.8%
IV Percentile66.2%35.7%97.2%89.7%56.3%
Term Structure1.0%-1.7%2.5%-1.6%1.7%
VWIV12.3%10.3%14.8%11.4%11.9%
Skew 25d3.7%1.6%5.5%4.5%3.8%
Skew 10d8.9%2.7%11.7%5.9%7.1%
Call IV 25d10.8%9.2%12.8%12.8%9.9%
Put IV 25d14.5%12.2%17.3%17.3%13.7%
Bid-Ask Spread %81.2771.6795.3383.6982.74
Gamma HHI0.510.320.690.480.67
Net GEX14.0M5.2M23.4M11.5M23.4M
Net DEX-85.1M-112.3M-51.7M-90.2M-106.7M
Net VEX-381.0K-414.7K-347.4K-414.7K-392.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.180.0423.460.810.97
Total Volume328.25701,002291268
Total OI23,775.522,51424,93122,51424,155

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$125.54$124.0014.9%4.3%11.7%46.1%11.4%4.5%-1.6%11.5M-90.2M-414.7K0.8183.69N/AN/A16113018,9613,553
2024-09-04$125.62$125.0014.4%4.1%11.0%43.2%14.8%4.5%-1.7%11.4M-79.6M-385.8K23.4693.46N/AN/A2456319,0683,671
2024-09-05$124.81$120.0015.8%3.8%10.9%50.4%13.7%3.6%0.4%10.0M-72.1M-402.6K7.2776.78N/AN/A4834919,0654,166
2024-09-06$123.09$120.0017.9%3.9%11.4%60.7%14.0%5.5%-0.2%7.0M-51.7M-352.0K0.9879.02N/AN/A20219819,0744,487
2024-09-09$124.46$120.0017.1%4.0%12.0%56.6%14.1%4.9%0.8%9.3M-65.8M-383.7K0.3075.61N/AN/A1253719,0214,664
2024-09-10$124.13$120.0017.4%3.8%11.7%58.4%14.1%4.9%0.8%8.2M-56.8M-360.5K0.8971.67N/AN/A15713919,0534,695
2024-09-11$123.91$120.0012.9%3.7%11.2%35.9%13.7%5.4%0.7%8.1M-56.9M-347.4K0.3672.20N/AN/A1124019,0804,814
2024-09-12$124.86$120.0012.1%3.5%11.3%31.8%11.5%4.0%0.7%9.4M-65.5M-361.9K0.3571.83N/AN/A521819,0634,845
2024-09-13$125.90$121.0011.2%3.2%10.8%27.7%11.9%3.4%1.2%11.5M-74.7M-363.2K1.0279.00N/AN/A13013219,0674,847
2024-09-16$126.88$121.0012.3%3.5%11.1%32.7%12.6%3.4%0.9%13.8M-88.4M-384.9K0.2779.53N/AN/A892419,1004,962
2024-09-17$126.81$121.0012.7%3.6%11.0%35.1%12.5%3.7%1.0%14.6M-93.2M-399.9K0.8885.10N/AN/A18316119,8584,974
2024-09-18$126.78$121.0011.9%3.4%10.8%31.0%12.4%1.6%1.3%13.6M-91.0M-386.0K0.4495.33N/AN/A26211519,8435,088
2024-09-19$128.06$121.0011.4%3.3%11.3%28.4%10.6%3.0%0.4%19.6M-112.3M-390.2K0.0486.90N/AN/A9673519,9444,963
2024-09-20$127.03$123.0010.9%3.1%11.7%25.9%11.1%3.2%2.4%5.2M-91.2M-376.0K0.3579.16N/AN/A1545419,2554,969
2024-09-23$127.50$123.0011.2%3.2%11.1%27.5%12.3%2.9%2.1%21.3M-101.8M-386.4K0.8879.01N/AN/A1119819,2223,789
2024-09-24$127.63$123.0010.3%2.9%11.1%22.8%10.3%3.4%2.1%22.0M-105.1M-379.0K1.8481.42N/AN/A10218819,2803,799
2024-09-25$126.78$123.0010.3%2.9%11.4%23.0%11.4%3.1%2.5%18.5M-87.2M-366.3K0.0980.17N/AN/A5264719,3243,983
2024-09-26$127.30$124.0010.7%3.1%11.5%24.8%10.6%2.4%2.2%19.7M-102.2M-398.5K0.5287.60N/AN/A23612319,8164,000
2024-09-27$127.83$124.0010.8%3.1%11.5%25.4%11.5%3.1%2.3%22.6M-109.5M-388.1K1.8185.14N/AN/A7313219,8774,115
2024-09-30$127.94$124.0011.5%3.3%11.2%28.8%11.9%3.8%1.7%23.4M-106.7M-392.9K0.9782.74N/AN/A13613219,9114,244