VYM Options History — October 2024 In October 2024, VYM traded between $127.42 and $131.43. ATM implied volatility averaged 14.0%, placing in the 41.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 4.7% (HV 20d: 9.2%). Max pain ranged from $125.00 to $129.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.08.
Notable Days 2024-10-18 : Highest Volume — 19,484 contracts2024-10-07 : Largest IV spike — 25.3% change2024-10-31 : Highest IV Rank — 62.7%2024-10-31 : Largest Expected Move — 5.3%Monthly Statistics Metric Avg Min Max Open Close Price $129.30 $127.42 $131.43 $128.00 $128.15 Max Pain $127.30 $125.00 $129.00 $125.00 $128.00 ATM IV 14.0% 11.2% 18.3% 12.7% 18.3% Expected Move 4.1% 3.6% 5.3% 3.6% 5.3% HV 20d 9.2% 8.2% 10.3% 10.3% 9.6% HV 60d 12.4% 10.2% 12.9% 12.9% 10.2% IV Rank 41.1% 27.4% 62.7% 34.9% 62.7% IV Percentile 81.1% 52.0% 97.6% 73.8% 97.6% Term Structure -0.5% -3.0% 1.5% 1.4% -2.1% VWIV 14.4% 12.4% 19.3% 15.7% 19.3% Skew 25d 5.1% 3.4% 10.8% 7.4% 4.8% Skew 10d 8.4% 0.1% 15.6% 7.4% 9.8% Call IV 25d 11.9% 6.0% 16.3% 8.3% 16.3% Put IV 25d 17.0% 14.7% 21.1% 15.7% 21.1% Bid-Ask Spread % 59.14 37.58 80.11 80.11 62.63 Gamma HHI 0.52 0.10 0.84 0.68 0.21 Net GEX 20.4M 3.8M 47.3M 22.2M 6.5M Net DEX -119.9M -227.8M -71.4M -109.5M -71.4M Net VEX -362.3K -409.8K -291.8K -398.4K -360.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.08 0.01 6.25 2.57 1.07 Total Volume 1,088.478 53 19,484 82 118 Total OI 24,120.565 22,406 25,472 24,244 23,238
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2024-10-01 $128.00 $125.00 12.7% 3.6% 10.3% 34.9% 15.7% 7.4% 1.4% 22.2M -109.5M -398.4K 2.57 80.11 N/A N/A 23 59 19,891 4,353 2024-10-02 $127.95 $125.00 12.8% 3.7% 10.3% 35.2% 12.4% 4.5% 1.5% 22.6M -106.6M -394.7K 1.45 71.23 N/A N/A 55 80 19,899 4,381 2024-10-03 $127.42 $127.00 14.1% 4.4% 10.1% 42.0% 13.2% 6.3% -1.1% 20.6M -97.5M -380.3K 0.03 37.58 N/A N/A 1,029 29 19,912 4,382 2024-10-04 $128.63 $127.00 11.2% 3.9% 8.9% 27.4% 12.7% 5.5% -0.4% 27.6M -119.3M -409.8K 0.29 48.43 N/A N/A 41 12 20,329 4,407 2024-10-07 $127.69 $128.00 14.0% 4.4% 8.8% 41.4% 17.4% 6.0% -1.2% 22.8M -98.7M -384.3K 4.16 54.40 N/A N/A 32 133 20,351 4,410 2024-10-08 $128.08 $128.00 12.6% 4.1% 8.7% 34.2% 15.4% 5.8% -0.7% 27.7M -99.5M -375.5K 0.70 44.61 N/A N/A 57 40 20,358 4,491 2024-10-09 $129.08 $128.00 13.9% 4.0% 8.9% 41.0% 12.4% 10.8% -0.7% 32.8M -128.2M -386.9K 0.34 70.99 N/A N/A 126 43 20,378 4,523 2024-10-10 $128.69 $128.00 13.9% 4.0% 8.8% 41.0% 16.5% 5.2% -0.9% 35.1M -108.6M -366.2K 2.39 50.19 N/A N/A 57 136 20,430 4,532 2024-10-11 $130.19 $127.00 13.4% 3.9% 9.2% 38.6% 12.6% 4.6% -0.4% 42.4M -161.5M -362.6K 0.25 48.50 N/A N/A 282 70 20,435 4,629 2024-10-14 $130.86 $127.00 13.2% 3.8% 9.0% 37.2% 12.4% 4.5% -0.5% 40.1M -186.3M -337.7K 0.14 51.94 N/A N/A 262 36 20,511 4,672 2024-10-15 $130.39 $127.00 14.6% 4.2% 9.2% 44.4% 15.6% 4.3% -0.7% 47.3M -172.4M -339.7K 0.30 46.52 N/A N/A 291 86 20,573 4,670 2024-10-16 $131.38 $126.00 13.5% 3.9% 9.4% 38.9% 13.0% 4.8% -0.3% 32.8M -206.6M -316.9K 0.03 57.26 N/A N/A 276 7 20,576 4,700 2024-10-17 $131.43 $126.00 13.3% 3.8% 8.9% 38.1% 12.6% 4.1% -3.0% 24.2M -222.2M -291.8K 0.16 56.69 N/A N/A 510 80 20,653 4,706 2024-10-18 $131.29 $126.00 12.8% 3.7% 8.2% 35.4% 13.9% 3.5% 0.8% 3.8M -227.8M -294.0K 0.01 57.50 N/A N/A 19,230 254 20,758 4,714 2024-10-21 $130.06 $128.00 13.2% 3.8% 9.1% 37.5% 13.6% 3.4% 0.1% 8.8M -90.5M -388.8K 0.73 64.73 N/A N/A 180 131 18,981 3,425 2024-10-22 $130.22 $128.00 13.1% 3.7% 9.1% 36.8% 14.1% 5.8% 0.1% 8.3M -86.3M -375.4K 6.25 68.55 N/A N/A 36 225 19,043 3,537 2024-10-23 $129.69 $129.00 14.5% 4.2% 8.8% 43.8% 14.7% 4.1% -0.1% 8.0M -82.6M -377.7K 0.70 64.25 N/A N/A 109 76 19,069 3,700 2024-10-24 $129.45 $128.00 14.7% 4.2% 8.8% 44.8% 14.1% 4.3% -0.1% 7.6M -80.8M -378.4K 0.51 59.63 N/A N/A 122 62 19,154 3,751 2024-10-25 $128.53 $128.00 14.8% 4.2% 9.2% 45.3% 16.7% 5.1% -0.8% 6.8M -76.6M -349.7K 2.07 65.18 N/A N/A 54 112 19,175 3,771 2024-10-28 $129.38 $128.00 15.6% 4.5% 9.4% 49.1% 13.7% 4.6% -1.6% 7.2M -76.5M -365.9K 0.19 60.13 N/A N/A 148 28 19,169 3,826 2024-10-29 $128.70 $128.00 14.9% 4.3% 9.7% 46.0% 14.5% 4.4% -0.2% 6.8M -74.2M -346.8K 0.53 65.67 N/A N/A 133 71 19,274 3,826 2024-10-30 $128.59 $128.00 15.9% 4.6% 9.7% 50.8% 15.3% 3.9% -1.4% 6.6M -74.8M -350.3K 0.07 73.52 N/A N/A 88 6 19,339 3,871 2024-10-31 $128.15 $128.00 18.3% 5.3% 9.6% 62.7% 19.3% 4.8% -2.1% 6.5M -71.4M -360.2K 1.07 62.63 N/A N/A 57 61 19,363 3,875
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