VYM Options History — November 2007 In November 2007, VYM traded between $49.83 and $53.03. ATM implied volatility averaged 22.7%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.5% (HV 20d: 19.3%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days.
Notable Days 2007-11-12 : Largest IV spike — 100.5% change2007-11-12 : Highest IV Rank — 30.0%2007-11-01 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $51.68 $49.83 $53.03 $53.03 $52.62 Max Pain $55.00 $55.00 $55.00 $55.00 $55.00 ATM IV 22.7% 13.6% 48.9% 22.6% 18.0% Expected Move 4.7% 3.3% 6.5% 6.5% 5.1% HV 20d 19.3% 14.4% 24.3% 14.8% 22.9% HV 60d 16.6% 15.5% 17.8% 16.6% 17.8% IV Rank 9.4% 2.2% 30.0% 9.3% 5.6% IV Percentile 33.3% 1.4% 79.2% 39.7% 24.0% Term Structure -3.6% -9.3% 0.0% -9.3% -1.8% Skew 25d -1.8% -9.5% 2.2% -3.0% 1.7% Skew 10d -2.5% -14.4% 14.8% -9.9% -4.6% Call IV 25d 20.5% 8.6% 31.7% 31.7% 18.7% Put IV 25d 18.8% 10.7% 28.7% 28.7% 20.4% Bid-Ask Spread % 143.43 111.74 159.07 156.77 144.35 Gamma HHI 0.48 0.46 0.51 0.47 0.48 Net GEX 10.2K 4.9K 14.4K 13.5K 12.6K Net DEX -25.0K -71.1K 22.6K -71.1K -44.8K Net VEX -560 -795 -260 -795 -613 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 71 71 71 71 71
Daily Data (21 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 2007-11-01 $53.03 $0.00 22.6% 6.5% 14.8% 9.3% 0.0% -3.0% -9.3% 13.5K -71.1K -795 0.00 156.77 N/A N/A 0 0 61 10 2007-11-02 $52.80 $0.00 19.1% 5.5% 14.4% 6.6% 0.0% 2.2% -6.5% 13.3K -59.9K -753 0.00 111.74 N/A N/A 0 0 61 10 2007-11-05 $52.58 $55.00 16.7% 3.9% 14.4% 4.7% 0.0% -1.7% -1.4% 12.7K -50.5K -697 0.00 134.88 N/A N/A 0 0 61 10 2007-11-06 $53.02 $55.00 27.2% 3.9% 14.6% 12.9% 0.0% 0.0% -1.4% 14.4K -70.9K -770 0.00 154.60 N/A N/A 0 0 61 10 2007-11-07 $51.53 $55.00 29.1% 3.9% 17.3% 14.4% 0.0% -0.3% -3.2% 10.1K -21.4K -567 0.00 153.52 N/A N/A 0 0 61 10 2007-11-08 $51.88 $55.00 30.7% 4.0% 17.7% 15.7% 0.0% 0.0% -1.9% 10.8K -29.6K -601 0.00 153.01 N/A N/A 0 0 61 10 2007-11-09 $51.50 $55.00 24.4% 4.7% 17.7% 10.7% 0.0% 1.8% -2.9% 9.5K -39.0K -654 0.00 113.82 N/A N/A 0 0 61 10 2007-11-12 $51.22 $55.00 48.9% 4.3% 17.7% 30.0% 0.0% -2.6% -2.0% 9.1K -11.7K -505 0.00 122.28 N/A N/A 0 0 61 10 2007-11-13 $52.50 $55.00 45.5% 4.5% 20.2% 27.4% 0.0% 2.2% -4.4% 12.8K -50.1K -687 0.00 148.01 N/A N/A 0 0 61 10 2007-11-14 $52.28 $55.00 24.0% 3.3% 20.2% 10.4% 0.0% -3.7% 0.0% 12.0K -36.5K -645 0.00 145.94 N/A N/A 0 0 61 10 2007-11-15 $51.71 $55.00 15.1% 4.3% 20.4% 3.4% 0.0% 0.1% -4.1% 10.4K -21.4K -574 0.00 154.84 N/A N/A 0 0 61 10 2007-11-16 $51.65 $55.00 13.6% 3.9% 19.0% 2.2% 0.0% 1.3% -1.1% 9.8K -32.1K -605 0.00 118.18 N/A N/A 0 0 61 10 2007-11-19 $50.78 $55.00 16.9% 4.8% 19.6% 4.8% 0.0% -3.0% -4.8% 7.8K 2.3K -437 0.00 151.15 N/A N/A 0 0 61 10 2007-11-20 $51.02 $55.00 15.4% 4.4% 19.7% 3.6% 0.0% -9.5% -1.0% 7.7K 1.6K -448 0.00 133.61 N/A N/A 0 0 61 10 2007-11-21 $50.16 $55.00 17.1% 4.9% 20.4% 5.0% 0.0% -6.1% -3.0% 6.1K 15.3K -330 0.00 149.29 N/A N/A 0 0 61 10 2007-11-23 $50.88 $55.00 17.4% 5.0% 21.2% 5.2% 0.0% -3.1% -4.3% 7.9K 2.3K -414 0.00 153.26 N/A N/A 0 0 61 10 2007-11-26 $49.83 $55.00 18.8% 5.4% 21.5% 6.3% 0.0% -8.4% -5.0% 4.9K 22.6K -260 0.00 144.04 N/A N/A 0 0 61 10 2007-11-27 $50.54 $55.00 18.8% 5.4% 22.3% 6.3% 0.0% -4.9% -5.7% 6.7K 11.2K -349 0.00 151.94 N/A N/A 0 0 61 10 2007-11-28 $51.76 $55.00 18.8% 5.4% 24.3% 6.3% 0.0% 0.1% -5.5% 10.8K -21.5K -523 0.00 157.71 N/A N/A 0 0 61 10 2007-11-29 $51.97 $55.00 19.2% 5.5% 24.3% 6.6% 0.0% 0.1% -5.4% 11.0K -20.6K -526 0.00 159.07 N/A N/A 0 0 61 10 2007-11-30 $52.62 $55.00 18.0% 5.1% 22.9% 5.6% 0.0% 1.7% -1.8% 12.6K -44.8K -613 0.00 144.35 N/A N/A 0 0 61 10
« Oct 2007 | All History | Dec 2007 » Home VYM History November 2007