VYM Options History — November 2011

In November 2011, VYM traded between $41.38 and $44.52. ATM implied volatility averaged 29.9%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 6.6% (HV 20d: 23.3%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.66.

Notable Days

  • 2011-11-21: Highest Volume — 145 contracts
  • 2011-11-08: Largest IV spike — 267.8% change
  • 2011-11-08: Highest IV Rank — 50.6%
  • 2011-11-29: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.25$41.38$44.52$42.72$44.23
Max Pain$43.76$43.00$44.00$43.00$43.00
ATM IV29.9%18.9%80.7%24.7%18.9%
Expected Move8.0%5.4%18.7%7.1%5.4%
HV 20d23.3%21.1%25.1%22.3%25.1%
HV 60d24.3%23.0%27.5%27.5%24.5%
IV Rank16.9%9.6%50.6%13.4%9.6%
IV Percentile59.0%43.7%92.1%57.5%43.7%
Term Structure-1.5%-28.1%16.3%-1.3%1.6%
VWIV21.7%16.1%27.6%27.6%16.1%
Skew 25d5.8%-23.1%58.7%8.7%8.0%
Skew 10d12.1%-20.3%23.1%23.1%7.1%
Call IV 25d27.9%14.1%78.3%21.8%14.1%
Put IV 25d33.7%17.8%76.3%30.5%22.1%
Bid-Ask Spread %88.1937.89177.0749.7453.34
Gamma HHI0.420.190.660.520.28
Net GEX60.3K-29.2K167.9K58.3K39.7K
Net DEX-328.1K-821.4K161.3K-254.1K-234.5K
Net VEX-1.4K-1.7K-789-1.3K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.660.0022.503.000.08
Total Volume21.5710145868
Total OI396213502338363

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$42.72$43.0024.7%7.1%22.3%13.4%27.6%8.7%-1.3%58.3K-254.1K-1.3K3.0049.74N/AN/A2628850
2011-11-02$43.29$43.0024.0%6.9%22.2%13.0%0.0%6.6%-1.5%66.1K-352.5K-1.4K0.0056.22N/AN/A27028856
2011-11-03$43.97$43.0041.4%11.9%22.5%24.5%0.0%58.7%4.7%104.5K-581.8K-1.6K0.00174.36N/AN/A10031556
2011-11-04$43.73$44.0019.6%5.6%22.7%10.0%0.0%6.9%1.0%96.4K-500.9K-1.5K0.0045.85N/AN/A0732556
2011-11-07$44.07$44.0021.9%7.6%21.1%11.6%17.0%-17.9%4.6%57.2K-640.2K-1.6K0.11177.07N/AN/A44532558
2011-11-08$44.52$44.0080.7%7.9%21.2%50.6%0.0%-23.1%16.3%75.5K-790.5K-1.7K0.00174.18N/AN/A0036953
2011-11-09$43.20$44.0035.4%12.9%24.1%20.5%16.3%3.3%-13.5%79.3K-512.3K-1.6K22.50166.94N/AN/A24536953
2011-11-10$43.67$44.0021.8%6.2%24.3%11.5%0.0%9.1%0.2%117.8K-541.7K-1.6K0.0044.20N/AN/A0037184
2011-11-11$44.38$44.0020.9%6.0%24.6%10.9%19.5%9.2%0.6%132.5K-821.4K-1.6K0.0052.61N/AN/A1037184
2011-11-14$44.00$44.0033.7%9.7%24.2%19.4%18.5%3.6%-0.2%70.5K-663.6K-1.5K0.00166.54N/AN/A01037284
2011-11-15$44.14$44.0021.6%6.2%23.6%11.4%0.0%7.7%0.6%167.9K-752.7K-1.4K0.0053.84N/AN/A0037294
2011-11-16$43.54$44.0022.9%6.6%24.1%12.2%26.4%7.3%-1.0%161.7K-431.0K-1.2K5.4346.59N/AN/A73837294
2011-11-17$43.10$44.0024.1%6.9%24.3%13.0%22.0%9.1%0.9%58.3K-130.4K-1.1K0.0042.60N/AN/A280370132
2011-11-18$43.11$44.0023.0%6.6%23.5%12.3%24.3%5.5%1.4%-29.2K-92.2K-9640.0048.02N/AN/A10350132
2011-11-21$42.42$44.0024.3%7.0%24.0%13.1%25.6%6.7%0.3%5.6K29.7K-7890.7741.99N/AN/A826313578
2011-11-22$42.22$44.0023.3%6.7%23.5%12.5%0.0%7.4%1.0%1.1K70.0K-1.5K0.0044.14N/AN/A00215141
2011-11-23$41.45$44.0025.3%7.2%23.9%13.8%25.2%6.7%0.0%-7.9K161.3K-1.3K0.0037.89N/AN/A05215141
2011-11-25$41.38$44.0031.2%9.0%21.6%17.7%0.0%2.8%-18.4%2.0K86.3K-1.6K0.00166.84N/AN/A00215146
2011-11-28$42.38$44.0024.0%6.9%23.8%13.0%21.6%5.9%-1.1%-1.1K71.1K-1.3K0.0046.31N/AN/A20215146
2011-11-29$42.67$43.0065.2%18.7%23.0%40.3%0.0%-9.6%-28.1%9.2K-8.0K-1.5K0.00162.67N/AN/A00217146
2011-11-30$44.23$43.0018.9%5.4%25.1%9.6%16.1%8.0%1.6%39.7K-234.5K-1.4K0.0853.34N/AN/A635217146