VYM Options History — November 2012

In November 2012, VYM traded between $47.69 and $50.30. ATM implied volatility averaged 12.9%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 0.0% (HV 20d: 12.9%). Max pain ranged from $48.00 to $52.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 90.11.

Notable Days

  • 2012-11-09: Highest Volume — 5,572 contracts
  • 2012-11-14: Largest IV spike — 36.7% change
  • 2012-11-15: Highest IV Rank — 18.1%
  • 2012-11-15: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.06$47.69$50.30$50.30$49.73
Max Pain$49.24$48.00$52.00$52.00$48.00
ATM IV12.9%9.8%17.7%13.4%12.2%
Expected Move3.8%3.2%5.1%3.8%3.5%
HV 20d12.9%10.7%14.1%10.8%13.6%
HV 60d10.5%8.8%11.4%8.8%11.3%
IV Rank9.1%4.6%18.1%8.5%8.7%
IV Percentile55.0%19.0%89.3%64.3%54.8%
Term Structure-0.7%-4.3%1.0%0.6%-0.6%
VWIV13.6%9.3%17.6%12.3%11.9%
Skew 25d4.7%2.2%9.5%2.2%4.5%
Skew 10d4.4%0.4%11.2%1.9%3.8%
Call IV 25d10.4%8.1%12.7%10.1%9.3%
Put IV 25d15.1%12.3%18.8%12.3%13.8%
Bid-Ask Spread %71.6654.88110.60107.8969.13
Gamma HHI0.540.330.880.860.48
Net GEX-2.2M-4.1M-1.6M-1.6M-1.6M
Net DEX13.0M3.0M28.4M4.2M3.0M
Net VEX-27.7K-40.1K-12.5K-14.2K-21.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio90.110.00628.50628.500.08
Total Volume654.52405,57202
Total OI6,579.5712,77410,1322,7746,646

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$50.30$52.0013.4%3.8%10.8%8.5%0.0%2.2%0.6%-1.6M4.2M-14.2K0.00107.89N/AN/A003632,411
2012-11-02$49.87$52.0012.6%3.6%11.2%7.3%12.3%3.4%1.0%-1.7M5.5M-14.0K0.00110.60N/AN/A093632,411
2012-11-05$49.86$50.0012.3%3.8%10.7%7.0%0.0%3.7%-0.6%-1.9M5.6M-12.9K0.0056.09N/AN/A003632,417
2012-11-06$50.26$50.0014.8%3.9%11.1%10.4%16.4%6.1%-0.7%-1.7M4.2M-12.5K0.0063.41N/AN/A04,8083632,417
2012-11-07$49.21$50.0014.4%4.2%13.2%9.8%13.0%6.2%-1.0%-4.1M21.7M-31.0K0.0063.06N/AN/A01,2623637,212
2012-11-08$48.72$50.0012.9%3.8%13.3%7.8%9.3%3.4%0.2%-2.4M21.4M-24.3K628.5067.78N/AN/A21,2573636,266
2012-11-09$48.70$50.0012.1%4.0%13.1%6.7%16.3%4.0%-0.5%-1.8M17.0M-21.9K0.0059.26N/AN/A05,5723615,221
2012-11-12$48.62$50.009.8%3.8%13.1%4.6%0.0%3.5%-0.6%-2.7M27.4M-39.6K0.0063.35N/AN/A003619,771
2012-11-13$48.48$50.0010.7%4.0%13.1%6.1%14.0%2.9%-0.5%-2.5M28.4M-38.9K0.0061.94N/AN/A04003619,771
2012-11-14$47.82$50.0014.7%3.9%13.2%12.9%0.0%5.0%-0.3%-2.5M27.5M-40.1K1.3462.60N/AN/A41553618,896
2012-11-15$47.69$50.0017.7%5.1%12.6%18.1%17.6%9.3%-3.6%-2.0M27.7M-39.7K0.0597.86N/AN/A5834028,895
2012-11-16$47.90$48.0016.1%4.6%12.5%15.3%0.0%6.2%-1.9%-2.1M26.4M-39.4K0.0099.00N/AN/A01504138,848
2012-11-19$48.63$48.0011.4%3.3%14.1%7.3%0.0%5.1%-0.1%-2.6M9.7M-35.2K0.0058.39N/AN/A1204096,133
2012-11-20$48.69$48.0011.3%3.2%13.3%7.1%0.0%4.9%-1.6%-2.6M9.3M-34.8K0.0064.20N/AN/A004216,133
2012-11-21$48.84$48.0011.2%3.2%13.4%7.0%0.0%5.4%0.4%-2.5M8.3M-32.9K0.7963.49N/AN/A14114216,133
2012-11-23$49.45$48.0011.6%3.3%13.6%7.6%0.0%3.0%-0.4%-2.0M5.3M-28.0K0.0059.45N/AN/A704356,144
2012-11-26$49.32$48.0012.1%3.5%13.6%8.4%11.9%2.8%-0.8%-2.1M5.5M-26.5K0.0057.78N/AN/A084426,144
2012-11-27$49.10$48.0016.1%4.6%13.5%15.4%0.0%9.5%-4.3%-2.0M8.0M-30.7K0.00106.28N/AN/A004426,136
2012-11-28$49.51$48.0011.6%3.3%13.9%7.5%0.0%3.3%-0.4%-1.9M4.1M-22.8K0.0054.88N/AN/A044426,136
2012-11-29$49.64$48.0011.1%3.2%14.0%6.7%11.9%3.5%-0.1%-1.7M3.2M-20.4K0.0858.36N/AN/A6554426,139
2012-11-30$49.73$48.0012.2%3.5%13.6%8.7%0.0%4.5%-0.6%-1.6M3.0M-21.1K0.0069.13N/AN/A025076,139