VYM Options History — November 2013

In November 2013, VYM traded between $60.37 and $61.92. ATM implied volatility averaged 10.6%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 1.3% (HV 20d: 9.2%). Max pain ranged from $59.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.57.

Notable Days

  • 2013-11-25: Highest Volume — 108 contracts
  • 2013-11-07: Largest IV spike — 27.1% change
  • 2013-11-18: Highest IV Rank — 20.4%
  • 2013-11-07: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.26$60.37$61.92$60.41$61.61
Max Pain$59.95$59.00$60.00$59.00$60.00
ATM IV10.6%8.2%11.7%9.7%11.5%
Expected Move3.2%2.8%3.5%2.8%3.3%
HV 20d9.2%8.3%11.2%11.2%8.3%
HV 60d10.3%9.8%11.0%10.6%9.9%
IV Rank16.9%9.6%20.4%14.2%19.8%
IV Percentile51.6%11.9%69.8%34.9%69.0%
Term Structure0.6%-0.5%2.0%2.0%0.3%
VWIV12.0%9.7%15.2%9.7%15.2%
Skew 25d3.6%2.2%4.7%2.9%3.0%
Skew 10d4.5%-0.1%7.3%3.8%3.7%
Call IV 25d9.2%8.1%10.2%8.1%9.7%
Put IV 25d12.8%11.0%14.1%11.0%12.7%
Bid-Ask Spread %37.4823.2675.7723.2631.06
Gamma HHI0.410.270.760.290.42
Net GEX79.6K58.2K195.3K75.2K79.9K
Net DEX-689.3K-1.2M-390.8K-528.7K-673.4K
Net VEX-5.7K-6.5K-5.1K-5.9K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.0012.500.200.17
Total Volume19.3010860
Total OI776.1714868739763

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$60.41$59.009.7%2.8%11.2%14.2%9.7%2.9%2.0%75.2K-528.7K-5.9K0.2023.26N/AN/A51372367
2013-11-04$60.64$60.008.2%3.0%10.6%9.6%9.7%4.7%1.9%85.5K-630.6K-5.8K0.0028.84N/AN/A100377368
2013-11-05$60.46$60.009.6%3.4%10.0%13.9%14.1%3.6%-0.5%82.1K-609.2K-5.7K1.5024.68N/AN/A1015375368
2013-11-06$61.06$60.008.6%3.2%10.2%10.9%12.8%4.3%1.0%76.7K-770.2K-5.5K12.5036.34N/AN/A450375383
2013-11-07$60.37$60.0010.9%3.5%9.5%18.1%0.0%4.0%-0.3%65.4K-390.8K-6.5K6.5029.10N/AN/A213377433
2013-11-08$61.06$60.009.2%3.2%10.0%12.8%12.0%4.3%0.5%64.4K-649.5K-6.3K1.6732.46N/AN/A35377435
2013-11-11$61.03$60.0010.5%3.2%10.1%16.6%11.0%3.5%1.0%67.7K-664.3K-6.1K0.0027.06N/AN/A10380440
2013-11-12$60.91$60.009.0%3.3%9.6%12.2%11.4%4.0%0.5%72.3K-624.4K-6.1K0.0023.89N/AN/A80381440
2013-11-13$61.25$60.0010.1%3.3%9.0%15.4%11.6%4.7%1.0%77.0K-772.9K-6.0K0.0435.05N/AN/A713389440
2013-11-14$61.42$60.0011.5%3.3%8.6%19.7%0.0%3.9%0.8%195.3K-1.1M-5.7K0.0040.68N/AN/A110433435
2013-11-15$61.73$60.0011.3%3.2%8.6%19.1%0.0%3.7%0.8%90.1K-1.2M-5.6K0.0033.25N/AN/A01432435
2013-11-18$61.64$60.0011.7%3.4%8.7%20.4%12.1%3.8%-0.1%59.5K-581.2K-5.3K0.5026.22N/AN/A21326388
2013-11-19$61.56$60.0011.6%3.3%8.6%20.0%0.0%3.9%0.6%58.2K-538.8K-5.5K0.0025.17N/AN/A330327389
2013-11-20$61.31$60.0011.5%3.3%8.6%19.8%0.0%2.9%0.6%69.4K-550.3K-5.8K0.0032.31N/AN/A05357389
2013-11-21$61.70$60.0011.6%3.3%8.8%20.2%0.0%3.4%0.2%66.9K-625.4K-5.9K0.4232.56N/AN/A125357394
2013-11-22$61.92$60.0010.9%3.1%8.7%17.9%0.0%3.2%0.7%84.0K-826.0K-5.1K0.0062.73N/AN/A00357397
2013-11-25$61.82$60.0011.3%3.2%8.7%19.1%0.0%2.9%-0.3%73.4K-722.9K-5.5K0.0175.77N/AN/A1071357397
2013-11-26$61.64$60.0011.5%3.3%8.7%19.7%0.0%2.2%0.0%73.8K-680.9K-5.5K0.0060.86N/AN/A00358398
2013-11-27$61.67$60.0011.1%3.2%8.4%18.6%15.2%3.0%0.6%76.0K-669.2K-5.5K0.1768.33N/AN/A61358398
2013-11-29$61.61$60.0011.5%3.3%8.3%19.8%0.0%3.0%0.3%79.9K-673.4K-5.5K0.0031.06N/AN/A00364399