VYM Options History — November 2014

In November 2014, VYM traded between $68.08 and $70.27. ATM implied volatility averaged 8.7%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 0.4% (HV 20d: 9.2%). Max pain ranged from $64.00 to $65.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.65.

Notable Days

2014-11-04: Highest Volume — 400 contracts
2014-11-13: Largest IV spike — 38.3% change
2014-11-04: Highest IV Rank — 18.1%
2014-11-04: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.28	$68.08	$70.27	$68.15	$70.11
Max Pain	$64.63	$64.00	$65.00	$64.00	$65.00
ATM IV	8.7%	7.0%	10.9%	10.6%	9.8%
Expected Move	3.3%	3.0%	3.7%	3.6%	3.3%
HV 20d	9.2%	4.8%	17.3%	17.3%	4.9%
HV 60d	12.0%	11.9%	12.1%	12.1%	11.9%
IV Rank	9.0%	1.4%	18.1%	16.9%	13.6%
IV Percentile	29.9%	1.6%	65.9%	63.1%	51.6%
Term Structure	-0.2%	-1.3%	1.4%	-1.3%	-0.4%
VWIV	13.6%	11.1%	14.6%	13.9%	12.9%
Skew 25d	27.9%	2.5%	42.6%	3.3%	40.6%
Skew 10d	39.7%	2.5%	63.7%	10.0%	63.7%
Call IV 25d	10.0%	7.7%	12.8%	9.5%	11.0%
Put IV 25d	37.9%	10.9%	52.0%	12.8%	51.7%
Bid-Ask Spread %	69.58	61.49	76.76	63.35	75.02
Gamma HHI	0.22	0.17	0.26	0.20	0.25
Net GEX	272.6K	149.3K	402.1K	348.1K	169.3K
Net DEX	-3.2M	-4.1M	-2.1M	-2.6M	-2.1M
Net VEX	-9.8K	-12.4K	-8.3K	-12.4K	-8.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.65	0.23	15.00	0.44	15.00
Total Volume	226.105	0	400	397	7
Total OI	1,258.158	965	1,369	1,302	965

Daily Data (19 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
2014-11-03	$68.15	$64.00	10.6%	3.6%	17.3%	16.9%	13.9%	3.3%	-1.3%	348.1K	-2.6M	-12.4K	0.44	63.35	N/A	N/A	275	122	821	481
2014-11-04	$68.08	$64.00	10.9%	3.7%	16.4%	18.1%	13.9%	3.2%	-1.0%	347.6K	-2.6M	-12.0K	0.45	64.46	N/A	N/A	276	124	821	481
2014-11-05	$68.52	$64.00	7.7%	3.6%	15.5%	4.4%	13.9%	2.5%	1.0%	402.1K	-3.0M	-11.5K	0.51	65.57	N/A	N/A	249	126	818	486
2014-11-06	$68.68	$64.00	7.9%	3.6%	13.6%	5.4%	14.6%	4.1%	1.4%	350.4K	-3.1M	-11.3K	0.62	61.49	N/A	N/A	202	125	819	491
2014-11-07	$68.82	$64.00	7.9%	3.5%	12.9%	5.4%	14.3%	35.9%	0.1%	321.0K	-3.4M	-10.5K	0.51	65.03	N/A	N/A	202	102	817	484
2014-11-10	$68.96	$64.00	7.0%	3.5%	11.4%	1.5%	14.1%	37.9%	-0.1%	382.0K	-3.5M	-10.1K	0.62	72.77	N/A	N/A	202	125	817	484
2014-11-11	$69.00	$65.00	7.1%	3.4%	11.2%	2.0%	13.6%	39.4%	-0.4%	373.7K	-3.8M	-9.5K	0.57	66.05	N/A	N/A	252	143	829	488
2014-11-12	$69.05	$64.00	7.0%	3.0%	8.5%	1.4%	13.6%	40.1%	-0.2%	339.1K	-3.7M	-9.8K	0.56	66.64	N/A	N/A	250	139	830	529
2014-11-13	$69.08	$65.00	9.6%	3.1%	8.2%	12.6%	14.1%	39.8%	0.1%	308.7K	-3.6M	-10.0K	0.50	63.41	N/A	N/A	226	114	830	539
2014-11-14	$69.21	$65.00	8.3%	3.1%	7.8%	7.0%	0.0%	5.6%	-0.2%	230.6K	-3.6M	-10.0K	0.00	72.05	N/A	N/A	0	0	822	532
2014-11-17	$69.33	$65.00	8.6%	3.1%	7.5%	8.2%	14.1%	42.6%	0.3%	269.1K	-3.7M	-9.4K	0.52	70.18	N/A	N/A	210	110	822	532
2014-11-18	$69.66	$65.00	9.8%	3.1%	6.3%	13.4%	14.3%	3.8%	-1.2%	231.0K	-3.9M	-9.3K	0.53	68.06	N/A	N/A	206	110	824	533
2014-11-19	$69.57	$65.00	9.5%	3.2%	6.2%	12.3%	11.2%	40.9%	-0.8%	256.2K	-3.9M	-9.1K	3.00	74.33	N/A	N/A	1	3	825	533
2014-11-20	$69.72	$65.00	9.1%	3.1%	5.9%	10.3%	13.3%	38.0%	-0.5%	214.0K	-3.8M	-9.2K	0.23	74.12	N/A	N/A	92	21	824	518
2014-11-21	$70.00	$65.00	9.4%	3.1%	5.5%	11.8%	13.5%	37.9%	-0.9%	161.3K	-4.1M	-8.6K	0.44	71.88	N/A	N/A	82	36	824	519
2014-11-24	$70.12	$65.00	8.8%	3.1%	5.4%	9.3%	14.3%	38.3%	0.1%	158.4K	-2.2M	-8.3K	0.00	76.76	N/A	N/A	0	10	537	439
2014-11-25	$70.03	$65.00	8.6%	3.1%	4.8%	8.5%	13.3%	39.6%	0.1%	149.3K	-2.1M	-8.5K	1.96	74.15	N/A	N/A	25	49	537	448
2014-11-26	$70.27	$65.00	8.5%	3.1%	4.8%	7.9%	11.1%	36.5%	0.4%	167.1K	-2.1M	-8.8K	15.00	76.71	N/A	N/A	5	75	548	458
2014-11-28	$70.11	$65.00	9.8%	3.3%	4.9%	13.6%	12.9%	40.6%	-0.4%	169.3K	-2.1M	-8.6K	0.00	75.02	N/A	N/A	0	7	543	422