VYM Options History — November 2015

In November 2015, VYM traded between $66.30 and $68.61. ATM implied volatility averaged 12.6%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 0.4% (HV 20d: 12.1%). Max pain ranged from $65.00 to $68.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.98.

Notable Days

2015-11-04: Highest Volume — 448 contracts
2015-11-04: Largest IV spike — 39.6% change
2015-11-13: Highest IV Rank — 40.1%
2015-11-13: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.90	$66.30	$68.61	$68.59	$68.07
Max Pain	$67.05	$65.00	$68.00	$65.00	$68.00
ATM IV	12.6%	8.8%	14.9%	8.8%	12.8%
Expected Move	3.6%	2.5%	4.3%	2.5%	3.7%
HV 20d	12.1%	10.9%	14.0%	11.4%	11.2%
HV 60d	19.3%	15.7%	20.8%	20.4%	15.7%
IV Rank	29.4%	12.5%	40.1%	12.5%	30.6%
IV Percentile	64.6%	16.3%	83.7%	16.3%	68.3%
Term Structure	0.1%	-1.3%	2.4%	2.4%	-1.3%
VWIV	13.3%	10.4%	17.5%	14.4%	12.1%
Skew 25d	6.0%	2.5%	7.7%	6.9%	6.5%
Skew 10d	8.7%	4.8%	15.1%	9.9%	8.1%
Call IV 25d	9.8%	7.4%	13.3%	7.5%	10.7%
Put IV 25d	15.7%	13.5%	17.3%	14.4%	17.2%
Bid-Ask Spread %	102.16	88.46	124.34	112.95	124.34
Gamma HHI	0.19	0.16	0.22	0.21	0.19
Net GEX	239.4K	184.0K	320.9K	227.1K	220.2K
Net DEX	-2.1M	-2.8M	-1.2M	-2.6M	-1.7M
Net VEX	-11.3K	-12.6K	-9.2K	-12.3K	-11.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.10	5.00	0.44	5.00
Total Volume	287.842	6	448	397	6
Total OI	1,324.632	1,206	1,397	1,290	1,331

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
2015-11-02	$68.59	$65.00	8.8%	2.5%	11.4%	12.5%	14.4%	6.9%	2.4%	227.1K	-2.6M	-12.3K	0.44	112.95	N/A	N/A	275	122	811	479
2015-11-04	$68.61	$65.00	12.3%	3.5%	11.4%	28.4%	13.5%	2.5%	0.2%	266.8K	-2.8M	-12.6K	0.45	113.47	N/A	N/A	309	139	858	479
2015-11-05	$68.49	$67.00	12.9%	3.8%	11.3%	30.8%	13.1%	6.6%	-0.3%	313.2K	-2.7M	-12.2K	0.45	92.91	N/A	N/A	309	139	858	447
2015-11-06	$68.35	$67.00	11.2%	3.4%	10.9%	23.0%	0.0%	6.8%	1.4%	320.9K	-2.8M	-11.3K	1.00	104.28	N/A	N/A	3	3	861	446
2015-11-09	$67.67	$67.00	13.3%	3.6%	11.6%	32.6%	17.5%	5.4%	0.1%	261.2K	-2.1M	-12.1K	0.30	93.57	N/A	N/A	10	3	858	447
2015-11-10	$67.78	$67.00	13.0%	3.6%	11.6%	31.4%	11.6%	6.6%	0.5%	270.8K	-2.1M	-11.8K	0.36	90.16	N/A	N/A	307	111	856	448
2015-11-11	$67.97	$67.00	11.4%	3.3%	11.4%	24.1%	11.8%	6.9%	-0.5%	317.8K	-2.3M	-10.9K	0.36	89.42	N/A	N/A	307	111	856	453
2015-11-12	$66.80	$67.00	13.7%	3.9%	13.1%	34.3%	13.3%	5.3%	-0.3%	238.7K	-1.6M	-11.1K	0.45	92.53	N/A	N/A	308	139	855	453
2015-11-13	$66.30	$67.00	14.9%	4.3%	12.5%	40.1%	13.0%	4.0%	0.1%	205.5K	-1.2M	-11.5K	0.41	107.75	N/A	N/A	298	122	857	488
2015-11-16	$67.31	$67.00	13.5%	3.9%	13.5%	33.8%	12.9%	7.0%	-0.3%	207.8K	-1.4M	-10.8K	3.40	102.51	N/A	N/A	10	34	850	501
2015-11-17	$67.18	$67.00	14.8%	4.2%	13.4%	39.4%	15.2%	5.8%	-1.0%	208.5K	-1.6M	-11.5K	0.54	98.31	N/A	N/A	286	153	851	529
2015-11-18	$68.00	$67.00	11.6%	3.3%	14.0%	25.2%	13.1%	4.4%	-0.1%	256.6K	-2.5M	-9.2K	0.55	104.49	N/A	N/A	286	158	852	529
2015-11-19	$68.12	$67.00	13.2%	3.8%	13.9%	32.2%	14.0%	6.7%	0.2%	209.4K	-2.3M	-11.5K	0.99	88.46	N/A	N/A	162	160	853	534
2015-11-20	$68.12	$67.00	13.4%	3.8%	12.5%	33.1%	13.8%	7.7%	-0.2%	187.5K	-2.5M	-11.5K	0.91	104.86	N/A	N/A	202	183	863	534
2015-11-23	$68.08	$68.00	11.8%	3.4%	11.9%	25.7%	13.0%	5.4%	0.7%	184.0K	-1.6M	-11.3K	1.32	107.42	N/A	N/A	31	41	731	475
2015-11-24	$68.31	$68.00	12.6%	3.6%	11.9%	29.4%	10.4%	5.8%	1.1%	212.7K	-1.9M	-10.2K	0.10	99.74	N/A	N/A	59	6	762	506
2015-11-25	$68.16	$68.00	12.4%	3.6%	11.8%	28.9%	14.9%	7.6%	-0.4%	205.8K	-1.7M	-12.1K	0.79	107.63	N/A	N/A	192	151	821	507
2015-11-27	$68.26	$68.00	11.4%	3.3%	11.2%	24.0%	12.1%	5.3%	-0.4%	233.3K	-2.1M	-9.9K	0.83	106.26	N/A	N/A	183	151	821	508
2015-11-30	$68.07	$68.00	12.8%	3.7%	11.2%	30.6%	12.1%	6.5%	-1.3%	220.2K	-1.7M	-11.3K	5.00	124.34	N/A	N/A	1	5	823	508