VYM Options History — November 2016

In November 2016, VYM traded between $69.97 and $74.53. ATM implied volatility averaged 12.6%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 3.6% (HV 20d: 8.9%). Max pain ranged from $70.00 to $72.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.75.

Notable Days

  • 2016-11-01: Highest Volume — 1,104 contracts
  • 2016-11-09: Largest IV drop — 23.2% change
  • 2016-11-04: Highest IV Rank — 67.1%
  • 2016-11-01: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.83$69.97$74.53$70.74$74.37
Max Pain$71.14$70.00$72.00$71.00$72.00
ATM IV12.6%8.3%20.4%17.9%10.2%
Expected Move3.4%2.4%5.1%5.1%2.9%
HV 20d8.9%5.9%9.9%6.2%9.2%
HV 60d10.8%9.9%11.2%9.9%11.1%
IV Rank29.4%8.8%67.1%55.2%18.2%
IV Percentile51.9%7.9%95.6%90.1%34.9%
Term Structure-0.6%-3.9%1.9%-3.9%-1.7%
VWIV12.4%8.7%19.2%17.4%10.0%
Skew 25d4.8%1.2%11.3%6.5%3.8%
Skew 10d9.5%2.5%17.3%11.0%2.5%
Call IV 25d9.4%5.3%15.4%12.3%7.4%
Put IV 25d14.2%9.3%20.0%18.7%11.2%
Bid-Ask Spread %97.2971.48108.4997.39105.22
Gamma HHI0.190.130.280.130.28
Net GEX563.0K75.5K1.0M156.1K939.5K
Net DEX-4.1M-7.5M522.2K-405.7K-7.4M
Net VEX-28.8K-31.0K-24.2K-28.9K-26.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.750.659.833.820.78
Total Volume643.813341,1041,104482
Total OI3,111.6672,7633,4062,7633,310

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$70.74$71.0017.9%5.1%6.2%55.2%17.4%6.5%-3.9%156.1K-405.7K-28.9K3.8297.39N/AN/A2298751,5171,246
2016-11-02$70.45$71.0015.6%4.5%5.9%43.8%19.2%3.3%-0.7%107.4K144.8K-29.8K5.12105.21N/AN/A1718751,5251,264
2016-11-03$70.11$71.0018.5%4.9%6.1%57.9%16.7%5.1%-2.1%107.0K286.6K-28.9K5.2583.67N/AN/A1718981,5551,268
2016-11-04$69.97$71.0020.4%4.7%6.1%67.1%16.9%6.1%-1.5%75.5K522.2K-28.8K9.8371.48N/AN/A989631,5551,295
2016-11-07$71.26$71.0018.7%4.1%9.2%59.2%16.7%8.4%-0.5%127.8K-212.8K-29.5K7.1383.31N/AN/A1279061,5661,390
2016-11-08$71.89$71.0014.4%3.6%8.9%38.4%15.0%11.3%-0.4%259.8K-1.7M-28.4K6.4986.21N/AN/A1388961,5901,389
2016-11-09$72.75$70.0011.1%3.2%9.8%22.3%11.0%5.6%-0.9%426.9K-3.3M-27.8K5.24101.88N/AN/A1648601,6291,388
2016-11-10$72.93$70.0011.5%3.3%9.7%24.1%11.9%6.3%0.7%540.7K-4.1M-29.9K1.0792.72N/AN/A2072211,6931,392
2016-11-11$72.85$70.0011.5%3.3%9.7%24.3%11.8%5.3%-0.5%614.3K-4.1M-30.7K1.5891.86N/AN/A1492361,7681,387
2016-11-14$72.92$71.0012.7%3.7%9.5%30.3%13.9%5.4%-1.3%603.6K-4.3M-30.6K1.5892.01N/AN/A1562461,8071,410
2016-11-15$73.48$71.0012.1%3.5%9.8%27.0%10.4%3.6%0.3%578.9K-5.6M-28.0K0.9695.45N/AN/A2802681,8101,409
2016-11-16$73.28$71.0011.7%3.4%9.9%25.3%11.4%3.7%-0.2%549.3K-5.6M-30.8K1.2298.49N/AN/A2092561,9231,426
2016-11-17$73.47$71.0011.3%3.2%9.7%23.4%11.2%4.1%-0.5%743.9K-5.6M-30.5K1.2998.46N/AN/A1992561,9721,434
2016-11-18$73.49$71.0010.3%3.0%9.7%18.7%10.4%3.3%1.9%562.5K-5.7M-31.0K1.05106.45N/AN/A2702831,9731,433
2016-11-21$73.82$71.009.7%2.8%9.7%15.4%9.1%4.7%-0.8%771.6K-5.2M-28.6K0.94103.53N/AN/A1961841,8141,270
2016-11-22$74.25$72.008.3%2.4%9.7%9.0%8.7%1.2%1.2%995.9K-6.4M-26.9K1.23105.94N/AN/A1501841,8321,284
2016-11-23$74.16$72.009.6%2.7%9.8%14.9%8.7%4.1%-0.6%809.4K-6.4M-28.1K0.65104.66N/AN/A2681741,8561,290
2016-11-25$74.53$72.008.3%2.4%9.8%8.8%9.4%2.8%-0.3%886.6K-6.9M-28.5K0.75106.24N/AN/A2321731,8911,292
2016-11-28$74.30$72.0010.0%2.9%9.8%17.1%9.9%3.2%-0.3%1.0M-7.5M-24.2K0.84104.47N/AN/A2291931,9211,305
2016-11-29$74.35$72.009.9%2.8%9.8%16.5%10.7%2.5%-0.3%924.7K-7.0M-27.7K1.00108.49N/AN/A2242241,9341,332
2016-11-30$74.37$72.0010.2%2.9%9.2%18.2%10.0%3.8%-1.7%939.5K-7.4M-26.7K0.78105.22N/AN/A2712111,9541,356