VYM Options History — November 2017

In November 2017, VYM traded between $82.09 and $85.05. ATM implied volatility averaged 7.1%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 2.5% (HV 20d: 4.6%). Max pain ranged from $82.00 to $83.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2017-11-30: Highest Volume — 769 contracts
  • 2017-11-30: Largest IV spike — 24.2% change
  • 2017-11-15: Highest IV Rank — 63.0%
  • 2017-11-15: Largest Expected Move — 2.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.96$82.09$85.05$82.66$85.05
Max Pain$82.95$82.00$83.00$82.00$83.00
ATM IV7.1%5.4%9.4%6.7%8.7%
Expected Move2.1%1.8%2.7%1.9%2.5%
HV 20d4.6%3.8%6.3%4.5%6.3%
HV 60d5.4%4.9%6.2%6.2%5.4%
IV Rank34.2%9.9%63.0%18.2%54.5%
IV Percentile31.2%2.4%80.2%20.2%69.4%
Term Structure0.5%-1.2%1.4%1.4%-1.2%
VWIV8.1%5.5%10.0%7.3%9.4%
Skew 25d3.7%1.1%5.3%1.2%1.1%
Skew 10d7.2%1.7%9.8%5.9%1.7%
Call IV 25d6.1%4.0%8.5%8.1%8.5%
Put IV 25d9.7%7.3%12.5%9.3%9.6%
Bid-Ask Spread %59.8228.3196.6896.6862.20
Gamma HHI0.250.160.370.250.19
Net GEX768.2K491.3K1.0M685.7K562.9K
Net DEX-5.9M-8.9M-4.6M-5.8M-8.9M
Net VEX-22.6K-24.0K-20.8K-23.0K-21.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.480.970.900.48
Total Volume596.81491769491769
Total OI1,847.191,6601,9671,7561,967

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$82.66$82.006.7%1.9%4.5%18.2%7.3%1.2%1.4%685.7K-5.8M-23.0K0.9096.68N/AN/A2582331,299457
2017-11-02$82.77$83.006.4%2.2%4.3%16.0%8.4%5.0%0.2%778.2K-5.8M-22.6K0.9082.32N/AN/A2692431,311457
2017-11-03$82.78$83.005.4%2.1%4.2%10.4%8.1%3.5%-0.2%909.0K-6.1M-22.0K0.9479.58N/AN/A2722561,320469
2017-11-06$82.70$83.005.4%2.0%4.2%9.9%7.8%3.5%0.3%979.7K-5.9M-22.1K0.9344.49N/AN/A2662471,330469
2017-11-07$82.69$83.006.4%2.2%3.8%18.2%9.0%3.8%0.3%907.6K-5.6M-22.4K0.9638.11N/AN/A2602501,334472
2017-11-08$82.84$83.007.4%2.1%3.8%34.6%8.1%5.2%1.4%1.0M-6.0M-22.1K0.9379.33N/AN/A2852641,338476
2017-11-09$82.63$83.008.0%2.3%3.9%47.1%10.0%4.1%0.5%775.9K-5.5M-23.0K0.9783.59N/AN/A2682611,364503
2017-11-10$82.51$83.007.7%2.2%4.0%43.6%8.9%4.7%0.7%811.7K-5.3M-23.4K0.9678.98N/AN/A2682561,361524
2017-11-13$82.60$83.007.6%2.2%4.0%42.7%9.1%4.6%0.7%952.7K-5.2M-22.9K0.9235.44N/AN/A2762551,361525
2017-11-14$82.53$83.008.5%2.4%4.0%53.0%9.2%3.0%-0.1%942.8K-5.1M-22.6K0.9161.55N/AN/A2862601,370524
2017-11-15$82.09$83.009.4%2.7%4.4%63.0%9.0%5.3%0.5%797.8K-4.6M-22.5K0.8770.07N/AN/A3062671,365533
2017-11-16$82.69$83.007.2%2.1%5.1%39.0%8.2%3.3%0.3%980.7K-5.6M-21.7K0.8348.64N/AN/A3212671,365544
2017-11-17$82.46$83.008.1%2.3%4.9%48.8%7.9%4.6%0.8%491.3K-5.0M-21.8K0.8453.51N/AN/A3072581,373529
2017-11-20$82.61$83.006.6%1.9%4.9%31.3%7.3%4.5%0.7%521.1K-5.1M-20.8K0.7646.30N/AN/A2992271,189471
2017-11-21$82.96$83.006.2%1.8%5.2%27.0%6.7%2.6%0.9%593.0K-5.8M-22.7K0.5044.63N/AN/A4552271,287482
2017-11-22$82.92$83.006.1%1.8%4.7%26.8%5.8%4.4%1.3%696.7K-5.9M-24.0K0.5558.98N/AN/A4562531,377482
2017-11-24$83.02$83.006.3%1.8%4.6%29.1%5.5%4.1%1.0%724.4K-6.2M-23.9K0.5688.84N/AN/A4552531,378495
2017-11-27$83.07$83.006.9%2.0%4.6%35.3%7.1%2.8%0.7%729.3K-6.0M-23.7K0.5434.20N/AN/A4482431,379495
2017-11-28$84.04$83.006.7%1.9%5.8%33.3%8.8%3.2%0.7%673.1K-7.2M-22.8K0.5140.39N/AN/A4782451,382505
2017-11-29$84.53$83.007.0%2.0%6.0%35.9%8.1%3.0%-0.3%601.8K-8.1M-22.8K0.4828.31N/AN/A5172491,427502
2017-11-30$85.05$83.008.7%2.5%6.3%54.5%9.4%1.1%-1.2%562.9K-8.9M-21.8K0.4862.20N/AN/A5202491,465502