VYM Options History — November 2018

In November 2018, VYM traded between $82.85 and $86.17. ATM implied volatility averaged 15.7%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 0.2% (HV 20d: 15.4%). Max pain ranged from $83.00 to $86.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2018-11-21: Highest Volume — 844 contracts
  • 2018-11-12: Largest IV spike — 71.2% change
  • 2018-11-05: Highest IV Rank — 55.3%
  • 2018-11-20: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.67$82.85$86.17$83.85$86.17
Max Pain$85.05$83.00$86.00$84.00$85.00
ATM IV15.7%11.0%19.8%15.0%15.3%
Expected Move4.4%3.7%5.2%4.3%4.4%
HV 20d15.4%12.9%17.7%17.3%13.0%
HV 60d12.4%11.8%13.2%11.8%13.2%
IV Rank40.4%23.5%55.3%38.1%39.1%
IV Percentile81.8%60.7%94.8%82.5%79.0%
Term Structure-0.5%-1.7%1.1%-0.2%-1.7%
VWIV15.7%13.4%18.0%16.0%16.1%
Skew 25d5.5%3.5%7.0%6.7%3.5%
Skew 10d10.1%3.8%14.0%11.4%7.5%
Call IV 25d12.7%10.4%16.2%13.4%13.5%
Put IV 25d18.2%15.5%21.3%20.1%17.0%
Bid-Ask Spread %68.9144.2695.7271.5789.88
Gamma HHI0.180.140.200.150.20
Net GEX939.7K560.9K1.3M611.2K1.3M
Net DEX-6.4M-9.2M-3.7M-4.4M-9.2M
Net VEX-38.5K-41.7K-34.6K-36.1K-40.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.200.480.250.47
Total Volume711.762570844571781
Total OI3,443.4762,9953,7112,9953,711

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$83.85$84.0015.0%4.3%17.3%38.1%16.0%6.7%-0.2%611.2K-4.4M-36.1K0.2571.57N/AN/A4561152,292703
2018-11-02$83.61$84.0017.3%5.0%17.3%46.5%17.3%5.2%-1.2%560.9K-3.9M-35.2K0.2772.93N/AN/A4501202,296711
2018-11-05$84.49$83.0019.8%4.5%17.6%55.3%17.1%7.0%0.4%689.8K-5.4M-36.9K0.2044.26N/AN/A6281242,307717
2018-11-06$84.73$84.0017.5%4.1%17.7%47.0%18.0%6.4%0.3%851.6K-6.1M-39.0K0.2255.92N/AN/A6201382,516726
2018-11-07$86.13$84.0013.9%3.8%17.4%33.9%14.7%5.1%-0.9%1.1M-8.6M-41.1K0.3046.22N/AN/A4711412,590763
2018-11-08$85.96$85.0011.0%3.7%14.9%23.5%13.4%4.9%-0.5%1.2M-8.6M-41.2K0.2859.85N/AN/A5221472,629770
2018-11-09$85.95$85.0011.3%3.7%14.8%24.8%15.2%6.0%0.0%1.3M-8.4M-41.7K0.2957.16N/AN/A5391572,722773
2018-11-12$84.91$85.0019.4%4.3%15.6%53.9%16.4%6.9%-0.4%1.1M-7.3M-40.5K0.2855.08N/AN/A5151422,761783
2018-11-13$84.54$85.0015.8%4.3%15.2%40.7%14.9%7.0%-0.8%997.8K-6.3M-39.0K0.3648.33N/AN/A5231862,771786
2018-11-14$84.31$86.0016.3%4.7%15.2%42.6%15.6%6.4%-0.6%948.2K-6.1M-39.7K0.3748.98N/AN/A5121892,814812
2018-11-15$84.71$86.0014.8%4.2%15.1%37.2%15.3%6.2%0.4%1.0M-6.4M-39.7K0.3653.62N/AN/A5381942,807817
2018-11-16$85.40$86.0014.0%4.0%15.4%34.4%14.0%5.1%1.1%1.2M-8.1M-40.9K0.3856.53N/AN/A5041942,799830
2018-11-19$84.75$86.0014.6%4.2%15.4%36.7%15.9%4.7%0.8%923.3K-6.5M-37.9K0.4284.35N/AN/A5182182,660613
2018-11-20$83.65$86.0018.2%5.2%16.0%49.7%16.9%5.1%-0.4%734.7K-4.8M-38.4K0.4775.27N/AN/A5042352,756679
2018-11-21$83.39$86.0017.6%5.0%15.2%47.3%15.5%4.1%-0.6%707.1K-4.4M-34.7K0.3689.70N/AN/A6202242,805705
2018-11-23$82.85$86.0016.2%4.6%15.4%42.2%15.8%4.5%-1.4%638.5K-3.7M-34.6K0.4089.29N/AN/A5622242,824713
2018-11-26$83.80$85.0015.5%4.4%14.8%39.8%14.7%5.3%-0.8%792.4K-4.8M-36.1K0.4279.13N/AN/A5352242,837713
2018-11-27$84.14$85.0014.9%4.3%14.6%37.6%15.0%5.1%-1.0%831.7K-4.9M-35.6K0.4483.41N/AN/A4862122,858711
2018-11-28$85.23$85.0015.3%4.4%13.0%39.1%15.0%4.0%-1.6%1.1M-6.9M-38.3K0.4789.96N/AN/A4652202,891717
2018-11-29$85.58$85.0015.4%4.4%12.9%39.5%16.4%6.2%-1.7%1.2M-8.5M-40.6K0.4895.72N/AN/A5352592,910715
2018-11-30$86.17$85.0015.3%4.4%13.0%39.1%16.1%3.5%-1.7%1.3M-9.2M-40.8K0.4789.88N/AN/A5322492,946765