VYM Options History — November 2019

In November 2019, VYM traded between $90.33 and $92.02. ATM implied volatility averaged 9.3%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 2.9% (HV 20d: 6.4%). Max pain ranged from $87.00 to $90.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2019-11-07: Highest Volume — 359 contracts
  • 2019-11-13: Largest IV spike — 58.5% change
  • 2019-11-07: Highest IV Rank — 26.5%
  • 2019-11-06: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.19$90.33$92.02$90.33$91.74
Max Pain$89.20$87.00$90.00$87.00$90.00
ATM IV9.3%6.8%11.9%9.1%9.6%
Expected Move2.9%2.4%3.2%2.6%2.7%
HV 20d6.4%5.3%10.2%10.2%5.3%
HV 60d11.4%9.7%13.9%13.9%9.7%
IV Rank14.1%2.6%26.5%13.5%15.5%
IV Percentile24.5%1.2%56.0%19.4%30.6%
Term Structure0.6%0.0%2.1%2.1%0.6%
VWIV10.6%7.8%13.5%9.7%10.3%
Skew 25d4.3%3.4%5.3%3.7%3.8%
Skew 10d9.6%8.0%11.2%8.4%10.3%
Call IV 25d8.4%7.3%9.5%7.3%7.9%
Put IV 25d12.7%10.9%13.9%11.0%11.7%
Bid-Ask Spread %76.2966.4594.2494.2480.50
Gamma HHI0.180.170.190.180.18
Net GEX1.8M1.5M2.0M1.6M1.9M
Net DEX-14.0M-16.1M-11.2M-11.8M-14.5M
Net VEX-50.3K-53.6K-46.9K-49.7K-50.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.029.350.220.07
Total Volume148.3528359152324
Total OI4,360.953,8824,5894,0554,589

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$90.33$87.009.1%2.6%10.2%13.5%9.7%3.7%2.1%1.6M-11.8M-49.7K0.2294.24N/AN/A125272,8641,191
2019-11-04$90.69$88.008.3%2.9%10.2%9.7%10.4%4.0%0.6%1.6M-13.2M-49.6K0.0373.32N/AN/A7522,9411,193
2019-11-05$90.96$89.008.2%3.1%7.8%9.2%9.5%4.7%0.3%1.8M-14.1M-49.6K0.9474.37N/AN/A66622,9981,194
2019-11-06$90.91$89.008.5%3.2%7.9%10.5%11.2%5.0%0.1%1.8M-14.1M-49.4K0.2774.03N/AN/A55153,0141,213
2019-11-07$91.16$89.0011.9%3.1%7.8%26.5%11.2%3.7%0.2%1.7M-14.6M-49.0K0.3081.56N/AN/A276833,0361,220
2019-11-08$91.40$89.007.3%3.1%6.4%4.8%9.7%4.5%0.0%1.8M-15.9M-51.3K0.0666.45N/AN/A10463,2151,222
2019-11-11$91.13$89.008.9%3.1%6.0%12.3%10.9%4.1%0.5%2.0M-15.8M-51.5K1.8871.69N/AN/A42793,3081,225
2019-11-12$91.08$89.006.8%3.0%5.6%2.6%13.5%4.0%0.3%2.0M-15.4M-50.7K0.7569.43N/AN/A16123,3141,262
2019-11-13$91.13$89.0010.8%3.1%5.3%21.0%10.8%4.5%0.4%1.9M-15.7M-50.6K0.0272.68N/AN/A29173,3161,261
2019-11-14$90.93$89.0010.3%2.9%5.5%18.8%11.4%4.3%0.8%1.9M-14.8M-50.5K0.4073.88N/AN/A35143,2821,264
2019-11-15$91.31$89.009.8%2.8%5.5%16.6%9.2%4.2%0.8%1.9M-16.1M-48.4K0.0487.22N/AN/A13053,2771,274
2019-11-18$91.41$89.009.8%2.8%5.3%16.8%12.2%4.1%0.8%1.7M-13.5M-46.9K3.0478.80N/AN/A692102,924958
2019-11-19$91.28$89.0010.1%2.9%5.4%18.1%10.0%4.5%0.7%1.6M-12.6M-49.7K0.5181.48N/AN/A172882,9451,168
2019-11-20$90.92$90.0010.1%2.9%5.7%17.8%13.1%5.0%0.3%1.6M-11.2M-51.1K9.3577.47N/AN/A171592,9701,252
2019-11-21$90.98$90.0010.3%3.0%5.6%19.1%10.4%5.3%0.5%1.5M-11.2M-53.6K0.2071.92N/AN/A51102,9831,399
2019-11-22$91.28$90.0010.4%3.0%5.4%19.4%10.6%4.7%0.1%1.6M-12.4M-53.4K0.4069.50N/AN/A55223,0281,409
2019-11-25$91.56$90.008.3%2.4%5.4%9.6%9.6%4.3%0.9%1.8M-13.4M-51.1K0.2370.83N/AN/A3173,0401,417
2019-11-26$91.62$90.008.2%2.4%5.4%9.3%10.2%3.6%0.9%1.9M-13.8M-49.7K0.6474.77N/AN/A55353,0701,419
2019-11-27$92.02$90.008.8%2.5%5.6%11.8%7.8%3.4%0.8%1.9M-15.4M-49.6K0.2181.68N/AN/A112233,1211,443
2019-11-29$91.74$90.009.6%2.7%5.3%15.5%10.3%3.8%0.6%1.9M-14.5M-50.6K0.0780.50N/AN/A303213,1381,451