VYM Options History — November 2020

In November 2020, VYM traded between $80.83 and $90.94. ATM implied volatility averaged 18.3%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 6.4% (HV 20d: 24.6%). Max pain ranged from $81.00 to $85.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.45.

Notable Days

  • 2020-11-09: Highest Volume — 3,249 contracts
  • 2020-11-06: Largest IV drop — 20.2% change
  • 2020-11-02: Highest IV Rank — 32.9%
  • 2020-11-02: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.09$80.83$90.94$80.83$89.17
Max Pain$83.90$81.00$85.00$81.00$85.00
ATM IV18.3%13.9%30.8%30.8%15.3%
Expected Move5.2%4.0%8.8%8.8%4.4%
HV 20d24.6%19.6%27.8%19.6%24.0%
HV 60d21.2%18.6%22.5%18.6%21.7%
IV Rank15.8%9.9%32.9%32.9%11.7%
IV Percentile36.2%21.4%82.9%82.9%23.8%
Term Structure-0.2%-3.1%1.6%-3.1%-0.6%
VWIV18.5%12.8%28.8%28.8%15.1%
Skew 25d6.6%4.0%10.5%10.4%4.3%
Skew 10d12.8%8.0%18.6%17.9%8.0%
Call IV 25d15.6%12.3%25.8%25.8%13.6%
Put IV 25d22.2%16.7%36.2%36.2%17.9%
Bid-Ask Spread %43.2917.4271.9840.5071.98
Gamma HHI0.170.130.620.130.14
Net GEX3.7M1.3M11.7M1.3M3.4M
Net DEX-38.6M-56.4M-6.8M-6.8M-39.0M
Net VEX-117.1K-127.6K-103.9K-122.7K-123.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.080.950.090.41
Total Volume995.351843,249838493
Total OI14,946.212,02516,78014,46814,443

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$80.83$81.0030.8%8.8%19.6%32.9%28.8%10.4%-3.1%1.3M-6.8M-122.7K0.0940.50N/AN/A768709,2485,220
2020-11-03$82.60$81.0027.2%7.8%21.0%28.0%27.9%10.5%-2.2%2.0M-14.3M-127.6K0.5852.70N/AN/A2341359,2485,220
2020-11-04$82.27$81.0023.6%6.8%20.2%23.0%24.6%8.1%-1.5%2.2M-13.4M-123.5K0.1659.53N/AN/A7141149,7215,209
2020-11-05$83.44$83.0022.4%6.1%20.5%21.5%19.3%7.6%-0.1%2.9M-20.0M-124.9K0.2150.44N/AN/A455969,4175,220
2020-11-06$83.51$83.0017.9%5.3%20.5%15.3%24.8%8.6%0.4%3.2M-20.0M-117.9K0.9549.63N/AN/A1661589,6155,232
2020-11-09$87.35$83.0018.5%5.2%25.9%16.1%19.1%6.1%-0.0%3.9M-45.6M-119.2K0.7560.33N/AN/A1,8551,3949,6345,251
2020-11-10$87.83$83.0018.6%5.2%25.6%16.3%18.4%7.2%-0.3%3.4M-46.1M-119.1K0.4132.51N/AN/A4561859,7205,524
2020-11-11$87.48$83.0017.8%5.1%25.6%15.1%17.8%6.2%-0.5%3.8M-44.7M-116.2K0.8054.86N/AN/A5664509,7535,495
2020-11-12$85.96$85.0019.0%5.4%26.6%16.8%20.2%8.0%-0.6%3.8M-33.3M-122.1K0.8945.58N/AN/A5424819,9035,758
2020-11-13$88.03$85.0016.4%4.7%27.8%13.3%16.7%7.4%-0.2%3.8M-48.7M-116.0K0.1934.99N/AN/A5279810,0295,668
2020-11-16$89.16$85.0016.4%4.7%27.3%13.3%16.8%6.2%-0.1%3.2M-56.4M-103.9K0.1061.53N/AN/A1,42213710,1625,645
2020-11-17$88.83$85.0015.9%4.6%27.4%12.6%16.5%5.9%0.2%3.9M-55.0M-110.0K0.1339.50N/AN/A6458310,4415,690
2020-11-18$88.37$85.0016.4%4.7%27.3%13.3%16.9%5.5%-0.1%4.0M-51.8M-107.5K0.5048.34N/AN/A30015010,4645,717
2020-11-19$88.18$85.0015.6%4.5%27.2%12.2%14.8%6.0%0.8%3.9M-49.9M-109.0K0.2533.06N/AN/A1,05326810,4655,780
2020-11-20$88.07$85.0015.5%4.5%27.2%12.0%16.3%5.8%0.4%11.7M-50.1M-110.3K0.0830.99N/AN/A1,87915410,7786,002
2020-11-23$89.02$85.0015.0%4.3%25.7%11.4%15.3%5.9%0.6%3.0M-36.3M-114.5K0.4341.04N/AN/A4521958,3783,647
2020-11-24$90.94$85.0013.9%4.0%26.0%9.9%13.4%4.4%1.6%3.1M-48.0M-109.6K0.7021.04N/AN/A1,5961,1198,7243,757
2020-11-25$90.44$85.0014.5%4.2%23.5%10.7%14.8%4.0%0.1%3.4M-46.4M-124.3K0.7719.90N/AN/A1771369,5944,729
2020-11-27$90.30$85.0014.1%4.0%23.7%10.1%12.8%4.5%0.7%3.5M-46.2M-119.7K0.5517.42N/AN/A119659,6254,798
2020-11-30$89.17$85.0015.3%4.4%24.0%11.7%15.1%4.3%-0.6%3.4M-39.0M-123.6K0.4171.98N/AN/A3491449,6344,809