VYM Options History — November 2021

In November 2021, VYM traded between $106.42 and $110.83. ATM implied volatility averaged 12.6%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 3.0% (HV 20d: 9.6%). Max pain ranged from $105.00 to $108.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2021-11-17: Highest Volume — 9,262 contracts
  • 2021-11-26: Largest IV spike — 41.8% change
  • 2021-11-30: Highest IV Rank — 75.3%
  • 2021-11-30: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.73$106.42$110.83$108.90$106.42
Max Pain$107.43$105.00$108.00$105.00$108.00
ATM IV12.6%9.8%20.7%10.8%20.7%
Expected Move3.7%2.8%5.9%3.1%5.9%
HV 20d9.6%7.7%12.8%10.6%12.8%
HV 60d11.7%11.4%13.0%11.7%13.0%
IV Rank26.2%8.7%75.3%11.7%75.3%
IV Percentile39.8%8.3%98.8%17.5%98.8%
Term Structure0.2%-3.1%1.5%1.5%-3.1%
VWIV14.8%9.7%19.3%12.3%19.3%
Skew 25d5.2%3.7%8.8%4.5%8.5%
Skew 10d10.2%5.0%16.2%11.1%16.2%
Call IV 25d10.8%8.4%15.6%9.5%15.6%
Put IV 25d15.9%12.1%24.1%14.0%24.1%
Bid-Ask Spread %71.0741.8581.8981.8454.85
Gamma HHI0.380.170.590.390.17
Net GEX12.3M3.0M27.8M8.6M3.0M
Net DEX-43.2M-63.6M-17.1M-33.3M-17.1M
Net VEX-145.0K-177.4K-109.2K-134.5K-154.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.101.811.330.50
Total Volume2,266.1431,2879,2621,5341,984
Total OI19,088.71415,72920,87215,72920,082

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$108.90$105.0010.8%3.1%10.6%11.7%12.3%4.5%1.5%8.6M-33.3M-134.5K1.3381.84N/AN/A6578779,5296,200
2021-11-02$109.33$105.0011.2%3.2%10.5%13.6%11.1%4.4%1.1%9.8M-38.0M-136.0K1.1376.64N/AN/A8029099,5906,215
2021-11-03$109.99$105.009.8%2.8%10.4%8.7%12.0%3.7%1.5%11.9M-47.0M-126.5K1.2281.89N/AN/A6788259,6416,262
2021-11-04$109.39$107.0010.7%3.4%10.5%15.8%9.7%3.7%0.8%10.5M-38.5M-131.3K0.1974.36N/AN/A4,2517949,6706,275
2021-11-05$110.32$107.0010.6%3.4%10.7%15.0%14.6%3.8%0.7%14.4M-56.2M-154.7K1.2170.80N/AN/A70885413,3966,273
2021-11-08$110.29$107.0011.7%3.6%10.3%21.5%15.0%4.4%0.3%14.8M-54.8M-151.9K1.7880.00N/AN/A49487813,4416,330
2021-11-09$110.22$108.0011.5%3.7%9.7%20.0%15.8%5.1%0.4%15.0M-52.0M-143.3K1.8168.13N/AN/A47485613,4976,361
2021-11-10$110.12$108.0013.4%3.8%9.8%31.6%16.7%5.5%0.1%14.8M-53.1M-150.3K1.5473.73N/AN/A54183413,5136,411
2021-11-11$110.45$108.0013.1%3.7%8.7%29.6%16.2%5.5%0.2%17.0M-56.5M-150.5K1.5474.98N/AN/A50978213,5126,428
2021-11-12$110.53$108.0011.4%3.3%8.4%19.9%15.2%5.3%0.8%19.5M-58.0M-140.6K1.6341.85N/AN/A49079713,5156,447
2021-11-15$110.57$108.0011.5%3.3%8.2%20.2%15.4%4.6%0.5%23.9M-56.8M-126.9K1.3973.99N/AN/A55377113,4976,473
2021-11-16$110.83$108.0011.1%3.2%7.9%18.0%13.9%3.9%0.8%27.8M-63.6M-123.4K0.8378.47N/AN/A98781813,5266,484
2021-11-17$110.27$108.0011.9%3.4%7.7%22.5%13.4%4.9%0.4%20.4M-42.5M-109.2K0.1074.91N/AN/A8,43083213,5696,490
2021-11-18$109.79$108.0011.5%3.3%7.8%20.3%14.8%4.7%0.7%9.6M-40.2M-137.2K0.5177.35N/AN/A1,61381714,1396,518
2021-11-19$108.81$108.0011.8%3.4%8.4%22.2%14.2%4.9%0.4%8.4M-32.1M-138.9K0.4481.86N/AN/A2,01188214,3276,545
2021-11-22$110.08$108.0012.0%3.5%9.4%23.6%12.6%5.0%0.5%6.0M-35.0M-160.6K0.5766.57N/AN/A1,47583912,9145,763
2021-11-23$110.65$108.0012.8%3.7%9.4%28.3%15.2%5.4%0.2%7.2M-39.5M-171.9K0.6665.81N/AN/A1,24582013,2725,853
2021-11-24$110.47$108.0013.1%3.8%7.9%29.9%18.1%5.5%-0.0%7.0M-39.8M-177.4K0.8761.39N/AN/A92680313,6235,935
2021-11-26$108.34$108.0018.6%5.3%10.6%62.7%17.9%8.8%-1.6%4.6M-26.9M-170.8K0.5869.44N/AN/A1,13465313,6455,942
2021-11-29$108.61$108.0014.8%4.3%10.7%40.2%16.4%6.7%-0.9%4.6M-26.6M-154.1K0.4963.64N/AN/A1,33665013,7236,037
2021-11-30$106.42$108.0020.7%5.9%12.8%75.3%19.3%8.5%-3.1%3.0M-17.1M-154.7K0.5054.85N/AN/A1,32565914,0216,061