VYM Options History — November 2022

In November 2022, VYM traded between $105.27 and $112.84. ATM implied volatility averaged 18.6%, placing in the 50.0% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 0.6% (HV 20d: 19.2%). Max pain ranged from $98.00 to $105.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2022-11-18: Highest Volume — 12,999 contracts
  • 2022-11-28: Largest IV spike — 13.3% change
  • 2022-11-08: Highest IV Rank — 71.6%
  • 2022-11-01: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.47$105.27$112.84$106.82$112.84
Max Pain$103.52$98.00$105.00$98.00$105.00
ATM IV18.6%15.3%22.3%21.9%17.4%
Expected Move5.3%4.4%6.3%6.3%5.0%
HV 20d19.2%17.4%21.6%20.9%18.5%
HV 60d21.9%21.2%22.7%21.3%22.2%
IV Rank50.0%30.2%71.6%69.7%42.9%
IV Percentile55.8%28.2%88.1%84.9%44.0%
Term Structure-0.4%-1.9%0.4%-1.9%-1.4%
VWIV19.0%16.7%22.0%21.1%17.9%
Skew 25d2.9%1.9%4.2%2.7%4.2%
Skew 10d6.8%2.7%10.2%4.4%10.2%
Call IV 25d16.9%13.7%20.3%20.3%14.7%
Put IV 25d19.8%16.7%23.0%23.0%18.9%
Bid-Ask Spread %49.2333.7377.2448.6461.53
Gamma HHI0.380.220.530.490.27
Net GEX11.0M8.9M14.4M10.7M9.8M
Net DEX-120.1M-157.8M-77.7M-98.1M-130.9M
Net VEX-300.4K-326.4K-258.5K-326.4K-305.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.101.060.400.59
Total Volume2,804.0487812,9991,868242
Total OI24,170.95222,70425,45823,16924,639

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$106.82$98.0021.9%6.3%20.9%69.7%21.1%2.7%-1.9%10.7M-98.1M-326.4K0.4048.64N/AN/A1,33453419,2763,893
2022-11-02$105.52$98.0021.3%6.1%21.6%66.5%21.0%2.5%-1.2%10.7M-81.9M-319.7K0.3777.24N/AN/A1,50755319,3083,959
2022-11-03$105.27$103.0020.9%5.8%20.8%64.2%20.1%2.5%-0.3%10.8M-77.7M-318.3K0.4544.49N/AN/A1,39463419,4594,055
2022-11-04$106.53$103.0019.9%5.6%18.9%57.6%20.7%3.5%-0.3%12.1M-91.3M-320.8K0.5233.73N/AN/A1,48976819,4784,189
2022-11-07$107.56$103.0021.0%5.5%18.9%63.6%19.9%2.3%-0.1%12.7M-107.0M-310.2K0.6349.93N/AN/A1,6461,03719,6424,226
2022-11-08$108.41$103.0022.3%5.7%18.6%71.6%22.0%2.8%-0.4%12.1M-118.1M-309.8K0.7745.57N/AN/A1,3291,02219,8124,409
2022-11-09$106.36$104.0020.3%5.8%20.5%59.8%21.5%2.8%-0.3%12.6M-88.2M-307.8K0.6248.82N/AN/A1,44990519,9084,468
2022-11-10$109.90$104.0018.6%5.3%21.6%49.8%19.1%2.7%-0.3%11.8M-139.5M-289.5K0.6055.04N/AN/A1,31178319,9944,481
2022-11-11$110.45$104.0017.7%5.1%20.1%44.4%17.7%3.1%0.3%11.3M-151.0M-276.4K0.5753.85N/AN/A1,34577020,1534,450
2022-11-14$110.24$104.0018.0%5.2%19.7%46.5%18.3%3.0%-0.2%11.7M-151.2M-267.9K0.7941.63N/AN/A1,12588420,2804,480
2022-11-15$110.25$104.0017.9%5.1%19.8%45.9%18.3%3.5%0.1%11.5M-151.3M-267.4K0.8051.28N/AN/A1,05284520,4314,660
2022-11-16$109.65$104.0017.6%5.0%19.7%43.9%17.9%3.4%0.2%12.6M-146.5M-267.4K1.0648.02N/AN/A1,0061,06920,4374,743
2022-11-17$109.29$104.0017.9%5.1%19.3%45.5%18.2%3.1%0.1%14.4M-143.9M-264.6K0.7841.85N/AN/A1,4481,12620,4694,860
2022-11-18$110.40$104.0017.3%5.0%17.6%42.3%16.7%3.0%0.0%8.9M-157.8M-258.5K0.1150.06N/AN/A11,7411,25820,5814,877
2022-11-21$110.55$104.0016.9%4.8%17.4%39.7%17.4%2.9%0.1%9.3M-102.5M-321.8K0.7547.78N/AN/A1,19889318,9973,707
2022-11-22$112.04$105.0015.9%4.6%17.7%34.2%18.2%2.1%0.2%9.4M-120.3M-317.8K0.2245.21N/AN/A6,0761,35019,2533,811
2022-11-23$112.08$105.0015.3%4.4%17.6%30.2%18.0%2.7%0.4%9.8M-120.1M-315.8K0.1057.39N/AN/A5,95460419,4574,349
2022-11-25$112.63$105.0016.0%4.6%17.6%34.4%17.8%4.2%-0.1%9.6M-127.3M-312.9K0.6346.34N/AN/A483019,5604,376
2022-11-28$110.90$105.0018.1%5.2%18.0%46.9%19.1%3.0%-0.9%9.7M-106.4M-315.1K1.0637.52N/AN/A41744019,5564,375
2022-11-29$111.12$105.0018.7%5.4%17.9%50.2%17.8%1.9%-1.5%9.8M-111.0M-313.5K0.3047.98N/AN/A2076219,7314,801
2022-11-30$112.84$105.0017.4%5.0%18.5%42.9%17.9%4.2%-1.4%9.8M-130.9M-305.7K0.5961.53N/AN/A1529019,8004,839