VYM Options History — November 2023

In November 2023, VYM traded between $101.06 and $106.63. ATM implied volatility averaged 10.5%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded below realized volatility by 4.2% (HV 20d: 14.7%). Max pain ranged from $100.00 to $104.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2023-11-17: Highest Volume — 961 contracts
  • 2023-11-02: Largest IV drop — 9.3% change
  • 2023-11-01: Highest IV Rank — 19.4%
  • 2023-11-01: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.29$101.06$106.63$101.06$106.63
Max Pain$101.57$100.00$104.00$101.00$104.00
ATM IV10.5%9.3%13.1%13.1%9.7%
Expected Move3.0%2.7%3.8%3.8%2.8%
HV 20d14.7%12.6%16.4%13.0%12.6%
HV 60d12.0%10.7%12.4%10.7%12.2%
IV Rank7.9%2.5%19.4%19.4%4.3%
IV Percentile11.6%0.8%38.1%38.1%4.4%
Term Structure0.3%-0.1%0.7%0.0%-0.1%
VWIV10.5%8.4%14.0%14.0%9.9%
Skew 25d2.1%1.3%3.3%2.5%2.1%
Skew 10d4.9%2.5%7.2%5.2%4.8%
Call IV 25d9.8%8.7%12.0%12.0%9.2%
Put IV 25d11.9%10.3%14.4%14.4%11.2%
Bid-Ask Spread %67.6750.3186.7250.3786.72
Gamma HHI0.410.270.540.270.49
Net GEX10.2M3.6M13.5M3.6M12.7M
Net DEX-38.5M-62.9M-8.5M-8.5M-62.9M
Net VEX-300.3K-325.2K-270.9K-283.8K-315.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.041.201.040.24
Total Volume396.33390961678246
Total OI24,526.90519,01128,13026,85620,075

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$101.06$101.0013.1%3.8%13.0%19.4%14.0%2.5%0.0%3.6M-8.5M-283.8K1.0450.37N/AN/A33234619,9126,944
2023-11-02$102.97$100.0011.9%3.5%14.6%14.0%11.8%3.3%0.2%6.8M-24.4M-306.6K0.0861.98N/AN/A4733720,0097,019
2023-11-03$103.97$100.0011.1%3.3%14.8%10.4%12.7%2.8%0.4%9.1M-37.5M-325.2K0.4864.35N/AN/A39218920,2677,019
2023-11-06$103.38$100.0011.4%3.5%14.9%11.7%12.1%3.0%-0.0%8.4M-30.6M-310.0K0.0466.67N/AN/A2981320,5746,949
2023-11-07$103.06$100.0010.9%3.4%14.7%9.5%11.4%3.0%0.0%8.0M-25.2M-302.8K0.3865.76N/AN/A1224620,6146,953
2023-11-08$102.63$100.0011.3%3.2%14.7%11.3%12.1%2.7%0.2%7.4M-19.7M-287.0K0.4067.50N/AN/A2128520,6346,982
2023-11-09$101.60$101.0011.7%3.4%15.0%13.4%9.3%2.7%0.2%5.0M-12.2M-274.1K0.1465.04N/AN/A2583520,6447,012
2023-11-10$102.63$101.0010.9%3.1%15.4%9.8%10.4%2.6%0.2%7.3M-20.4M-278.6K0.0465.05N/AN/A2491020,6357,001
2023-11-13$102.59$101.0010.9%3.1%14.7%9.7%10.6%2.2%0.2%7.4M-19.0M-270.9K0.2362.01N/AN/A821920,6867,001
2023-11-14$104.66$101.0010.5%3.0%16.4%8.1%10.4%1.3%0.0%11.4M-45.5M-304.4K0.0769.26N/AN/A5903920,7517,008
2023-11-15$105.22$101.0010.2%2.9%16.2%6.4%10.3%1.7%0.5%12.5M-54.2M-312.1K0.2856.27N/AN/A2948320,9526,997
2023-11-16$104.59$101.0010.1%2.9%16.0%6.2%10.4%1.9%0.3%12.8M-43.2M-305.0K0.3966.14N/AN/A33012921,0867,010
2023-11-17$105.20$101.0010.2%2.9%15.7%6.4%9.9%1.8%0.4%13.2M-53.4M-310.3K0.0670.19N/AN/A9045721,0727,058
2023-11-20$105.73$101.009.6%2.8%15.3%4.1%9.8%1.4%0.7%12.2M-51.8M-308.7K1.0753.66N/AN/A25827614,9144,097
2023-11-21$105.27$103.009.8%2.8%15.4%4.8%9.9%1.3%0.4%11.2M-45.3M-311.0K1.2075.45N/AN/A506015,0974,342
2023-11-22$105.66$103.009.4%2.7%15.1%3.0%9.4%1.6%0.5%12.2M-50.2M-312.5K0.8577.34N/AN/A615215,1284,386
2023-11-24$106.00$103.009.3%2.7%15.0%2.5%8.8%1.6%0.7%13.0M-54.3M-306.3K0.3450.31N/AN/A672315,1634,378
2023-11-27$105.75$103.009.3%2.7%13.1%2.7%8.4%1.6%0.4%13.3M-50.5M-295.7K0.3379.93N/AN/A44314415,2354,379
2023-11-28$105.73$104.009.4%2.7%12.6%3.3%9.9%1.5%0.4%13.5M-48.9M-294.5K0.7381.60N/AN/A24117515,0134,475
2023-11-29$105.77$104.0010.0%2.9%12.6%5.6%9.8%1.5%0.2%13.2M-50.6M-291.2K0.0785.59N/AN/A5614215,0944,500
2023-11-30$106.63$104.009.7%2.8%12.6%4.3%9.9%2.1%-0.1%12.7M-62.9M-315.7K0.2486.72N/AN/A1994715,5634,512