VYM Options History — November 2024

In November 2024, VYM traded between $127.30 and $135.03. ATM implied volatility averaged 12.3%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 1.2% (HV 20d: 13.5%). Max pain ranged from $128.00 to $132.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2024-11-25: Highest Volume — 1,031 contracts
  • 2024-11-06: Largest IV drop — 32.4% change
  • 2024-11-04: Highest IV Rank — 69.6%
  • 2024-11-01: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$131.77$127.30$135.03$127.57$135.03
Max Pain$130.40$128.00$132.00$128.00$131.00
ATM IV12.3%8.4%19.7%17.6%10.4%
Expected Move3.6%3.0%5.1%5.1%3.0%
HV 20d13.5%8.8%14.8%9.1%14.3%
HV 60d11.3%9.8%11.8%9.8%11.4%
IV Rank33.0%13.7%69.6%59.3%23.4%
IV Percentile56.1%1.2%98.4%96.0%35.3%
Term Structure-0.9%-1.6%0.1%-1.4%-1.0%
VWIV12.6%10.8%17.5%17.5%10.8%
Skew 25d3.0%0.5%5.8%5.0%1.8%
Skew 10d6.1%-0.5%13.6%8.6%6.1%
Call IV 25d11.0%9.1%15.6%15.6%10.0%
Put IV 25d14.0%9.5%20.6%20.6%11.8%
Bid-Ask Spread %73.3657.5289.7165.9889.71
Gamma HHI0.310.160.520.190.51
Net GEX11.3M5.8M17.3M6.1M17.3M
Net DEX-97.6M-121.9M-66.9M-69.1M-121.9M
Net VEX-341.5K-390.0K-304.9K-349.1K-342.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.111.960.140.73
Total Volume343.95711,03138171
Total OI23,857.522,86424,41223,29824,371

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-11-01$127.57$128.0017.6%5.1%9.1%59.3%17.5%5.0%-1.4%6.1M-69.1M-349.1K0.1465.98N/AN/A3344719,3933,905
2024-11-04$127.30$130.0019.7%4.7%8.8%69.6%15.0%4.8%-1.6%5.8M-66.9M-342.6K0.7162.36N/AN/A755319,6863,942
2024-11-05$128.27$129.0018.4%4.3%9.1%63.0%14.7%5.8%-1.3%6.3M-70.8M-336.9K0.3257.52N/AN/A1143619,6983,962
2024-11-06$132.50$129.0012.4%3.5%14.5%33.6%14.0%0.5%-0.5%13.1M-113.5M-390.0K0.8684.43N/AN/A25521919,7843,979
2024-11-07$131.90$131.008.4%3.3%14.6%13.7%11.6%1.3%0.1%11.8M-103.0M-354.5K0.1187.49N/AN/A4535019,7534,060
2024-11-08$132.43$131.009.4%3.4%14.1%18.6%12.3%2.2%-0.7%13.1M-109.7M-374.6K0.4880.40N/AN/A1326319,8934,081
2024-11-11$132.80$132.0010.2%3.4%14.0%22.7%12.2%1.6%-1.2%14.3M-113.5M-370.1K0.1267.85N/AN/A3654519,9464,118
2024-11-12$131.89$132.008.9%3.3%14.2%16.2%11.5%2.8%-0.9%12.3M-101.0M-338.2K0.7569.97N/AN/A13410120,0814,147
2024-11-13$132.01$132.0011.1%3.2%14.0%27.2%11.0%2.3%-0.6%13.0M-108.7M-355.0K0.1465.19N/AN/A2884120,1394,094
2024-11-14$131.19$132.0011.4%3.3%14.2%28.3%11.7%2.7%0.1%10.7M-91.1M-304.9K0.5479.15N/AN/A30516620,2154,110
2024-11-15$130.53$131.0012.3%3.5%14.3%33.1%13.2%3.6%-0.4%10.0M-85.8M-329.4K1.1772.55N/AN/A22025720,2554,157
2024-11-18$131.36$130.0012.4%3.6%14.0%33.5%12.4%3.2%-1.2%8.4M-88.3M-312.8K1.0170.16N/AN/A29029219,4213,443
2024-11-19$130.75$130.0012.2%3.5%14.1%32.4%13.3%3.4%-0.9%7.7M-82.6M-315.3K1.9670.28N/AN/A9518619,5803,652
2024-11-20$130.72$130.0013.1%3.7%14.1%36.8%13.0%4.7%-1.1%6.9M-80.3M-313.7K0.4365.66N/AN/A28612219,6053,832
2024-11-21$132.54$130.0012.7%3.6%14.8%34.7%11.8%4.1%-1.6%10.2M-95.2M-335.3K0.6371.08N/AN/A1157219,7463,941
2024-11-22$133.55$130.0011.5%3.3%14.6%29.0%11.1%3.8%-0.9%13.1M-107.1M-344.8K0.1271.11N/AN/A1802219,8003,927
2024-11-25$134.42$130.0011.4%3.3%14.6%28.6%11.8%3.0%-1.0%16.1M-118.7M-345.2K0.1472.11N/AN/A90212919,8833,929
2024-11-26$134.40$130.0010.9%3.1%14.4%26.1%11.0%3.1%-1.1%15.6M-112.9M-343.7K0.3481.84N/AN/A1806120,4203,853
2024-11-27$134.29$130.0011.7%3.4%14.4%30.2%11.3%1.2%-1.2%14.8M-113.0M-331.9K0.3282.44N/AN/A933020,4613,888
2024-11-29$135.03$131.0010.4%3.0%14.3%23.4%10.8%1.8%-1.0%17.3M-121.9M-342.0K0.7389.71N/AN/A413020,4773,894