VYMI Options History — May 2021 In May 2021, VYMI traded between $66.81 and $69.97. ATM implied volatility averaged 15.7%. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.6% (HV 20d: 15.1%). Max pain ranged from $65.00 to $68.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.12.
Notable Days 2021-05-24 : Highest Volume — 100 contracts2021-05-11 : Largest IV spike — 35.6% change2021-05-25 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $68.83 $66.81 $69.97 $67.54 $69.97 Max Pain $66.60 $65.00 $68.00 $65.00 $68.00 ATM IV 15.7% 10.6% 24.9% 13.0% 10.6% Expected Move 4.2% 3.0% 5.8% 3.7% 3.0% HV 20d 15.1% 14.2% 15.4% 14.9% 14.2% Term Structure -0.9% -8.5% 2.7% 1.7% -0.1% VWIV 13.1% 10.3% 16.0% 13.3% 11.1% Skew 25d 3.5% -6.2% 14.8% 1.4% 3.9% Skew 10d 4.5% -1.5% 19.7% 2.6% 2.6% Call IV 25d 13.6% 8.4% 21.6% 11.9% 8.4% Put IV 25d 17.1% 12.0% 31.0% 13.4% 12.2% Bid-Ask Spread % 121.55 109.02 138.13 134.25 119.03 Gamma HHI 0.38 0.27 0.62 0.27 0.34 Net GEX 5.6K -25.5K 22.7K 7.3K 5.8K Net DEX 15.4K -127.6K 438.6K -51.4K 107.5K Net VEX -875 -2.5K -295 -316 -2.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.12 0.00 10.00 0.00 0.00 Total Volume 18.5 0 100 1 1 Total OI 94.1 30 243 30 243
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-05-03 $67.54 $65.00 13.0% 3.7% 0.0% 0.0% 13.3% 1.4% 1.7% 7.3K -51.4K -316 0.00 134.25 N/A N/A 0 1 25 5 2021-05-04 $66.81 $67.00 14.2% 4.1% 0.0% 0.0% 14.2% -3.9% 1.2% 5.5K -36.8K -318 0.00 135.38 N/A N/A 0 2 25 6 2021-05-05 $67.76 $65.00 15.7% 4.5% 0.0% 0.0% 0.0% -6.2% -0.7% 7.6K -56.3K -329 0.00 138.13 N/A N/A 0 1 25 6 2021-05-06 $68.51 $65.00 18.9% 3.2% 0.0% 0.0% 0.0% 1.1% -0.0% 8.8K -65.8K -315 0.00 118.90 N/A N/A 1 0 25 7 2021-05-07 $69.38 $65.00 14.7% 4.1% 14.9% 0.0% 13.8% 8.1% -4.4% 8.8K -73.1K -309 0.00 119.80 N/A N/A 2 0 24 7 2021-05-10 $69.44 $65.00 18.4% 3.7% 14.4% 0.0% 0.0% -1.2% 1.0% 8.8K -79.0K -313 0.00 119.11 N/A N/A 0 0 24 7 2021-05-11 $68.67 $65.00 24.9% 5.7% 14.8% 0.0% 0.0% 14.8% 0.9% 8.1K -75.4K -296 0.00 122.48 N/A N/A 0 0 24 7 2021-05-12 $67.69 $65.00 16.7% 4.8% 15.4% 0.0% 0.0% 6.8% 0.2% 7.1K -45.8K -312 0.00 117.34 N/A N/A 20 0 24 7 2021-05-13 $68.23 $65.00 17.3% 5.0% 15.3% 0.0% 0.0% 7.2% 0.2% 22.7K -92.3K -361 0.00 117.94 N/A N/A 0 0 40 7 2021-05-14 $69.07 $65.00 12.6% 3.6% 15.4% 0.0% 16.0% 5.2% 0.1% 21.3K -127.6K -368 0.10 109.02 N/A N/A 20 2 40 7 2021-05-17 $69.11 $68.00 14.5% 4.2% 15.4% 0.0% 10.3% 5.4% 0.6% 15.4K -82.4K -295 0.00 118.37 N/A N/A 1 0 29 9 2021-05-18 $69.51 $68.00 12.9% 3.7% 14.5% 0.0% 0.0% 2.6% 0.4% 11.7K -94.9K -336 0.00 117.41 N/A N/A 0 50 30 9 2021-05-19 $68.60 $68.00 17.4% 5.0% 15.3% 0.0% 0.0% 0.4% -2.1% -4.4K 111.9K -789 0.00 121.76 N/A N/A 0 0 30 59 2021-05-20 $69.21 $68.00 12.6% 3.6% 15.4% 0.0% 11.0% -1.6% 2.7% -2.7K 82.5K -669 10.00 118.84 N/A N/A 8 80 30 59 2021-05-21 $69.06 $68.00 15.7% 4.5% 15.2% 0.0% 0.0% 9.8% -1.2% -22.2K 438.6K -1.4K 0.00 121.15 N/A N/A 0 80 34 139 2021-05-24 $69.51 $68.00 16.0% 4.6% 15.3% 0.0% 14.9% 3.1% -2.7% -25.5K 152.3K -1.8K 0.00 119.59 N/A N/A 100 0 22 120 2021-05-25 $69.36 $68.00 20.2% 5.8% 15.4% 0.0% 0.0% 2.9% -7.4% 17.1K 66.3K -2.5K 0.00 122.09 N/A N/A 0 0 122 120 2021-05-26 $69.47 $68.00 15.4% 4.4% 15.2% 0.0% 0.0% 6.6% -8.5% 12.2K 106.0K -2.3K 0.00 122.13 N/A N/A 1 0 122 120 2021-05-27 $69.69 $68.00 11.4% 3.3% 15.2% 0.0% 0.0% 3.1% 0.1% -2.1K 124.2K -2.0K 0.00 118.34 N/A N/A 0 0 123 120 2021-05-28 $69.97 $68.00 10.6% 3.0% 14.2% 0.0% 11.1% 3.9% -0.1% 5.8K 107.5K -2.0K 0.00 119.03 N/A N/A 1 0 123 120
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