VYMI Options History — June 2021

In June 2021, VYMI traded between $67.88 and $71.05. ATM implied volatility averaged 11.4%. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 1.0% (HV 20d: 10.4%). Max pain ranged from $68.00 to $70.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.77.

Notable Days

  • 2021-06-29: Highest Volume — 85 contracts
  • 2021-06-28: Largest IV spike — 94.0% change
  • 2021-06-23: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.81$67.88$71.05$70.35$67.88
Max Pain$69.73$68.00$70.00$68.00$70.00
ATM IV11.4%8.1%18.5%11.8%13.9%
Expected Move3.2%2.3%5.3%3.4%4.0%
HV 20d10.4%7.3%13.9%13.9%9.9%
HV 60d12.6%12.3%12.8%12.8%12.3%
Term Structure0.6%-4.6%5.6%-0.5%-1.1%
VWIV12.1%9.1%15.9%11.4%11.5%
Skew 25d4.1%-2.1%7.4%2.9%4.4%
Skew 10d4.4%-1.3%10.4%2.5%5.5%
Call IV 25d9.9%6.3%16.5%9.0%10.0%
Put IV 25d14.1%12.0%20.7%12.0%14.4%
Bid-Ask Spread %119.62107.82126.59119.39119.54
Gamma HHI0.450.270.680.390.60
Net GEX16.0K-31.0K62.0K22.6K-27.2K
Net DEX43.0K-155.3K231.2K9.6K231.2K
Net VEX-1.9K-2.1K-1.5K-1.9K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.002.400.000.00
Total Volume9.95508502
Total OI221.636150267244158

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$70.35$68.0011.8%3.4%13.9%0.0%0.0%2.9%-0.5%22.6K9.6K-1.9K0.00119.39N/AN/A00124120
2021-06-02$70.78$68.0011.5%3.3%13.1%0.0%11.4%5.0%0.5%39.9K-17.6K-2.0K0.00118.87N/AN/A220124120
2021-06-03$70.44$69.0011.3%3.5%12.6%0.0%0.0%4.6%-2.1%25.9K57.1K-1.9K0.00107.82N/AN/A00138120
2021-06-04$71.02$69.0011.1%3.0%12.4%0.0%10.7%4.7%0.8%62.0K-82.6K-1.9K1.33117.72N/AN/A34138120
2021-06-07$71.05$70.0011.2%3.1%11.7%0.0%0.0%7.4%0.6%55.7K-18.8K-2.0K0.00116.71N/AN/A00142123
2021-06-08$70.97$70.0011.4%3.2%11.8%0.0%0.0%6.6%1.0%54.4K-57.9K-1.8K0.00116.50N/AN/A00142123
2021-06-09$70.75$70.0011.3%3.2%11.0%0.0%0.0%2.6%1.1%53.9K-81.8K-2.1K0.00116.66N/AN/A00142123
2021-06-10$70.94$70.009.2%2.6%9.2%0.0%0.0%4.5%1.1%50.7K-155.3K-1.7K0.00118.65N/AN/A00142123
2021-06-11$70.88$70.008.5%2.4%9.1%0.0%0.0%6.0%1.0%58.3K-121.2K-1.8K0.00119.47N/AN/A02142123
2021-06-14$70.95$70.008.5%2.4%8.2%0.0%0.0%5.9%1.7%55.4K-139.2K-1.5K0.00118.33N/AN/A03142121
2021-06-15$70.93$70.008.1%2.3%8.2%0.0%0.0%1.1%2.6%31.1K-26.6K-1.5K0.00118.92N/AN/A00142120
2021-06-16$70.53$70.009.5%2.7%8.4%0.0%0.0%6.2%0.9%39.6K-29.5K-1.6K0.00120.21N/AN/A00142120
2021-06-17$70.01$70.0011.3%3.2%7.3%0.0%13.9%7.3%2.1%10.5K45.0K-1.6K0.17120.64N/AN/A61142120
2021-06-18$68.57$70.0010.2%2.9%10.1%0.0%0.0%4.3%5.6%-31.0K164.9K-1.8K0.00126.59N/AN/A10146121
2021-06-21$68.47$70.0012.4%3.5%10.1%0.0%0.0%3.2%1.0%-24.3K193.2K-2.0K0.00118.79N/AN/A3032118
2021-06-22$68.58$70.009.7%2.8%9.8%0.0%0.0%3.5%-0.0%-25.1K147.7K-1.9K0.00123.83N/AN/A0035118
2021-06-23$68.24$70.0018.5%5.3%9.9%0.0%15.9%-2.1%-3.8%-19.4K175.1K-2.1K2.28122.59N/AN/A255735118
2021-06-24$68.77$70.0010.9%3.1%10.3%0.0%0.0%5.4%0.7%-21.1K146.7K-1.9K0.00120.96N/AN/A0035118
2021-06-25$68.96$70.009.2%2.6%10.3%0.0%0.0%5.1%4.2%-17.7K144.5K-2.0K0.00124.26N/AN/A0035118
2021-06-28$68.44$70.0017.9%5.1%10.5%0.0%9.1%3.5%-4.6%-19.3K160.5K-2.0K0.00124.81N/AN/A0535118
2021-06-29$68.25$70.0012.5%3.6%10.2%0.0%11.5%-0.9%-0.7%-23.7K201.8K-2.0K2.40120.45N/AN/A256035123
2021-06-30$67.88$70.0013.9%4.0%9.9%0.0%0.0%4.4%-1.1%-27.2K231.2K-2.0K0.00119.54N/AN/A2035123