VYMI Options History — July 2021

In July 2021, VYMI traded between $65.47 and $68.32. ATM implied volatility averaged 14.7%. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.4% (HV 20d: 13.3%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2021-07-08: Highest Volume — 51 contracts
  • 2021-07-02: Largest IV spike — 66.1% change
  • 2021-07-02: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.45$65.47$68.32$68.08$67.47
Max Pain$66.62$65.00$70.00$70.00$67.00
ATM IV14.7%11.0%20.8%11.7%12.6%
Expected Move3.9%3.1%5.6%3.4%3.6%
HV 20d13.3%9.5%15.5%10.0%15.5%
HV 60d12.9%12.0%13.6%12.2%12.9%
Term Structure1.0%-3.3%6.2%1.2%2.0%
VWIV12.5%5.9%18.9%5.9%12.8%
Skew 25d5.4%0.0%20.0%6.4%1.6%
Skew 10d4.7%-7.4%16.0%5.8%4.1%
Call IV 25d10.6%8.3%13.6%8.4%12.8%
Put IV 25d16.0%11.3%33.6%14.8%14.4%
Bid-Ask Spread %128.51120.55144.77120.55131.02
Gamma HHI0.440.310.740.500.31
Net GEX-44.6K-65.7K-24.0K-24.0K-46.6K
Net DEX401.8K177.9K552.5K225.5K440.9K
Net VEX-2.6K-3.1K-1.9K-2.0K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.003.000.000.00
Total Volume6.8105115
Total OI215.238158256158256

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$68.08$70.0011.7%3.4%10.0%0.0%0.0%6.4%1.2%-24.0K225.5K-2.0K0.00120.55N/AN/A1035123
2021-07-02$68.32$70.0019.4%5.6%9.5%0.0%5.9%13.0%-3.3%-24.8K177.9K-1.9K0.00127.47N/AN/A2035123
2021-07-06$67.75$65.0014.2%3.6%9.7%0.0%0.0%7.6%1.7%-25.2K225.0K-1.9K0.00123.36N/AN/A0035123
2021-07-07$67.85$65.0014.6%3.7%9.8%0.0%0.0%2.5%1.1%-30.2K227.8K-1.9K0.00126.79N/AN/A0035123
2021-07-08$66.84$65.0016.4%4.7%10.8%0.0%0.0%6.2%1.1%-25.3K301.1K-2.0K0.00124.46N/AN/A05135123
2021-07-09$68.07$65.0017.8%3.5%13.0%0.0%18.9%6.9%0.7%-49.8K430.1K-2.6K0.00128.28N/AN/A0535174
2021-07-12$68.24$66.0020.0%3.5%13.1%0.0%0.0%2.9%0.6%-56.6K421.3K-2.4K0.00125.10N/AN/A1035175
2021-07-13$67.91$66.0020.8%3.5%13.1%0.0%0.0%5.9%1.7%-46.8K453.5K-2.6K0.00127.02N/AN/A0035175
2021-07-14$68.03$66.0011.0%3.1%13.2%0.0%0.0%3.7%2.9%-47.9K437.7K-2.5K0.00125.08N/AN/A0035175
2021-07-15$67.56$66.0011.7%3.4%13.2%0.0%0.0%0.0%6.2%-44.7K480.2K-2.6K1.18126.08N/AN/A111335175
2021-07-16$67.03$66.0012.3%3.5%13.2%0.0%7.3%6.7%2.2%-37.7K512.9K-2.8K0.00133.81N/AN/A23046188
2021-07-19$65.47$66.0017.3%5.0%13.8%0.0%18.3%20.0%-2.1%-36.8K552.5K-2.9K3.00121.46N/AN/A41248180
2021-07-20$66.20$67.0015.2%4.4%14.6%0.0%0.0%2.1%3.3%-53.7K547.3K-3.1K0.00131.40N/AN/A0052192
2021-07-21$67.01$67.0013.3%3.8%15.4%0.0%0.0%6.1%-0.8%-65.7K462.8K-2.9K0.00127.31N/AN/A0152192
2021-07-22$67.00$67.0012.8%3.7%15.3%0.0%0.0%3.3%1.2%-49.8K463.2K-3.1K0.00124.20N/AN/A1053193
2021-07-23$67.23$67.0015.3%4.4%15.0%0.0%12.2%6.0%1.2%-45.6K451.9K-3.0K0.00144.77N/AN/A2053193
2021-07-26$67.39$67.0012.3%3.5%15.0%0.0%0.0%2.1%1.1%-61.1K429.3K-2.8K0.00133.01N/AN/A0052193
2021-07-27$67.16$67.0016.3%4.7%14.9%0.0%0.0%4.8%-0.6%-47.7K456.9K-3.0K0.00133.74N/AN/A0053193
2021-07-28$67.67$67.0011.0%3.1%15.2%0.0%0.0%2.0%0.8%-63.0K386.2K-2.7K0.00131.82N/AN/A01053193
2021-07-29$68.07$67.0012.2%3.5%15.2%0.0%0.0%4.3%-1.0%-52.5K354.9K-2.6K0.00132.05N/AN/A0153193
2021-07-30$67.47$67.0012.6%3.6%15.5%0.0%12.8%1.6%2.0%-46.6K440.9K-3.0K0.00131.02N/AN/A5053203