VYMI Options History — August 2021

In August 2021, VYMI traded between $67.01 and $69.08. ATM implied volatility averaged 12.2%. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 0.3% (HV 20d: 11.9%). Max pain ranged from $67.00 to $67.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.47.

Notable Days

  • 2021-08-24: Highest Volume — 47 contracts
  • 2021-08-04: Largest IV spike — 32.2% change
  • 2021-08-19: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.16$67.01$69.08$67.73$68.29
Max Pain$67.00$67.00$67.00$67.00$67.00
ATM IV12.2%9.7%16.3%11.8%11.7%
Expected Move3.4%2.8%4.7%3.4%3.4%
HV 20d11.9%8.6%15.6%15.5%10.4%
HV 60d12.0%11.4%12.7%12.7%12.1%
Term Structure-0.5%-3.8%1.7%-3.8%-0.2%
VWIV9.5%4.6%17.8%6.6%9.1%
Skew 25d3.9%-3.8%10.0%1.2%4.2%
Skew 10d3.7%-5.5%14.0%5.1%3.9%
Call IV 25d9.6%5.0%18.2%12.6%7.4%
Put IV 25d13.4%10.9%16.3%13.8%11.6%
Bid-Ask Spread %123.69116.96136.10136.02122.27
Gamma HHI0.320.250.380.310.38
Net GEX-50.3K-112.8K-20.4K-47.3K-22.8K
Net DEX299.5K184.3K458.2K387.4K184.3K
Net VEX-2.5K-2.9K-2.0K-2.9K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.002.500.000.00
Total Volume4.13604701
Total OI271250306256306

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$67.73$67.0011.8%3.4%15.5%0.0%0.0%1.2%-3.8%-47.3K387.4K-2.9K0.00136.02N/AN/A0053203
2021-08-03$68.32$67.0011.4%3.3%15.5%0.0%0.0%-3.8%0.2%-50.3K327.2K-2.8K0.00136.10N/AN/A0056203
2021-08-04$68.03$67.0015.1%4.3%15.6%0.0%0.0%3.1%-3.5%-49.4K342.4K-2.7K0.00133.53N/AN/A0156203
2021-08-05$68.28$67.0011.6%3.3%14.6%0.0%0.0%6.1%0.8%-54.6K295.2K-2.4K0.00119.44N/AN/A9056203
2021-08-06$68.07$67.0013.1%3.3%13.1%0.0%0.0%6.2%0.6%-52.2K326.5K-2.5K0.00119.90N/AN/A1056203
2021-08-09$68.10$67.0013.4%3.3%13.1%0.0%0.0%5.4%0.4%-52.1K327.8K-2.5K0.00118.48N/AN/A0063202
2021-08-10$68.29$67.0013.0%2.9%13.0%0.0%0.0%4.9%1.6%-60.4K299.4K-2.2K0.00121.82N/AN/A0063202
2021-08-11$68.97$67.009.8%2.8%13.4%0.0%0.0%1.6%0.8%-56.0K201.2K-2.0K0.00120.01N/AN/A0063202
2021-08-12$68.85$67.0010.2%2.9%13.2%0.0%0.0%2.1%0.3%-46.3K225.1K-2.2K0.00116.96N/AN/A1063202
2021-08-13$69.08$67.0012.4%3.5%12.8%0.0%0.0%-3.8%-0.4%-40.9K201.5K-2.5K0.00122.03N/AN/A0063202
2021-08-16$68.82$67.0010.7%3.1%9.0%0.0%0.0%1.1%-0.1%-56.6K196.9K-2.0K0.00119.61N/AN/A0064202
2021-08-17$68.12$67.0011.9%3.4%9.5%0.0%0.0%5.7%-0.3%-52.5K313.9K-2.3K0.00118.54N/AN/A01264202
2021-08-18$67.98$67.0014.3%4.1%8.6%0.0%6.6%3.8%-0.7%-38.3K353.8K-2.8K1.25125.82N/AN/A4564202
2021-08-19$67.01$67.0016.3%4.7%10.2%0.0%0.0%2.9%1.7%-61.8K458.2K-2.6K0.00118.79N/AN/A0164214
2021-08-20$67.15$67.0012.5%3.6%10.1%0.0%0.0%5.0%-1.3%-112.8K420.8K-2.2K0.00118.13N/AN/A1068219
2021-08-23$67.76$67.0013.6%3.9%10.6%0.0%17.8%9.0%-2.7%-45.4K389.0K-2.7K2.50130.46N/AN/A2558192
2021-08-24$68.11$67.0010.8%3.1%10.6%0.0%4.6%6.8%1.6%-73.0K273.9K-2.1K0.00122.72N/AN/A47059192
2021-08-25$68.16$67.009.7%2.8%10.3%0.0%9.1%3.0%0.1%-55.7K324.8K-2.5K0.00126.08N/AN/A1061197
2021-08-26$67.64$67.0011.5%3.3%10.5%0.0%0.0%7.3%-1.3%-23.2K336.9K-2.9K0.00121.19N/AN/A00108197
2021-08-27$68.49$67.0010.6%3.0%10.9%0.0%0.0%3.6%-1.3%-35.5K195.4K-2.1K0.00121.47N/AN/A00109197
2021-08-30$68.37$67.0013.8%4.0%10.9%0.0%0.0%10.0%-2.9%-20.4K206.5K-2.7K0.00131.87N/AN/A00109197
2021-08-31$68.29$67.0011.7%3.4%10.4%0.0%0.0%4.2%-0.2%-22.8K184.3K-2.4K0.00122.27N/AN/A01109197