VYMI Options History — September 2021

In September 2021, VYMI traded between $64.96 and $69.12. ATM implied volatility averaged 14.5%. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.9% (HV 20d: 13.6%). Max pain ranged from $64.00 to $67.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2021-09-03: Highest Volume — 63 contracts
  • 2021-09-21: Largest IV spike — 67.8% change
  • 2021-09-21: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.52$64.96$69.12$68.69$66.23
Max Pain$65.14$64.00$67.00$67.00$67.00
ATM IV14.5%8.9%32.4%9.9%17.4%
Expected Move4.1%2.6%9.3%2.8%5.0%
HV 20d13.6%10.4%17.8%10.5%17.6%
HV 60d13.1%11.7%14.8%12.2%14.7%
Term Structure-0.9%-13.0%3.1%1.4%-4.5%
VWIV14.9%8.2%19.3%11.4%17.7%
Skew 25d5.3%-4.6%28.4%7.5%4.9%
Skew 10d5.8%-1.3%18.1%3.8%4.7%
Call IV 25d11.8%4.9%17.2%4.9%13.2%
Put IV 25d17.2%10.8%38.6%12.4%18.1%
Bid-Ask Spread %125.37118.58144.29124.33130.54
Gamma HHI0.270.220.340.340.27
Net GEX-13.7K-52.4K37.7K-22.9K-34.7K
Net DEX283.4K44.6K651.3K125.3K425.7K
Net VEX-2.5K-2.8K-1.9K-2.2K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.005.000.003.80
Total Volume10.76206303
Total OI348.762293395306372

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$68.69$67.009.9%2.8%10.5%0.0%0.0%7.5%1.4%-22.9K125.3K-2.2K0.00124.33N/AN/A00109197
2021-09-02$68.81$64.009.6%2.8%10.5%0.0%0.0%2.6%0.3%-13.0K105.4K-2.2K0.00120.19N/AN/A00109198
2021-09-03$69.12$64.0010.0%2.7%10.5%0.0%0.0%-0.4%0.4%-9.0K88.3K-2.2K0.00121.84N/AN/A630109198
2021-09-07$68.85$64.0011.6%2.8%10.6%0.0%0.0%6.4%0.4%-9.1K131.5K-2.2K0.00121.26N/AN/A00109198
2021-09-08$68.28$64.0011.8%3.4%11.0%0.0%0.0%2.5%0.3%24.4K140.7K-2.5K5.00121.57N/AN/A15172198
2021-09-09$68.26$64.0013.2%3.8%10.4%0.0%0.0%2.7%2.3%7.9K157.9K-2.4K0.00118.58N/AN/A00172198
2021-09-10$68.01$64.0011.7%3.4%10.4%0.0%0.0%0.5%0.1%12.9K152.3K-2.7K0.00125.13N/AN/A00173203
2021-09-13$68.65$64.0012.0%3.5%10.9%0.0%11.4%5.1%-1.7%37.7K83.3K-2.3K2.50120.34N/AN/A25173203
2021-09-14$68.21$64.0011.0%3.2%11.1%0.0%0.0%6.2%-0.1%21.0K243.4K-2.5K0.00124.39N/AN/A018173203
2021-09-15$68.62$64.0011.8%3.4%10.7%0.0%0.0%-4.6%3.1%35.1K44.6K-2.5K0.00144.29N/AN/A00174203
2021-09-16$68.24$64.008.9%2.6%10.9%0.0%0.0%3.8%1.8%-8.7K176.7K-1.9K0.00120.88N/AN/A016174221
2021-09-17$67.34$64.0014.8%4.2%10.7%0.0%0.0%2.2%-3.7%-52.4K425.9K-2.2K0.00121.09N/AN/A30174221
2021-09-20$64.96$64.0019.3%5.5%16.7%0.0%17.9%3.7%-2.4%-48.9K651.3K-2.5K0.70126.17N/AN/A10766227
2021-09-21$65.73$64.0032.4%9.3%16.9%0.0%8.2%28.4%-13.0%-40.0K528.8K-2.6K0.00129.65N/AN/A37069227
2021-09-22$66.40$67.0014.4%4.1%17.3%0.0%0.0%5.1%2.5%-40.4K472.3K-2.7K0.00128.59N/AN/A0079234
2021-09-23$67.07$67.0015.6%4.5%17.7%0.0%19.3%9.1%1.4%-25.0K383.3K-2.8K0.00122.04N/AN/A120116234
2021-09-24$66.67$67.0014.7%4.2%17.7%0.0%0.0%6.2%-2.2%-34.4K435.3K-2.7K0.00124.18N/AN/A10116234
2021-09-27$67.15$67.0017.2%4.9%17.2%0.0%0.0%6.8%-2.0%-30.2K316.3K-2.7K0.00131.29N/AN/A00128234
2021-09-28$66.27$67.0017.3%5.0%17.8%0.0%0.0%5.1%-0.5%-25.4K402.8K-2.6K0.36123.87N/AN/A145129234
2021-09-29$66.28$67.0019.9%5.7%17.8%0.0%17.7%8.7%-3.0%-31.9K460.7K-2.6K3.80132.61N/AN/A519129234
2021-09-30$66.23$67.0017.4%5.0%17.6%0.0%0.0%4.9%-4.5%-34.7K425.7K-2.5K0.00130.54N/AN/A03143229