VYMI Options History — October 2021

In October 2021, VYMI traded between $66.28 and $68.81. ATM implied volatility averaged 16.4%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.9% (HV 20d: 13.6%). Max pain ranged from $67.00 to $70.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2021-10-20: Highest Volume — 113 contracts
  • 2021-10-05: Largest IV drop — 32.3% change
  • 2021-10-29: Highest IV Rank — 25.8%
  • 2021-10-01: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.73$66.28$68.81$66.48$67.91
Max Pain$69.86$67.00$70.00$67.00$70.00
ATM IV16.4%10.9%28.3%22.5%14.3%
Expected Move4.2%3.1%6.4%6.4%4.1%
HV 20d13.6%7.4%18.1%17.6%8.4%
HV 60d13.2%12.6%14.4%14.4%12.7%
IV Rank20.2%11.8%25.8%19.6%25.8%
IV Percentile48.4%15.7%63.5%50.0%63.5%
Term Structure0.3%-2.0%2.3%0.6%-2.0%
VWIV15.1%8.7%23.6%23.6%15.6%
Skew 25d4.0%-2.3%9.3%3.1%-1.5%
Skew 10d6.5%-2.0%16.1%3.3%3.4%
Call IV 25d12.2%6.6%26.2%26.2%13.5%
Put IV 25d16.2%11.6%29.3%29.3%12.0%
Bid-Ask Spread %130.38115.06147.25129.03144.28
Gamma HHI0.200.140.260.230.20
Net GEX4.4K-26.7K37.7K-24.3K2.9K
Net DEX150.4K-76.5K449.3K391.1K128.5K
Net VEX-2.4K-3.1K-1.8K-2.9K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.001.500.000.45
Total Volume49.714011377113
Total OI453.048396479396447

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$66.48$67.0022.5%6.4%17.6%0.0%0.0%3.1%0.6%-24.3K391.1K-2.9K0.00129.03N/AN/A770148248
2021-10-04$66.28$70.0028.3%4.5%17.5%0.0%0.0%8.0%2.0%-26.7K449.3K-2.8K0.00120.34N/AN/A50148251
2021-10-05$66.83$70.0019.2%4.3%17.8%0.0%23.6%9.3%0.7%-4.3K281.0K-3.1K0.00121.71N/AN/A30225251
2021-10-06$66.39$70.0016.9%4.3%17.8%0.0%0.0%6.2%2.1%-23.0K366.8K-2.7K0.00115.92N/AN/A50225251
2021-10-07$66.94$70.0020.4%4.5%18.1%0.0%0.0%8.0%1.3%-2.3K263.3K-3.1K0.00115.06N/AN/A00227251
2021-10-08$67.17$70.0020.2%4.8%18.1%0.0%21.5%4.9%1.6%5.4K274.1K-3.1K1.50119.15N/AN/A23227251
2021-10-11$67.15$70.0021.8%4.6%17.7%0.0%0.0%6.3%1.0%6.4K242.4K-2.9K0.00124.04N/AN/A00222251
2021-10-12$67.06$70.0021.6%5.0%17.6%0.0%8.7%7.8%-1.3%4.0K268.4K-2.9K0.00117.16N/AN/A40224251
2021-10-13$67.45$70.0018.6%5.3%17.6%0.0%0.0%8.5%0.3%9.6K181.2K-2.9K0.00116.53N/AN/A00224251
2021-10-14$67.92$70.0012.8%3.7%17.7%19.6%0.0%6.4%2.3%14.2K50.4K-2.4K0.00120.50N/AN/A00228251
2021-10-15$68.43$70.0010.9%3.1%17.2%11.8%16.1%5.8%1.0%37.7K-76.5K-1.9K0.00143.19N/AN/A380228251
2021-10-18$68.22$70.0011.7%3.4%10.6%15.1%15.0%4.7%1.9%-17.0K150.0K-2.1K0.00134.85N/AN/A02162245
2021-10-19$68.47$70.0012.0%3.4%10.0%16.2%0.0%2.8%2.0%-15949.5K-1.8K0.00125.05N/AN/A10200245
2021-10-20$68.81$70.0011.5%3.3%9.6%14.1%11.2%4.0%1.6%9.8K-19.7K-2.2K0.45118.48N/AN/A7835201247
2021-10-21$68.28$70.0013.3%3.8%9.7%21.7%13.9%-0.1%-1.5%10.2K76.0K-2.1K0.45144.30N/AN/A7835201247
2021-10-22$68.48$70.0013.5%3.9%9.4%22.4%13.6%1.2%-1.1%16.0K26.2K-2.2K0.45145.58N/AN/A7835200247
2021-10-25$68.57$70.0013.7%3.9%9.1%23.1%14.5%0.5%-1.0%18.3K8.2K-2.1K0.45147.03N/AN/A7835200247
2021-10-26$68.68$70.0013.6%3.9%7.4%22.8%14.1%-0.4%-1.3%23.3K-10.8K-2.0K0.45143.94N/AN/A7835200247
2021-10-27$68.34$70.0014.0%4.0%7.8%24.6%13.6%0.2%-1.7%14.4K50.4K-1.9K0.45147.25N/AN/A7835200247
2021-10-28$68.47$70.0014.3%4.1%7.7%25.7%15.2%-2.3%-1.6%18.2K8.0K-2.0K0.45144.67N/AN/A7835200247
2021-10-29$67.91$70.0014.3%4.1%8.4%25.8%15.6%-1.5%-2.0%2.9K128.5K-1.8K0.45144.28N/AN/A7835200247