VYMI Options History — November 2021

In November 2021, VYMI traded between $64.68 and $68.64. ATM implied volatility averaged 16.1%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 7.1% (HV 20d: 8.9%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2021-11-18: Highest Volume — 211 contracts
  • 2021-11-26: Largest IV spike — 104.5% change
  • 2021-11-26: Highest IV Rank — 70.5%
  • 2021-11-26: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.50$64.68$68.64$68.52$64.68
Max Pain$66.67$65.00$70.00$70.00$67.00
ATM IV16.1%12.2%25.2%14.9%17.9%
Expected Move4.4%3.5%7.2%4.3%5.1%
HV 20d8.9%7.6%13.0%8.7%12.4%
HV 60d12.7%12.1%13.5%12.8%13.5%
IV Rank32.8%17.0%70.5%28.0%40.6%
IV Percentile68.6%35.1%98.7%68.8%86.1%
Term Structure-2.0%-6.8%5.3%-1.4%-6.8%
VWIV15.2%11.5%24.7%16.0%19.6%
Skew 25d2.8%-1.5%7.2%0.4%1.2%
Skew 10d5.4%1.3%21.1%9.1%11.1%
Call IV 25d13.5%9.7%25.4%13.5%17.1%
Put IV 25d16.2%12.6%28.0%13.9%18.3%
Bid-Ask Spread %133.73119.21145.16143.27123.10
Gamma HHI0.290.180.600.210.51
Net GEX-5.1K-70.3K27.0K21.5K-39.1K
Net DEX170.1K-37.3K567.9K5.8K404.0K
Net VEX-1.6K-2.1K-1.2K-1.8K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.433.500.453.50
Total Volume143.381113211113153
Total OI403.429221558448241

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$68.52$70.0014.9%4.3%8.7%28.0%16.0%0.4%-1.4%21.5K5.8K-1.8K0.45143.27N/AN/A7835201247
2021-11-02$68.22$70.0015.5%4.4%8.6%30.6%17.3%0.5%-2.4%11.9K53.8K-1.8K0.45145.16N/AN/A7835201247
2021-11-03$68.64$70.0015.4%4.4%8.3%30.0%15.9%3.9%5.3%27.0K-18.5K-1.7K0.43138.54N/AN/A8135201247
2021-11-04$68.18$69.0015.8%3.7%8.4%31.9%12.8%0.3%-2.0%12.3K68.7K-1.7K0.43133.46N/AN/A8235204247
2021-11-05$68.35$65.0016.6%4.0%8.4%35.0%14.3%3.0%-3.9%25.1K84.1K-1.2K0.43133.23N/AN/A8235205247
2021-11-08$68.61$65.0017.8%4.2%8.4%39.8%12.1%3.8%-1.0%24.0K-37.3K-1.6K0.44134.98N/AN/A8035205247
2021-11-09$68.44$65.0018.5%3.7%8.5%42.8%12.2%6.0%-2.9%20.9K-12.8K-1.6K0.44133.82N/AN/A8035206247
2021-11-10$67.94$65.0013.5%3.9%8.8%22.5%14.0%5.6%-3.9%5.1K108.0K-1.4K0.44131.77N/AN/A8035206247
2021-11-11$68.31$65.0012.7%3.6%8.6%19.1%12.5%3.6%-1.6%16.9K78.9K-1.5K0.44135.13N/AN/A8035206248
2021-11-12$68.31$65.0012.9%3.7%8.2%19.8%12.6%3.5%-1.3%23.9K63.3K-1.2K0.44136.58N/AN/A8035206248
2021-11-15$68.23$65.0016.6%4.8%8.1%35.1%15.0%3.7%-5.7%16.1K51.2K-1.2K0.99137.58N/AN/A7574206248
2021-11-16$67.97$65.0013.3%3.8%8.1%21.5%13.7%3.5%-1.8%-4.0K197.6K-1.5K0.99136.29N/AN/A7574206289
2021-11-17$67.76$65.0016.2%4.7%7.9%33.6%13.4%2.7%-3.9%-11.9K228.7K-1.5K1.80133.18N/AN/A75135206289
2021-11-18$67.48$67.0015.6%4.5%7.6%31.0%14.5%7.2%-0.9%-18.0K451.1K-2.1K1.78134.88N/AN/A76135206348
2021-11-19$66.85$67.0016.7%4.8%8.1%35.6%15.9%0.2%-4.3%-70.3K567.9K-1.8K1.80135.21N/AN/A75135208350
2021-11-22$66.95$67.0013.4%3.8%8.1%21.7%15.1%-1.5%3.3%-34.9K192.4K-1.7K2.85119.21N/AN/A4111764157
2021-11-23$67.17$67.0012.2%3.5%8.2%17.0%13.4%2.8%2.0%-34.0K178.4K-1.8K2.78130.08N/AN/A4111472163
2021-11-24$66.90$67.0012.3%3.5%8.1%17.5%11.5%-0.3%0.5%-35.3K207.4K-1.8K2.78133.73N/AN/A4111472163
2021-11-26$64.93$67.0025.2%7.2%13.0%70.5%24.7%2.6%-5.2%-29.0K354.5K-2.0K2.80131.09N/AN/A4111572163
2021-11-29$65.15$67.0024.1%6.9%13.0%66.1%21.7%5.6%-5.2%-36.1K345.0K-1.8K3.16127.98N/AN/A3711772164
2021-11-30$64.68$67.0017.9%5.1%12.4%40.6%19.6%1.2%-6.8%-39.1K404.0K-1.8K3.50123.10N/AN/A3411972169