VYMI Options History — December 2021

In December 2021, VYMI traded between $64.77 and $67.50. ATM implied volatility averaged 17.3%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.5% (HV 20d: 15.9%). Max pain ranged from $66.00 to $67.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.68.

Notable Days

  • 2021-12-10: Highest Volume — 259 contracts
  • 2021-12-15: Largest IV drop — 56.7% change
  • 2021-12-14: Highest IV Rank — 97.7%
  • 2021-12-02: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.50$64.77$67.50$64.77$67.28
Max Pain$66.14$66.00$67.00$67.00$66.00
ATM IV17.3%11.3%31.8%22.3%14.0%
Expected Move4.4%3.2%7.1%6.4%4.0%
HV 20d15.9%12.5%19.1%12.5%14.6%
HV 60d13.1%11.8%14.3%13.5%12.6%
IV Rank38.1%13.3%97.7%58.6%24.3%
IV Percentile66.2%17.2%99.4%96.2%54.4%
Term Structure-0.6%-7.1%4.7%-5.8%4.7%
VWIV14.8%10.4%22.9%19.7%14.3%
Skew 25d1.8%-5.2%7.2%7.2%1.8%
Skew 10d4.3%-6.6%22.1%22.1%17.6%
Call IV 25d13.9%7.2%25.6%20.6%11.3%
Put IV 25d15.6%12.4%29.5%27.8%13.1%
Bid-Ask Spread %127.88121.75133.04121.75133.04
Gamma HHI0.360.240.480.440.27
Net GEX-23.4K-42.5K5.4K-33.0K-5.0K
Net DEX210.8K56.9K367.0K367.0K105.5K
Net VEX-1.8K-2.1K-1.6K-2.0K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.383.403.370.46
Total Volume133.6366525915373
Total OI343.636244411244411

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$64.77$67.0022.3%6.4%12.5%58.6%19.7%7.2%-5.8%-33.0K367.0K-2.0K3.37121.75N/AN/A3511873171
2021-12-02$65.72$67.0024.6%7.1%13.6%67.9%22.9%3.8%-7.1%-35.4K312.1K-1.9K3.37132.49N/AN/A3511874173
2021-12-03$65.20$67.0020.4%5.8%13.6%50.5%19.0%1.5%-6.0%-35.5K363.0K-1.9K3.40129.77N/AN/A3511974173
2021-12-06$66.24$66.0021.8%5.1%15.0%56.4%14.7%3.8%-1.4%-33.8K277.4K-1.8K3.05123.86N/AN/A3911974174
2021-12-07$66.98$66.0019.3%4.5%15.6%46.0%18.0%-5.2%-2.6%-39.3K214.9K-1.6K3.05130.67N/AN/A3911978174
2021-12-08$67.20$66.0018.5%4.7%15.6%43.0%17.3%-1.6%-1.7%-33.1K193.4K-1.7K3.08131.46N/AN/A3912078174
2021-12-09$66.82$66.0016.7%4.6%15.6%35.5%17.5%-4.9%-2.9%-34.4K216.1K-1.6K3.08132.43N/AN/A3912078172
2021-12-10$66.96$66.0020.3%4.4%15.4%50.1%12.0%0.0%-1.6%-31.9K189.9K-1.7K0.86130.87N/AN/A13912097172
2021-12-13$66.28$66.0026.1%4.2%15.8%74.2%14.6%1.5%-0.3%-20.4K217.8K-1.8K0.86125.01N/AN/A139120197172
2021-12-14$66.10$66.0031.8%4.3%15.8%97.7%16.1%3.8%-0.8%-30.7K258.3K-1.7K1.98123.05N/AN/A61121197172
2021-12-15$66.56$66.0013.8%4.0%16.0%23.6%13.0%4.1%0.4%-42.5K211.0K-1.7K1.98122.71N/AN/A61121219174
2021-12-16$67.13$66.0013.5%3.9%16.4%22.3%12.4%3.2%-0.1%-16.3K121.3K-1.9K2.82128.06N/AN/A44124219174
2021-12-17$66.57$66.0013.5%3.9%16.6%22.3%14.4%0.3%-0.3%-41.4K236.5K-1.7K2.34125.82N/AN/A53124224178
2021-12-20$65.05$66.0015.1%4.3%18.1%28.8%14.3%1.7%-1.1%-35.3K337.7K-1.7K0.38124.12N/AN/A4718227167
2021-12-21$65.85$66.0015.0%4.3%18.8%28.4%13.9%2.8%-2.1%-13.5K246.8K-2.0K0.40127.92N/AN/A4719231168
2021-12-22$66.28$66.0011.3%3.2%18.9%13.3%14.0%2.4%4.4%-5.5K234.0K-2.1K0.39126.09N/AN/A4919231169
2021-12-23$66.79$66.0012.0%3.4%19.1%16.3%11.9%-0.3%0.1%-30.8K196.5K-1.6K0.39128.47N/AN/A4919234169
2021-12-27$67.22$66.0012.5%3.6%15.6%18.1%11.8%2.2%3.3%-4.1K56.9K-1.7K0.39130.16N/AN/A4919234169
2021-12-28$67.50$66.0013.2%3.8%15.6%21.3%11.7%2.7%0.1%798100.8K-1.7K0.38126.55N/AN/A5019235170
2021-12-29$67.29$66.0012.0%3.5%15.3%16.4%10.4%5.3%3.4%5.4K91.0K-1.8K0.38130.27N/AN/A5019235170
2021-12-30$67.17$66.0013.8%4.0%15.4%23.6%12.7%3.3%3.3%1.6K89.5K-1.6K0.46128.87N/AN/A5023235170
2021-12-31$67.28$66.0014.0%4.0%14.6%24.3%14.3%1.8%4.7%-5.0K105.5K-1.6K0.46133.04N/AN/A5023235176