VYMI Options History — January 2022

In January 2022, VYMI traded between $67.55 and $70.35. ATM implied volatility averaged 17.1%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 4.2% (HV 20d: 12.9%). Max pain ranged from $65.00 to $68.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2022-01-26: Highest Volume — 184 contracts
  • 2022-01-27: Largest IV drop — 46.3% change
  • 2022-01-26: Highest IV Rank — 100.0%
  • 2022-01-26: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.75$67.55$70.35$67.61$68.57
Max Pain$66.20$65.00$68.00$66.00$68.00
ATM IV17.1%11.2%34.7%14.1%19.3%
Expected Move4.7%3.2%10.0%4.0%5.5%
HV 20d12.9%9.8%14.3%14.3%13.6%
HV 60d13.2%12.5%13.9%12.5%13.9%
IV Rank36.0%13.0%100.0%24.6%42.2%
IV Percentile66.6%14.1%100.0%55.2%87.5%
Term Structure-0.1%-9.3%5.9%-0.9%-2.9%
VWIV17.7%12.8%39.1%12.8%19.0%
Skew 25d5.2%-1.9%15.1%4.5%6.7%
Skew 10d3.6%-7.0%15.6%-7.0%1.6%
Call IV 25d13.8%6.6%38.0%9.3%15.5%
Put IV 25d19.0%12.6%36.1%13.7%22.3%
Bid-Ask Spread %127.65114.91143.95133.47126.55
Gamma HHI0.370.230.570.230.32
Net GEX55.6K-33.4K150.0K9.3K17.3K
Net DEX-188.4K-590.9K151.2K87.6K-118.0K
Net VEX-1.7K-2.3K-1.2K-1.7K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.211.150.430.55
Total Volume108.4731847387
Total OI396.75269441411391

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$67.61$66.0014.1%4.0%14.3%24.6%12.8%4.5%-0.9%9.3K87.6K-1.7K0.43133.47N/AN/A5122235176
2022-01-04$68.26$66.0014.0%4.0%13.6%24.5%13.2%1.1%-1.3%39.2K-70.0K-1.5K0.55131.98N/AN/A4927233176
2022-01-05$67.99$66.0014.6%4.2%13.3%26.9%17.6%0.4%-7.1%44.0K-165.2K-1.4K0.42128.66N/AN/A5925234176
2022-01-06$68.13$65.0017.9%3.7%13.2%40.6%13.9%3.2%3.6%34.4K-85.7K-1.6K0.44127.27N/AN/A5926244176
2022-01-07$68.80$65.0015.5%3.6%13.4%30.7%14.0%4.8%5.9%71.9K-215.6K-2.0K0.44126.33N/AN/A5926248176
2022-01-10$68.57$65.0015.6%3.4%13.5%31.1%14.7%3.1%5.3%65.5K-99.0K-2.2K0.44127.55N/AN/A5926248176
2022-01-11$69.54$65.0017.5%3.8%13.5%38.7%13.7%5.3%4.3%99.4K-407.4K-1.7K0.44126.44N/AN/A5926248176
2022-01-12$70.22$65.0012.5%3.6%13.6%18.1%19.8%8.4%3.3%109.8K-512.5K-2.3K1.05127.16N/AN/A6265248176
2022-01-13$70.28$65.0012.2%3.5%13.6%17.0%14.4%9.3%1.7%112.3K-590.9K-1.9K1.15127.71N/AN/A6271253177
2022-01-14$70.35$65.0014.3%4.1%13.4%25.6%16.6%9.3%4.1%114.3K-569.9K-2.1K0.97123.75N/AN/A7371253183
2022-01-18$69.61$65.0013.2%3.8%13.7%21.1%13.3%0.6%-1.2%115.1K-471.9K-1.2K0.97127.84N/AN/A7371253183
2022-01-19$69.90$65.0011.2%3.2%9.8%13.0%12.8%5.4%4.5%150.0K-505.3K-1.2K0.92125.17N/AN/A7367253183
2022-01-20$69.39$65.0014.7%4.2%10.0%27.3%15.9%2.9%0.0%117.2K-258.5K-1.4K0.92120.31N/AN/A7872253182
2022-01-21$68.56$68.0017.7%5.1%11.2%39.6%21.1%10.0%-6.6%61.7K-99.7K-1.5K0.96129.77N/AN/A7572256185
2022-01-24$67.55$68.0019.3%5.5%12.4%46.1%20.3%9.9%0.7%-33.4K151.2K-1.3K0.59114.91N/AN/A513095174
2022-01-25$68.20$68.0026.2%7.5%12.6%74.5%25.4%15.1%-4.2%-21.8K82.0K-1.3K0.63129.69N/AN/A513295177
2022-01-26$67.73$68.0034.7%10.0%12.8%100.0%39.1%-1.9%-9.3%-14.7K114.7K-1.8K0.21143.95N/AN/A1523295179
2022-01-27$68.04$68.0018.7%5.4%12.8%39.8%17.9%0.3%-1.0%13.4K-30.9K-1.8K0.56123.83N/AN/A5732196186
2022-01-28$67.76$68.0018.6%5.3%12.9%39.6%19.4%5.8%0.1%7.5K-3.2K-1.8K0.56130.68N/AN/A5531201186
2022-01-31$68.57$68.0019.3%5.5%13.6%42.2%19.0%6.7%-2.9%17.3K-118.0K-1.5K0.55126.55N/AN/A5631204187