VYMI Options History — February 2022

In February 2022, VYMI traded between $66.85 and $70.89. ATM implied volatility averaged 18.9%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 5.1% (HV 20d: 13.8%). Max pain ranged from $66.00 to $70.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.54.

Notable Days

  • 2022-02-10: Highest Volume — 483 contracts
  • 2022-02-22: Largest IV spike — 72.2% change
  • 2022-02-28: Highest IV Rank — 67.8%
  • 2022-02-28: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.46$66.85$70.89$69.28$67.30
Max Pain$68.84$66.00$70.00$68.00$69.00
ATM IV18.9%13.5%26.1%17.2%26.1%
Expected Move5.3%3.7%7.5%4.9%7.5%
HV 20d13.8%12.4%18.1%13.9%18.1%
HV 60d14.3%13.4%15.4%14.0%15.4%
IV Rank40.7%20.2%67.8%34.1%67.8%
IV Percentile77.5%44.0%97.7%75.1%97.7%
Term Structure-0.7%-8.3%3.4%-1.4%-4.3%
VWIV18.9%14.0%31.2%20.1%30.3%
Skew 25d3.3%-12.2%10.7%-2.1%10.7%
Skew 10d6.0%-3.2%17.9%14.9%2.7%
Call IV 25d16.7%9.8%38.7%15.2%26.4%
Put IV 25d20.0%13.2%37.1%13.2%37.1%
Bid-Ask Spread %125.41114.34133.74128.89121.39
Gamma HHI0.390.210.570.290.22
Net GEX83.3K20.9K168.9K36.3K32.3K
Net DEX-408.5K-821.9K31.8K-235.1K5.0K
Net VEX-4.7K-6.2K-1.5K-1.9K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.131.360.580.20
Total Volume299.2119248393358
Total OI540.158377667397509

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-02-01$69.28$68.0017.2%4.9%13.9%34.1%20.1%-2.1%-1.4%36.3K-235.1K-1.9K0.58128.89N/AN/A5934205192
2022-02-02$69.72$66.0014.7%4.2%13.7%25.0%17.3%0.8%-0.4%83.9K-309.8K-1.6K0.59133.74N/AN/A5834208188
2022-02-03$69.29$66.0015.9%4.3%13.8%29.4%15.3%3.4%2.7%25.6K-239.1K-2.0K0.59124.20N/AN/A5834210188
2022-02-04$69.42$66.0017.3%4.3%13.8%34.5%14.9%3.6%2.4%40.6K-276.0K-1.9K0.59126.66N/AN/A5834210188
2022-02-07$69.74$66.0019.8%5.2%13.5%44.1%18.9%6.2%3.4%86.8K-304.2K-1.5K1.34126.22N/AN/A202271210188
2022-02-08$70.30$70.0017.2%3.7%13.6%34.3%14.2%6.4%3.3%121.9K-675.4K-5.9K1.35126.84N/AN/A202272356293
2022-02-09$70.89$70.0013.5%3.9%13.1%20.2%14.0%4.2%0.8%145.8K-821.9K-5.9K1.36129.86N/AN/A202274356294
2022-02-10$70.51$70.0016.1%4.6%12.8%30.1%17.8%4.2%-1.7%120.2K-706.0K-6.1K1.32121.85N/AN/A208275356293
2022-02-11$70.10$70.0025.4%7.3%13.0%65.1%31.2%-12.2%-8.3%71.6K-666.3K-6.2K0.67132.11N/AN/A208140362292
2022-02-14$69.58$70.0018.3%5.3%13.2%38.5%17.5%2.3%1.7%106.3K-438.1K-5.7K0.20122.13N/AN/A20941362292
2022-02-15$70.23$70.0015.2%4.4%13.1%26.8%14.7%1.3%2.3%138.9K-627.1K-5.7K0.20131.18N/AN/A20941362293
2022-02-16$70.84$70.0016.3%4.7%13.4%31.0%16.6%4.4%-3.1%168.9K-794.0K-5.5K0.19129.94N/AN/A21441362293
2022-02-17$70.05$70.0018.0%5.1%13.8%37.1%17.6%4.5%0.7%126.0K-608.0K-5.5K0.22129.34N/AN/A21448366293
2022-02-18$69.77$70.0014.7%4.2%13.1%24.9%15.2%7.1%-1.5%129.1K-462.0K-5.3K0.20125.88N/AN/A24048366301
2022-02-22$69.03$70.0025.3%7.3%12.5%64.7%19.2%4.2%-8.3%22.2K-212.4K-5.5K0.13119.79N/AN/A31540231146
2022-02-23$68.53$69.0024.1%6.9%12.4%60.3%17.6%5.0%-1.9%62.9K-302.7K-5.9K0.17117.39N/AN/A29749335151
2022-02-24$66.85$69.0023.9%6.9%15.1%59.6%26.2%2.6%-1.5%20.9K31.8K-5.4K0.18121.12N/AN/A29752343160
2022-02-25$68.40$69.0020.2%5.8%17.2%45.5%19.8%5.6%1.5%43.0K-120.8K-5.7K0.18114.34N/AN/A29752343166
2022-02-28$67.30$69.0026.1%7.5%18.1%67.8%30.3%10.7%-4.3%32.3K5.0K-5.5K0.20121.39N/AN/A29860343166