VYMI Options History — March 2022

In March 2022, VYMI traded between $62.98 and $68.47. ATM implied volatility averaged 27.8%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 5.1% (HV 20d: 22.7%). Max pain ranged from $69.00 to $70.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.22.

Notable Days

  • 2022-03-31: Highest Volume — 533 contracts
  • 2022-03-22: Largest IV spike — 46.6% change
  • 2022-03-04: Highest IV Rank — 100.0%
  • 2022-03-07: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.23$62.98$68.47$66.08$67.72
Max Pain$69.09$69.00$70.00$69.00$69.00
ATM IV27.8%15.1%51.7%34.1%24.1%
Expected Move7.9%4.5%14.8%9.8%4.8%
HV 20d22.7%18.6%25.8%18.6%20.5%
HV 60d17.4%15.6%18.1%15.6%18.0%
IV Rank50.6%16.0%100.0%97.6%36.9%
IV Percentile91.0%53.8%100.0%99.5%88.8%
Term Structure-4.1%-14.2%9.2%-5.0%-12.0%
VWIV29.0%16.9%65.5%27.1%16.9%
Skew 25d10.5%-0.8%23.3%-0.4%2.5%
Skew 10d16.3%3.1%30.8%15.7%4.4%
Call IV 25d24.3%13.1%36.4%36.4%17.7%
Put IV 25d34.8%20.2%48.7%36.0%20.2%
Bid-Ask Spread %106.3488.09124.36114.7597.96
Gamma HHI0.220.190.260.220.22
Net GEX31.1K-8.1K86.2K19.3K75.0K
Net DEX34.2K-407.2K399.1K132.4K-229.8K
Net VEX-5.5K-6.9K-4.5K-5.3K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.140.540.180.54
Total Volume395.304351533351533
Total OI554.391480677519677

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$66.08$69.0034.1%9.8%18.6%97.6%27.1%-0.4%-5.0%19.3K132.4K-5.3K0.18114.75N/AN/A29853344175
2022-03-02$66.85$69.0031.2%8.9%18.7%86.6%28.6%9.3%-0.7%24.7K69.5K-5.4K0.18118.24N/AN/A29853344178
2022-03-03$65.76$69.0032.3%9.3%19.1%90.8%36.8%3.8%-2.8%15.7K170.7K-5.2K0.18117.23N/AN/A30153344178
2022-03-04$64.22$70.0044.1%12.7%20.5%100.0%46.8%16.4%-8.0%13.5K196.3K-5.1K0.18116.99N/AN/A30354347178
2022-03-07$62.98$70.0051.7%14.8%21.1%100.0%65.5%14.9%-7.6%6.2K370.1K-4.7K0.18120.09N/AN/A30454349185
2022-03-08$63.35$69.0032.6%13.6%21.2%56.2%47.2%20.5%-0.4%3.1K399.1K-4.5K0.20118.61N/AN/A30560350186
2022-03-09$65.22$69.0028.8%12.9%24.0%47.5%45.6%16.8%-7.5%9.4K250.2K-5.0K0.20120.31N/AN/A30561351187
2022-03-10$64.77$69.0027.5%9.7%23.6%44.5%43.5%23.3%-2.0%2.5K299.9K-4.8K0.19118.19N/AN/A32161351191
2022-03-11$64.40$69.0031.6%12.5%23.6%54.0%47.7%2.6%1.6%4.5K273.3K-5.1K0.19124.36N/AN/A32162371191
2022-03-14$64.51$69.0029.7%6.5%23.7%49.5%23.9%10.0%-9.0%937282.6K-4.8K0.2388.09N/AN/A33077361192
2022-03-15$64.84$69.0021.9%7.2%23.9%31.7%24.0%10.0%2.0%2.8K311.3K-5.0K0.24104.93N/AN/A32477382207
2022-03-16$66.18$69.0022.7%6.1%25.0%33.6%19.3%4.0%9.2%-8.1K248.8K-5.0K0.24102.75N/AN/A32477380207
2022-03-17$67.04$69.0028.8%4.5%25.3%47.5%21.1%12.8%-14.2%23.8K68.4K-5.3K0.24104.92N/AN/A32177380207
2022-03-18$67.54$69.0020.4%6.8%25.3%28.3%22.2%8.2%1.8%12.2K96.2K-5.0K0.1994.10N/AN/A42078379207
2022-03-21$66.87$69.0015.1%5.3%25.5%16.0%18.0%15.5%3.9%36.1K-118.6K-5.7K0.18104.86N/AN/A30153303177
2022-03-22$67.75$69.0022.1%5.0%25.8%32.1%18.3%6.1%-4.8%57.3K-169.6K-6.0K0.1690.06N/AN/A30748316186
2022-03-23$67.35$69.0026.1%5.7%25.8%41.2%18.0%19.3%2.3%57.9K-249.3K-6.0K0.16106.56N/AN/A30749332191
2022-03-24$67.60$69.0023.3%5.2%24.2%34.8%21.0%17.0%-4.7%55.3K-233.7K-6.1K0.1496.04N/AN/A34047332192
2022-03-25$67.83$69.0025.5%4.6%22.7%40.0%19.4%12.8%-13.2%67.7K-345.9K-6.3K0.1498.02N/AN/A34147369192
2022-03-28$67.51$69.0021.5%5.0%22.0%30.8%19.4%5.5%-7.4%66.0K-241.4K-6.1K0.1496.38N/AN/A34147370192
2022-03-29$68.47$69.0023.8%5.6%21.4%36.0%17.8%-0.8%-9.0%82.2K-407.2K-6.2K0.38102.32N/AN/A342129370193
2022-03-30$68.37$69.0020.2%5.5%21.1%27.8%18.2%12.0%-7.3%86.2K-387.2K-6.2K0.4190.13N/AN/A347141372285
2022-03-31$67.72$69.0024.1%4.8%20.5%36.9%16.9%2.5%-12.0%75.0K-229.8K-6.9K0.5497.96N/AN/A347186378299