VYMI Options History — April 2022

In April 2022, VYMI traded between $63.41 and $68.40. ATM implied volatility averaged 24.6%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 10.6% (HV 20d: 13.9%). Max pain ranged from $68.00 to $69.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2022-04-01: Highest Volume — 533 contracts
  • 2022-04-13: Largest IV drop — 52.4% change
  • 2022-04-12: Highest IV Rank — 79.1%
  • 2022-04-27: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.38$63.41$68.40$68.06$64.00
Max Pain$68.55$68.00$69.00$69.00$68.00
ATM IV24.6%15.0%42.6%19.8%20.3%
Expected Move5.9%4.3%8.3%4.3%5.8%
HV 20d13.9%11.0%18.3%18.3%14.5%
HV 60d17.9%17.5%18.4%18.0%18.2%
IV Rank37.9%16.0%79.1%26.9%28.1%
IV Percentile82.4%49.6%99.2%78.6%77.8%
Term Structure3.3%-4.5%13.5%-3.1%7.6%
VWIV21.5%15.8%29.3%18.4%28.1%
Skew 25d9.1%1.8%19.1%18.0%6.3%
Skew 10d16.8%4.0%28.3%4.0%26.6%
Call IV 25d20.7%14.6%34.5%16.4%34.5%
Put IV 25d29.8%22.0%40.8%34.4%40.8%
Bid-Ask Spread %111.3893.06129.1493.06117.61
Gamma HHI0.180.150.210.210.16
Net GEX29.6K-11.2K80.4K72.7K4.5K
Net DEX258.7K-77.2K660.3K-67.0K591.4K
Net VEX-7.1K-8.1K-6.1K-7.9K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.531.050.541.00
Total Volume455.952533533413
Total OI724.8581764742729

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-04-01$68.06$69.0019.8%4.3%18.3%26.9%18.4%18.0%-3.1%72.7K-67.0K-7.9K0.5493.06N/AN/A347186379363
2022-04-04$68.40$69.0020.7%4.6%16.2%29.0%18.2%8.1%12.6%80.4K-77.2K-7.7K0.54108.53N/AN/A347186379363
2022-04-05$67.50$69.0030.1%4.8%17.3%50.5%19.4%3.4%8.3%54.7K61.5K-7.8K0.53105.45N/AN/A346182379363
2022-04-06$67.29$69.0036.9%7.0%14.5%66.1%22.6%14.1%-0.4%48.4K76.7K-8.1K0.54115.52N/AN/A346186380363
2022-04-07$67.20$69.0029.1%6.8%14.2%48.3%22.6%5.0%1.6%36.9K167.3K-7.6K0.55120.54N/AN/A340188382369
2022-04-08$67.58$69.0028.8%6.1%14.0%47.5%17.7%14.3%-1.6%48.6K121.5K-7.4K0.55113.09N/AN/A340188383371
2022-04-11$67.10$69.0028.2%5.9%14.4%46.1%18.2%7.8%-0.6%32.6K202.2K-7.1K0.55107.82N/AN/A340188383371
2022-04-12$66.68$69.0042.6%5.7%14.6%79.1%19.6%5.0%7.0%20.4K277.4K-7.2K0.56119.58N/AN/A340191384371
2022-04-13$67.32$69.0020.3%5.8%13.1%28.0%21.3%13.4%4.1%44.9K228.1K-7.3K0.59114.99N/AN/A336197384370
2022-04-14$67.08$69.0024.5%7.0%12.4%37.7%23.1%3.8%-2.3%35.4K89.3K-7.1K0.59124.79N/AN/A333197388376
2022-04-18$66.81$69.0015.8%4.5%12.2%17.7%24.6%19.1%6.5%-658328.7K-7.3K0.67107.20N/AN/A294198232349
2022-04-19$66.87$68.0015.0%4.3%11.7%16.0%15.8%15.6%7.0%36.8K137.9K-7.4K0.66105.75N/AN/A298198337352
2022-04-20$67.41$68.0015.6%4.5%11.0%17.2%18.5%2.8%13.5%44.6K122.7K-7.2K0.9999.96N/AN/A200198341352
2022-04-21$66.48$68.0018.2%5.2%11.9%23.2%20.0%9.6%5.0%38.7K103.5K-7.4K1.01111.68N/AN/A196198347352
2022-04-22$65.56$68.0020.1%5.8%12.7%27.6%20.9%5.7%2.6%17.5K386.8K-6.9K0.98107.17N/AN/A207203349352
2022-04-25$64.77$68.0022.7%6.5%13.1%33.4%21.4%13.0%-2.4%-4.8K525.5K-6.3K1.05101.16N/AN/A196205367357
2022-04-26$63.41$68.0025.8%7.4%14.7%40.6%25.6%12.9%1.9%-4.1K637.4K-6.4K1.03109.37N/AN/A199205364359
2022-04-27$63.67$68.0028.9%8.3%13.5%47.7%29.3%1.8%-4.5%-11.2K660.3K-6.1K1.00129.14N/AN/A11367360
2022-04-28$64.46$68.0028.4%8.2%14.6%46.7%24.8%2.9%3.6%-5.2K599.5K-6.2K1.04115.21N/AN/A199206368361
2022-04-29$64.00$68.0020.3%5.8%14.5%28.1%28.1%6.3%7.6%4.5K591.4K-6.6K1.00117.61N/AN/A207206368361