VYMI Options History — June 2022

In June 2022, VYMI traded between $58.20 and $66.37. ATM implied volatility averaged 25.2%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 5.2% (HV 20d: 20.1%). Max pain ranged from $61.00 to $61.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2022-06-16: Highest Volume — 499 contracts
  • 2022-06-07: Largest IV spike — 47.6% change
  • 2022-06-07: Highest IV Rank — 62.1%
  • 2022-06-16: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.82$58.20$66.37$65.72$58.66
Max Pain$61.00$61.00$61.00$61.00$61.00
ATM IV25.2%20.2%35.2%23.3%24.0%
Expected Move7.0%5.8%9.6%6.7%6.9%
HV 20d20.1%15.2%21.8%21.8%21.0%
HV 60d18.8%17.4%19.8%18.3%19.7%
IV Rank38.7%27.8%62.1%34.9%35.3%
IV Percentile80.2%68.7%98.0%78.6%74.6%
Term Structure-1.8%-8.1%4.4%-6.1%-3.0%
VWIV25.1%18.0%35.8%26.7%24.1%
Skew 25d10.0%-1.2%16.4%12.0%7.7%
Skew 10d6.8%-6.7%19.8%5.2%1.1%
Call IV 25d21.5%10.1%31.1%10.1%30.1%
Put IV 25d31.6%19.5%47.5%22.2%37.7%
Bid-Ask Spread %116.87105.53130.32121.94109.37
Gamma HHI0.150.110.180.160.14
Net GEX-17.7K-64.3K70.3K46.9K-55.5K
Net DEX830.2K-211.7K1.5M39.1K1.5M
Net VEX-4.8K-6.9K-3.2K-6.5K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.541.060.950.54
Total Volume443.095399499469400
Total OI828.857694924884752

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$65.72$61.0023.3%6.7%21.8%34.9%26.7%12.0%-6.1%46.9K39.1K-6.5K0.95121.94N/AN/A240229428456
2022-06-02$66.37$61.0024.8%5.8%21.1%38.4%29.1%13.3%-2.5%70.3K-169.0K-6.5K0.99120.20N/AN/A231229429450
2022-06-03$65.68$61.0020.2%6.4%18.2%27.8%23.7%12.9%2.1%56.2K-3.8K-6.9K1.00111.22N/AN/A228229429450
2022-06-06$65.90$61.0023.8%6.6%18.2%36.1%26.3%12.1%0.8%53.4K-78.7K-6.9K1.00124.10N/AN/A230229430451
2022-06-07$66.16$61.0035.2%6.6%15.2%62.1%26.7%8.9%-3.0%52.4K-211.7K-6.5K1.00122.62N/AN/A230229428451
2022-06-08$65.32$61.0020.9%6.0%16.2%29.3%18.0%12.8%-1.0%46.0K249.6K-5.7K1.00111.70N/AN/A230229429451
2022-06-09$64.22$61.0022.3%6.4%17.6%32.6%19.0%-1.2%-2.5%23.6K416.6K-5.7K1.02117.54N/AN/A230235429451
2022-06-10$62.85$61.0021.6%6.2%19.2%30.9%27.6%14.1%-0.1%-23.3K742.0K-5.0K1.06118.04N/AN/A230243429458
2022-06-13$60.79$61.0024.1%6.9%21.3%36.8%22.2%6.7%3.6%-53.7K1.2M-4.3K1.00111.38N/AN/A241242429467
2022-06-14$60.51$61.0026.3%7.5%21.2%41.8%23.2%9.0%-1.6%-47.4K1.1M-4.2K1.00114.28N/AN/A241242440464
2022-06-15$61.57$61.0025.5%7.3%21.3%38.7%24.1%11.0%-8.1%-42.5K931.0K-4.0K1.00120.51N/AN/A242242438464
2022-06-16$60.25$61.0033.5%9.6%21.7%57.4%35.8%16.4%-6.2%-49.1K1.2M-4.1K1.05121.11N/AN/A243256439464
2022-06-17$59.68$61.0027.0%7.7%21.3%42.3%29.5%10.7%0.8%-53.5K1.3M-4.2K0.70130.32N/AN/A243171439485
2022-06-21$59.59$61.0029.2%8.4%21.2%47.5%28.0%6.8%-5.7%-59.4K1.3M-3.6K0.60107.06N/AN/A249150257437
2022-06-22$58.96$61.0026.1%7.5%20.0%40.2%23.7%9.3%-0.6%-51.1K1.3M-3.6K0.67120.00N/AN/A250167279437
2022-06-23$58.20$61.0025.1%7.2%19.9%37.9%25.2%15.0%-1.1%-50.7K1.5M-3.2K0.62117.39N/AN/A250156280452
2022-06-24$59.37$61.0025.0%7.2%21.8%37.7%24.5%6.3%-3.5%-54.4K1.3M-4.2K0.62122.35N/AN/A250156280454
2022-06-27$59.61$61.0025.0%7.2%21.4%37.6%23.2%14.3%-2.2%-55.1K1.3M-3.9K0.62108.93N/AN/A250156279454
2022-06-28$59.60$61.0023.4%6.7%21.0%34.0%24.2%2.2%-1.3%-60.8K1.3M-4.1K0.62118.69N/AN/A250156279455
2022-06-29$59.27$61.0023.4%6.7%21.0%33.9%22.5%10.0%4.4%-64.3K1.4M-3.6K0.54105.53N/AN/A260141278455
2022-06-30$58.66$61.0024.0%6.9%21.0%35.3%24.1%7.7%-3.0%-55.5K1.5M-3.5K0.54109.37N/AN/A260140288464