VYMI Options History — July 2022

In July 2022, VYMI traded between $55.63 and $59.72. ATM implied volatility averaged 33.7%, placing in the 50.4% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 12.9% (HV 20d: 20.8%). Max pain ranged from $61.00 to $65.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.53.

Notable Days

  • 2022-07-29: Highest Volume — 512 contracts
  • 2022-07-13: Largest IV drop — 55.4% change
  • 2022-07-12: Highest IV Rank — 100.0%
  • 2022-07-20: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.73$55.63$59.72$58.76$59.72
Max Pain$64.80$61.00$65.00$61.00$65.00
ATM IV33.7%16.9%62.5%31.7%24.1%
Expected Move8.5%4.9%11.2%9.1%6.9%
HV 20d20.8%19.0%22.7%20.4%20.7%
HV 60d21.0%19.6%21.7%19.6%21.4%
IV Rank50.4%15.0%100.0%53.3%28.3%
IV Percentile88.6%41.7%100.0%94.0%67.5%
Term Structure-3.9%-11.8%5.5%-2.9%-0.9%
VWIV27.0%21.7%34.4%27.3%24.3%
Skew 25d5.8%-10.4%19.3%-0.9%6.3%
Skew 10d8.7%-10.0%27.6%-10.0%5.2%
Call IV 25d26.2%15.0%40.0%33.4%18.3%
Put IV 25d32.0%21.8%44.0%32.6%24.5%
Bid-Ask Spread %111.92101.44127.70116.44111.82
Gamma HHI0.110.080.160.120.14
Net GEX-42.0K-58.8K-27.5K-58.8K-56.4K
Net DEX1.4M1.0M1.8M1.5M1.2M
Net VEX-3.6K-4.7K-2.9K-3.4K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.440.850.460.80
Total Volume414.75380512380512
Total OI810.35771905782905

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-07-01$58.76$61.0031.7%9.1%20.4%53.3%27.3%-0.9%-2.9%-58.8K1.5M-3.4K0.46116.44N/AN/A260120288494
2022-07-05$57.24$65.0035.8%8.0%21.6%62.8%23.4%7.8%-6.8%-47.8K1.7M-3.6K0.45110.06N/AN/A270121290499
2022-07-06$56.94$65.0032.5%6.8%21.3%55.2%23.6%5.6%5.5%-47.8K1.7M-3.6K0.45103.37N/AN/A271121301503
2022-07-07$57.86$65.0037.8%9.2%22.5%67.5%22.5%10.2%-7.5%-50.2K1.5M-3.6K0.45101.85N/AN/A271122302504
2022-07-08$58.04$65.0035.0%8.0%22.6%61.1%22.5%19.3%0.4%-47.0K1.4M-4.7K0.44112.20N/AN/A277122304505
2022-07-11$57.04$65.0051.2%8.8%22.7%98.8%25.9%11.1%-8.1%-46.8K1.6M-3.4K0.44101.44N/AN/A277122308505
2022-07-12$56.92$65.0062.5%8.3%21.9%100.0%25.9%16.0%-5.7%-45.6K1.6M-3.2K0.44112.46N/AN/A277123308505
2022-07-13$56.81$65.0027.8%8.0%19.2%35.3%27.8%15.1%-1.7%-46.1K1.7M-3.2K0.49109.62N/AN/A277137308513
2022-07-14$55.63$65.0033.7%9.7%20.2%46.4%32.0%4.8%-8.3%-27.5K1.6M-2.9K0.52108.93N/AN/A277143308522
2022-07-15$56.27$65.0028.9%8.3%19.5%37.3%29.8%16.8%-4.5%-47.2K1.8M-3.1K0.51127.70N/AN/A282143308530
2022-07-18$56.82$65.0027.7%7.9%19.0%35.0%25.9%12.6%-6.6%-35.8K1.3M-3.0K0.46118.03N/AN/A270125311460
2022-07-19$58.20$65.0028.3%8.1%21.0%36.2%26.2%10.2%0.9%-38.4K1.2M-3.3K0.46118.93N/AN/A270125316461
2022-07-20$57.75$65.0039.0%11.2%21.2%56.2%34.4%-10.4%-1.7%-27.8K1.1M-4.5K0.45111.97N/AN/A276125316461
2022-07-21$57.96$65.0038.5%11.0%21.0%55.3%33.3%3.0%-6.6%-31.5K1.0M-4.4K0.50103.18N/AN/A265132323461
2022-07-22$57.73$65.0034.7%9.9%20.5%48.2%29.9%-8.9%-11.4%-34.5K1.1M-4.0K0.50108.82N/AN/A265132327466
2022-07-25$58.48$65.0028.2%8.1%19.7%36.0%25.9%3.1%-3.0%-33.5K1.2M-3.3K0.51113.95N/AN/A265135327466
2022-07-26$58.04$65.0030.2%8.7%19.8%39.8%29.4%-0.7%-0.7%-34.9K1.2M-3.7K0.52120.80N/AN/A266138327471
2022-07-27$59.11$65.0030.4%8.7%21.0%40.1%28.6%-4.2%-11.8%-35.2K1.0M-4.0K0.82115.78N/AN/A266219329481
2022-07-28$59.23$65.0016.9%4.9%20.9%15.0%21.7%-1.3%3.7%-48.2K1.3M-3.2K0.85111.01N/AN/A268228329565
2022-07-29$59.72$65.0024.1%6.9%20.7%28.3%24.3%6.3%-0.9%-56.4K1.2M-3.6K0.80111.82N/AN/A284228331574