VYMI Options History — August 2022

In August 2022, VYMI traded between $57.75 and $61.15. ATM implied volatility averaged 23.4%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 8.1% (HV 20d: 15.3%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.96.

Notable Days

  • 2022-08-08: Highest Volume — 560 contracts
  • 2022-08-30: Largest IV spike — 81.2% change
  • 2022-08-09: Highest IV Rank — 48.2%
  • 2022-08-31: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.52$57.75$61.15$59.67$57.75
Max Pain$60.65$60.00$65.00$65.00$60.00
ATM IV23.4%13.0%34.7%25.6%34.6%
Expected Move6.0%3.7%9.9%7.3%9.9%
HV 20d15.3%12.4%20.7%20.7%13.9%
HV 60d19.3%18.6%21.0%21.0%18.9%
IV Rank27.1%7.7%48.2%31.2%48.1%
IV Percentile59.7%12.7%94.0%74.2%93.3%
Term Structure1.8%-19.0%13.5%-4.3%-9.0%
VWIV20.9%9.9%32.9%23.8%32.9%
Skew 25d1.6%-19.5%11.2%0.7%-11.3%
Skew 10d2.1%-12.4%19.7%1.0%9.1%
Call IV 25d21.6%11.0%39.3%22.7%31.7%
Put IV 25d23.2%14.4%30.9%23.4%20.4%
Bid-Ask Spread %116.95101.08134.26111.11115.81
Gamma HHI0.190.130.240.130.18
Net GEX-31.4K-67.5K21.6K-59.2K-67.5K
Net DEX879.2K644.7K1.2M1.2M1.2M
Net VEX-5.1K-6.0K-4.2K-4.2K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.0025.000.351.77
Total Volume175.4780560546324
Total OI946.5656991,122921760

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-08-01$59.67$65.0025.6%7.3%20.7%31.2%23.8%0.7%-4.3%-59.2K1.2M-4.2K0.35111.11N/AN/A405141347574
2022-08-02$59.01$65.0031.0%8.9%18.7%41.3%26.1%-19.5%-19.0%-29.6K1.0M-5.8K0.34110.20N/AN/A410141479574
2022-08-03$59.23$65.0022.6%6.5%18.6%25.5%25.3%0.0%-9.9%-35.3K955.5K-4.9K0.35113.08N/AN/A406143484558
2022-08-04$59.16$60.0034.3%4.6%17.8%47.5%26.3%5.3%7.1%-43.8K843.3K-5.3K0.35116.96N/AN/A406143485559
2022-08-05$59.22$60.0022.8%4.4%17.8%25.9%20.0%9.3%7.6%-28.7K1.0M-4.8K0.38108.20N/AN/A406153485559
2022-08-08$59.58$60.0032.0%6.4%16.5%43.1%23.7%8.8%-1.8%-26.8K892.8K-5.3K0.39119.26N/AN/A403157485562
2022-08-09$59.45$60.0034.7%3.9%16.5%48.2%19.0%2.2%12.1%-29.2K923.6K-4.7K0.00134.26N/AN/A20492550
2022-08-10$60.55$60.0018.8%5.4%17.4%18.4%16.6%2.3%7.8%345764.5K-5.2K2.25119.60N/AN/A49493550
2022-08-11$60.59$60.0025.5%7.3%14.9%31.0%24.8%-1.4%-0.3%-1.6K689.0K-5.2K0.00119.63N/AN/A160496549
2022-08-12$61.15$60.0023.1%6.6%14.8%26.4%0.0%4.8%-0.3%21.6K648.9K-4.9K25.00122.42N/AN/A125506549
2022-08-15$60.59$60.0022.1%6.4%15.3%24.7%17.7%5.9%6.6%5.6K810.2K-5.0K0.00101.08N/AN/A100507574
2022-08-16$60.76$60.0014.9%4.3%13.2%11.2%10.1%-7.2%6.4%16.3K708.9K-4.9K0.56121.08N/AN/A95511574
2022-08-17$60.33$60.0022.4%6.4%13.2%25.2%22.3%5.7%-3.5%-7.3K810.2K-5.0K0.50120.78N/AN/A126520579
2022-08-18$60.27$60.0023.6%6.8%13.2%27.5%0.0%-0.4%2.3%-12.3K824.6K-4.8K0.00128.75N/AN/A0216526585
2022-08-19$59.46$60.0028.4%8.1%14.2%36.4%0.0%-6.1%-0.8%-40.8K893.6K-6.0K0.00118.40N/AN/A00526596
2022-08-22$58.81$60.0013.0%3.7%14.2%7.7%13.9%-4.5%11.7%-44.5K904.8K-5.3K0.00112.23N/AN/A350274425
2022-08-23$59.12$60.0014.8%4.3%14.0%11.1%18.1%4.8%13.5%-59.8K859.2K-5.1K0.40125.23N/AN/A52309425
2022-08-24$59.10$60.0015.8%4.5%12.4%13.0%9.9%2.5%6.7%-65.2K831.0K-5.5K0.33109.44N/AN/A62312426
2022-08-25$59.69$60.0022.4%6.4%12.8%25.1%16.0%11.2%-6.8%-45.5K644.7K-5.5K1.20108.94N/AN/A56318428
2022-08-26$58.68$60.0015.0%4.3%13.9%11.3%19.6%8.9%13.3%-47.7K880.5K-5.3K5.00116.27N/AN/A210313434
2022-08-29$58.70$60.0014.5%4.2%13.9%10.5%23.4%4.2%8.6%-63.1K980.7K-5.1K0.00112.96N/AN/A01312444
2022-08-30$58.05$60.0026.3%7.5%13.9%32.4%27.6%9.8%-6.3%-59.0K983.2K-5.5K0.13124.13N/AN/A81312445
2022-08-31$57.75$60.0034.6%9.9%13.9%48.1%32.9%-11.3%-9.0%-67.5K1.2M-4.9K1.77115.81N/AN/A117207315445