VYMI Options History — September 2022

In September 2022, VYMI traded between $52.01 and $59.25. ATM implied volatility averaged 28.5%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 9.6% (HV 20d: 18.9%). Max pain ranged from $54.00 to $60.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.55.

Notable Days

  • 2022-09-27: Highest Volume — 492 contracts
  • 2022-09-13: Largest IV spike — 147.2% change
  • 2022-09-13: Highest IV Rank — 76.3%
  • 2022-09-30: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.73$52.01$59.25$56.92$52.09
Max Pain$57.67$54.00$60.00$60.00$54.00
ATM IV28.5%18.1%49.8%24.2%35.5%
Expected Move7.6%5.6%10.2%6.9%10.2%
HV 20d18.9%12.4%24.4%14.6%24.2%
HV 60d18.5%17.0%19.6%19.0%19.3%
IV Rank35.5%17.0%76.3%28.6%47.7%
IV Percentile73.3%38.5%98.8%65.5%94.8%
Term Structure-2.8%-11.1%3.5%-11.1%-5.7%
VWIV25.4%11.7%35.4%11.7%33.6%
Skew 25d5.3%-8.9%13.2%6.8%7.0%
Skew 10d5.6%-16.1%26.7%26.7%11.0%
Call IV 25d24.4%13.2%35.7%27.5%31.3%
Put IV 25d29.7%19.6%45.8%34.2%38.2%
Bid-Ask Spread %121.70114.71130.58117.88118.38
Gamma HHI0.160.120.270.150.12
Net GEX-41.3K-116.1K9.8K-58.5K-10.5K
Net DEX1.0M528.1K1.4M1.3M929.0K
Net VEX-4.1K-5.1K-3.1K-4.3K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.006.000.500.96
Total Volume191.09504923482
Total OI775.381621811765799

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$56.92$60.0024.2%6.9%14.6%28.6%11.7%6.8%-11.1%-58.5K1.3M-4.3K0.50117.88N/AN/A21320445
2022-09-02$56.84$60.0022.2%6.4%14.6%24.8%0.0%6.6%-2.7%-65.0K1.3M-4.4K0.00117.78N/AN/A00322446
2022-09-06$56.74$57.0026.5%6.8%14.3%32.9%22.9%6.1%-3.1%-70.0K1.3M-4.5K1.66122.04N/AN/A125207322446
2022-09-07$57.00$57.0018.1%6.4%14.5%17.1%21.6%7.6%1.9%-82.2K1.4M-3.8K1.52120.49N/AN/A136207332447
2022-09-08$57.01$58.0024.1%6.2%12.4%28.4%0.0%9.2%-5.9%-75.0K1.4M-4.0K0.00123.19N/AN/A05349448
2022-09-09$58.45$58.0039.5%6.5%15.9%57.1%0.0%4.6%-3.2%-86.3K994.6K-4.6K0.00129.34N/AN/A01349448
2022-09-12$59.25$58.0020.1%7.0%16.3%21.0%19.2%-0.8%-5.7%-116.1K762.8K-4.8K5.50128.85N/AN/A211349449
2022-09-13$57.44$58.0049.8%6.0%19.3%76.3%22.4%2.2%1.8%-56.7K1.2M-4.3K1.71120.63N/AN/A133228351450
2022-09-14$57.72$59.0026.4%7.6%19.3%32.6%0.0%0.5%-6.5%-87.2K1.3M-4.0K0.00128.05N/AN/A10351460
2022-09-15$57.38$59.0025.3%7.3%19.3%30.7%0.0%8.0%-3.6%-81.7K1.4M-3.8K0.00128.37N/AN/A00350460
2022-09-16$57.02$59.0023.6%6.8%19.3%27.5%22.5%6.1%-4.3%-34.1K1.4M-4.4K1.73130.58N/AN/A133230350460
2022-09-19$56.62$59.0019.7%5.6%19.0%17.0%20.5%-4.9%3.5%-19.1K776.0K-4.2K0.00124.52N/AN/A1510296325
2022-09-20$56.00$58.0034.4%9.9%19.0%45.6%24.7%-8.9%-4.3%9.8K611.3K-5.1K6.00119.75N/AN/A212444325
2022-09-21$55.19$58.0029.8%8.5%19.2%36.6%0.0%3.3%-8.0%-677871.6K-4.2K0.00122.54N/AN/A00446337
2022-09-22$55.46$58.0026.3%7.5%19.4%29.9%0.0%2.3%2.8%5.1K528.1K-4.4K0.00116.09N/AN/A140446284
2022-09-23$53.41$58.0029.5%8.5%22.3%36.0%27.4%9.5%-3.6%-1.4K706.5K-3.9K0.00118.23N/AN/A06460284
2022-09-26$52.36$58.0035.1%10.1%22.5%47.0%35.4%12.3%3.1%-5.9K828.4K-3.3K0.93115.18N/AN/A248230460290
2022-09-27$52.01$57.0032.2%9.2%22.4%41.3%30.8%8.5%1.9%-10.2K902.2K-3.5K0.89114.71N/AN/A260232464320
2022-09-28$53.10$54.0030.7%8.8%24.2%38.5%30.5%11.7%-5.0%-9.6K875.4K-3.4K0.95114.73N/AN/A245232479321
2022-09-29$52.39$54.0025.3%7.3%24.4%27.9%32.4%13.2%-1.0%-12.1K925.7K-3.1K0.95124.39N/AN/A245232479320
2022-09-30$52.09$54.0035.5%10.2%24.2%47.7%33.6%7.0%-5.7%-10.5K929.0K-3.1K0.96118.38N/AN/A246236479320