VYMI Options History — October 2022

In October 2022, VYMI traded between $52.10 and $55.20. ATM implied volatility averaged 34.4%, placing in the 45.5% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 8.2% (HV 20d: 26.3%). Max pain ranged from $54.00 to $60.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.45.

Notable Days

  • 2022-10-21: Highest Volume — 754 contracts
  • 2022-10-26: Largest IV spike — 46.5% change
  • 2022-10-11: Highest IV Rank — 78.5%
  • 2022-10-31: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.78$52.10$55.20$53.36$54.87
Max Pain$59.14$54.00$60.00$54.00$60.00
ATM IV34.4%21.0%51.4%39.6%40.7%
Expected Move9.3%6.0%11.7%11.4%11.7%
HV 20d26.3%21.7%29.6%26.2%21.7%
HV 60d20.9%20.0%21.3%20.0%21.2%
IV Rank45.5%19.0%78.5%55.7%57.6%
IV Percentile84.7%40.5%99.2%97.6%96.8%
Term Structure-5.3%-12.4%10.2%-10.0%-10.7%
VWIV30.5%22.0%39.1%39.1%35.7%
Skew 25d9.1%-5.9%22.1%-5.9%6.3%
Skew 10d14.2%-0.9%30.1%1.3%23.7%
Call IV 25d28.4%16.7%39.4%36.3%22.6%
Put IV 25d37.5%28.9%45.7%30.4%28.9%
Bid-Ask Spread %114.55102.25122.67119.41113.72
Gamma HHI0.160.120.260.120.16
Net GEX-17.3K-35.8K-2.3K-7.2K-16.7K
Net DEX733.8K497.6K933.9K805.9K578.6K
Net VEX-4.4K-5.3K-3.7K-3.7K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.842.380.982.20
Total Volume613.952493754493604
Total OI994.198041,1268041,086

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$53.36$54.0039.6%11.4%26.2%55.7%39.1%-5.9%-10.0%-7.2K805.9K-3.7K0.98119.41N/AN/A249244480324
2022-10-04$55.06$54.0032.3%9.2%28.9%41.4%32.7%8.8%-9.2%-3.4K579.7K-4.2K1.05121.17N/AN/A279292484334
2022-10-05$54.72$54.0031.2%9.0%28.9%39.4%31.7%18.8%-10.5%-2.3K594.5K-4.9K1.04118.58N/AN/A279291512387
2022-10-06$53.65$60.0041.1%9.0%29.6%58.6%27.6%11.5%-6.5%-7.0K717.9K-4.4K1.04102.25N/AN/A279291512388
2022-10-07$52.97$60.0040.4%9.5%27.8%57.2%27.5%4.3%-8.3%-7.8K769.1K-4.4K0.87109.34N/AN/A279242512388
2022-10-10$52.82$60.0040.1%8.4%26.9%56.6%27.0%4.5%-5.0%-12.8K884.9K-4.0K0.86120.86N/AN/A279239512392
2022-10-11$52.22$60.0051.4%10.8%25.4%78.5%26.2%11.3%-8.8%-10.0K798.5K-4.5K0.85108.67N/AN/A280239512393
2022-10-12$52.10$60.0031.2%8.9%25.1%39.3%26.5%11.4%-3.3%-13.6K933.9K-3.9K0.84115.25N/AN/A284239513393
2022-10-13$53.13$60.0029.6%8.5%26.6%36.3%22.0%22.1%-8.5%-14.8K870.1K-3.9K0.84115.44N/AN/A284239517393
2022-10-14$52.34$60.0030.5%8.7%26.9%37.9%30.2%0.9%0.4%-10.9K832.0K-4.0K1.40118.61N/AN/A308431517392
2022-10-17$53.53$60.0032.3%9.3%28.5%41.4%30.3%17.7%-4.9%-25.4K789.0K-5.3K1.48114.28N/AN/A299444541585
2022-10-18$53.62$60.0032.6%9.3%28.3%41.7%29.9%5.5%-7.4%-29.1K649.5K-5.1K1.48115.07N/AN/A299444542569
2022-10-19$53.20$60.0039.4%11.3%28.1%55.0%30.4%-3.8%-12.4%-32.8K779.7K-5.2K1.46107.74N/AN/A304444542569
2022-10-20$53.29$60.0032.2%9.2%28.0%41.0%30.8%1.8%-2.5%-35.7K929.5K-4.4K1.45122.67N/AN/A306444547569
2022-10-21$54.35$60.0027.0%7.7%25.6%30.8%27.4%14.6%0.1%-35.8K777.0K-3.9K1.42113.20N/AN/A312442549569
2022-10-24$54.04$60.0024.0%6.9%24.5%24.9%37.8%-0.5%4.6%-27.7K731.7K-4.3K2.38112.53N/AN/A177421479553
2022-10-25$54.75$60.0021.0%6.0%24.7%19.0%33.4%13.6%10.2%-24.2K715.4K-4.5K2.24115.36N/AN/A185414508561
2022-10-26$55.20$60.0030.7%8.8%23.8%38.0%28.6%16.5%-1.6%-16.8K593.4K-4.6K2.19111.17N/AN/A189414520562
2022-10-27$55.07$60.0038.0%10.9%23.2%52.2%32.5%13.5%-5.6%-10.3K497.6K-4.7K2.19112.28N/AN/A189413525561
2022-10-28$55.15$60.0038.1%10.9%23.0%52.5%32.9%18.9%-11.7%-18.8K581.5K-4.5K2.19118.02N/AN/A189413525561
2022-10-31$54.87$60.0040.7%11.7%21.7%57.6%35.7%6.3%-10.7%-16.7K578.6K-4.3K2.20113.72N/AN/A189415525561