VYMI Options History — November 2022

In November 2022, VYMI traded between $54.65 and $61.22. ATM implied volatility averaged 30.0%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 8.7% (HV 20d: 21.3%). Max pain ranged from $54.00 to $60.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.90.

Notable Days

  • 2022-11-18: Highest Volume — 625 contracts
  • 2022-11-22: Largest IV spike — 64.6% change
  • 2022-11-01: Highest IV Rank — 56.4%
  • 2022-11-01: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.32$54.65$61.22$55.31$61.22
Max Pain$56.00$54.00$60.00$60.00$58.00
ATM IV30.0%17.9%40.1%40.1%37.0%
Expected Move8.5%5.1%11.5%11.5%10.6%
HV 20d21.3%17.6%23.4%18.8%22.6%
HV 60d23.1%20.9%24.0%21.3%23.8%
IV Rank36.7%13.0%56.4%56.4%50.2%
IV Percentile71.1%21.0%96.0%96.0%91.7%
Term Structure-4.0%-20.9%9.2%-20.9%-4.2%
VWIV31.0%22.9%44.2%35.0%28.5%
Skew 25d12.4%0.6%39.2%7.8%28.1%
Skew 10d18.5%1.1%46.8%31.6%41.2%
Call IV 25d23.2%10.1%30.4%30.1%26.5%
Put IV 25d35.6%14.1%56.7%38.0%54.6%
Bid-Ask Spread %125.64108.26133.61115.37129.57
Gamma HHI0.170.090.290.150.19
Net GEX17.9K-26.7K69.6K-16.5K478
Net DEX-68.5K-527.1K755.9K577.8K-478.3K
Net VEX-3.4K-4.2K-2.8K-4.2K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.002.572.450.00
Total Volume453.619062556318
Total OI954.7623801,2011,089675

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$55.31$60.0040.1%11.5%18.8%56.4%35.0%7.8%-20.9%-16.5K577.8K-4.2K2.45115.37N/AN/A163400525564
2022-11-02$54.78$60.0037.5%10.8%19.0%51.4%38.8%6.3%-16.0%-14.1K571.7K-4.2K2.48119.83N/AN/A163405525566
2022-11-03$54.65$54.0033.2%7.3%17.6%42.8%29.6%0.6%-4.7%-16.7K755.9K-2.8K2.50130.01N/AN/A163407525567
2022-11-04$56.60$54.0027.6%8.9%20.6%32.0%32.5%14.0%-4.7%15.0K310.8K-3.3K2.48115.84N/AN/A164407525564
2022-11-07$56.71$54.0029.2%7.1%20.4%35.0%32.4%2.3%-2.5%14.9K255.8K-3.2K2.57108.26N/AN/A165424534564
2022-11-08$57.14$55.0032.7%9.3%19.7%41.9%32.2%14.2%-7.0%22.1K276.3K-3.3K2.57116.71N/AN/A165424535576
2022-11-09$56.20$55.0029.4%8.4%21.0%35.4%30.2%6.0%-4.2%12.4K415.3K-3.1K2.49121.11N/AN/A170424535576
2022-11-10$58.30$55.0024.4%7.0%23.4%25.7%23.1%0.9%-1.4%33.8K68.0K-3.0K2.38131.31N/AN/A175417535577
2022-11-11$59.39$55.0021.7%6.2%22.7%20.4%28.0%10.5%1.4%61.4K-359.1K-3.3K2.01115.03N/AN/A207417542576
2022-11-14$59.12$55.0030.9%8.9%22.2%38.5%31.3%1.6%-15.9%57.8K-355.8K-3.5K2.24130.81N/AN/A186417593576
2022-11-15$59.39$55.0031.6%9.1%22.1%39.9%30.4%3.8%-9.2%69.6K-527.1K-3.7K2.18125.38N/AN/A191417622576
2022-11-16$59.05$55.0025.2%7.2%22.0%27.3%28.1%4.8%-2.7%58.1K-261.5K-3.5K2.21129.83N/AN/A189417622577
2022-11-17$58.94$55.0030.3%8.7%22.1%37.3%39.2%33.6%-9.4%44.5K-95.8K-3.3K2.30128.07N/AN/A182419621577
2022-11-18$59.10$55.0029.0%8.3%21.4%34.8%27.2%15.2%-3.3%28.2K-32.6K-2.8K2.03131.39N/AN/A206419621580
2022-11-21$58.69$55.0017.9%5.1%21.5%13.0%22.9%29.0%1.4%29.2K-372.4K-2.8K0.53128.76N/AN/A15783236144
2022-11-22$59.54$57.0029.4%8.4%21.6%35.5%24.7%1.4%3.5%33.1K-464.4K-3.0K1.94133.41N/AN/A161313268159
2022-11-23$60.01$57.0029.2%8.4%21.6%35.0%33.9%10.2%9.2%3.7K-501.5K-3.3K1.95131.24N/AN/A159310279391
2022-11-25$60.56$57.0031.0%8.9%21.5%38.5%0.0%0.6%-5.9%-10.9K-520.0K-3.1K0.00132.21N/AN/A00281393
2022-11-28$59.72$57.0030.2%8.7%22.5%37.1%44.2%30.4%4.1%-26.7K-286.5K-3.8K0.60133.61N/AN/A53281393
2022-11-29$60.20$58.0032.5%9.3%22.2%41.5%28.0%39.2%8.1%-23.3K-415.6K-3.8K0.08130.65N/AN/A131278396
2022-11-30$61.22$58.0037.0%10.6%22.6%50.2%28.5%28.1%-4.2%478-478.3K-4.1K0.00129.57N/AN/A180279396