VYMI Options History — December 2022

In December 2022, VYMI traded between $58.69 and $61.22. ATM implied volatility averaged 34.2%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 17.7% (HV 20d: 16.5%). Max pain ranged from $58.00 to $58.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2022-12-27: Highest Volume — 160 contracts
  • 2022-12-13: Largest IV spike — 95.3% change
  • 2022-12-09: Highest IV Rank — 92.4%
  • 2022-12-01: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.08$58.69$61.22$61.22$59.73
Max Pain$58.00$58.00$58.00$58.00$58.00
ATM IV34.2%17.8%58.6%39.4%29.1%
Expected Move7.8%5.1%11.3%11.3%8.3%
HV 20d16.5%12.7%22.1%22.1%15.0%
HV 60d21.7%19.2%23.8%23.8%19.2%
IV Rank44.8%12.8%92.4%55.1%34.9%
IV Percentile68.9%15.5%99.6%94.4%62.3%
Term Structure-3.3%-11.9%5.6%-8.3%-2.3%
VWIV24.0%20.9%26.9%20.9%25.9%
Skew 25d15.8%0.7%40.3%37.0%21.2%
Skew 10d20.0%-5.3%39.0%38.5%26.8%
Call IV 25d23.5%13.2%30.2%29.1%24.6%
Put IV 25d39.4%24.1%67.1%66.1%45.8%
Bid-Ask Spread %132.42108.39140.77131.91134.83
Gamma HHI0.160.100.320.100.23
Net GEX44.5K-28.4K96.5K33.1K79.3K
Net DEX-518.7K-768.5K-230.3K-621.6K-565.1K
Net VEX-2.8K-3.4K-2.1K-3.0K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.002.170.000.00
Total Volume150160453
Total OI726.571661853675853

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$61.22$58.0039.4%11.3%22.1%55.1%0.0%37.0%-8.3%33.1K-621.6K-3.0K0.00131.91N/AN/A450279396
2022-12-02$61.19$58.0030.9%8.8%22.0%38.3%0.0%40.3%-5.4%51.2K-717.1K-3.0K0.00133.42N/AN/A10317396
2022-12-05$60.34$58.0047.9%7.4%20.1%71.7%20.9%9.4%1.3%42.7K-608.5K-3.1K0.00131.30N/AN/A30320404
2022-12-06$60.28$58.0048.4%7.0%20.1%72.6%0.0%8.5%-1.6%45.0K-589.6K-3.1K0.00132.83N/AN/A00319404
2022-12-07$60.20$58.0048.3%6.7%20.1%72.3%0.0%10.5%0.1%53.1K-567.6K-3.1K0.00129.93N/AN/A10319404
2022-12-08$60.25$58.0054.2%7.2%18.8%83.8%0.0%7.6%-5.5%53.3K-611.4K-3.2K0.00134.95N/AN/A40320406
2022-12-09$60.39$58.0058.6%8.0%14.2%92.4%0.0%6.9%-5.8%46.2K-591.6K-2.9K0.00133.97N/AN/A00325406
2022-12-12$60.30$58.0022.4%7.2%12.7%21.9%24.7%4.8%-4.8%61.9K-619.9K-2.9K0.00136.45N/AN/A180325406
2022-12-13$61.11$58.0043.8%7.9%13.3%63.7%0.0%11.5%-0.9%63.1K-768.5K-2.8K0.00133.42N/AN/A00335406
2022-12-14$60.88$58.0027.0%7.7%13.4%30.7%22.2%11.2%-0.3%67.4K-737.0K-2.4K0.50134.65N/AN/A63335406
2022-12-15$59.69$58.0025.1%7.2%15.2%27.1%0.0%10.0%-11.9%63.0K-491.8K-2.4K0.08137.51N/AN/A121337406
2022-12-16$59.46$58.0030.1%8.6%15.2%36.9%0.0%28.7%0.3%32.3K-306.9K-3.3K2.00140.77N/AN/A12325407
2022-12-19$58.69$58.0027.0%7.7%15.9%30.8%26.4%16.5%-10.8%20.9K-248.5K-2.4K0.00134.60N/AN/A10279382
2022-12-20$59.30$58.0030.1%8.6%16.2%36.8%21.9%27.0%-4.2%-28.4K-230.3K-2.8K0.00136.38N/AN/A100281382
2022-12-21$59.89$58.0025.8%7.4%15.7%28.5%26.9%16.9%-1.8%34.7K-397.3K-2.1K0.00134.52N/AN/A20291382
2022-12-22$59.30$58.0023.8%6.8%15.9%24.6%23.9%9.8%5.6%33.2K-325.0K-2.5K2.17128.32N/AN/A613289382
2022-12-23$59.77$58.0027.6%7.9%15.8%32.0%22.5%26.0%1.6%-12.4K-348.5K-2.5K0.00131.37N/AN/A30290383
2022-12-27$60.13$58.0030.7%8.8%15.1%38.1%25.1%8.7%-7.8%38.9K-453.0K-2.4K0.00133.88N/AN/A1600293383
2022-12-28$59.41$58.0029.7%8.5%15.4%36.1%25.9%0.7%-5.9%58.5K-406.6K-2.6K0.00108.39N/AN/A190450383
2022-12-29$60.14$58.0017.8%5.1%14.8%12.8%0.0%19.1%-0.0%96.5K-687.9K-3.4K0.00127.48N/AN/A10469383
2022-12-30$59.73$58.0029.1%8.3%15.0%34.9%0.0%21.2%-2.3%79.3K-565.1K-2.8K0.00134.83N/AN/A30470383