VYMI Options History — January 2023

In January 2023, VYMI traded between $59.84 and $64.56. ATM implied volatility averaged 27.6%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 13.1% (HV 20d: 14.5%). Max pain ranged from $55.00 to $58.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2023-01-20: Highest Volume — 83 contracts
  • 2023-01-24: Largest IV spike — 117.5% change
  • 2023-01-10: Highest IV Rank — 66.3%
  • 2023-01-03: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.93$59.84$64.56$59.84$64.16
Max Pain$56.70$55.00$58.00$58.00$58.00
ATM IV27.6%13.2%45.2%42.1%32.4%
Expected Move7.1%3.8%12.1%12.1%9.3%
HV 20d14.5%11.0%17.1%15.0%11.0%
HV 60d17.8%17.0%18.8%18.6%17.0%
IV Rank31.0%0.4%66.3%60.2%39.1%
IV Percentile50.8%0.4%96.0%94.8%78.2%
Term Structure-1.4%-10.7%10.2%-10.7%1.2%
VWIV20.6%10.1%47.7%46.5%20.5%
Skew 25d16.2%-7.6%35.3%35.3%8.2%
Skew 10d17.7%-7.8%46.5%-4.2%44.6%
Call IV 25d17.7%12.2%31.9%21.5%16.5%
Put IV 25d33.9%11.8%56.8%56.8%24.7%
Bid-Ask Spread %124.43116.34136.51131.08124.88
Gamma HHI0.370.210.720.210.32
Net GEX173.1K71.3K343.5K71.3K139.0K
Net DEX-1.4M-2.4M-705.3K-705.3K-1.2M
Net VEX-2.3K-3.5K-1.6K-3.2K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.005.145.140.00
Total Volume16.350834322
Total OI744441923853486

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$59.84$58.0042.1%12.1%15.0%60.2%46.5%35.3%-10.7%71.3K-705.3K-3.2K5.14131.08N/AN/A736470383
2023-01-04$60.55$58.0032.1%9.2%14.8%40.8%28.6%17.7%-6.2%107.8K-741.4K-2.6K0.00136.51N/AN/A420470372
2023-01-05$60.30$55.0035.9%5.9%14.9%48.2%47.7%9.5%-5.7%86.5K-827.3K-3.5K5.00116.34N/AN/A15488372
2023-01-06$61.71$55.0039.1%3.9%17.0%54.4%10.1%15.2%2.5%173.9K-1.1M-2.8K0.11119.31N/AN/A273489377
2023-01-09$61.88$55.0022.8%8.1%17.0%22.5%19.2%19.2%-7.8%111.9K-1.3M-3.2K0.13123.75N/AN/A81516375
2023-01-10$61.97$55.0045.2%7.6%17.0%66.3%12.6%2.3%-4.0%146.8K-1.4M-2.9K0.00126.77N/AN/A10523377
2023-01-11$62.20$55.0017.3%4.9%17.0%11.8%0.0%-1.9%-0.1%131.4K-1.4M-2.7K0.00120.56N/AN/A00523377
2023-01-12$63.11$55.0025.7%7.4%17.1%28.3%26.0%-5.1%-4.2%343.5K-2.0M-2.3K0.00124.05N/AN/A10523377
2023-01-13$63.47$55.0015.3%4.4%17.0%7.9%10.9%-7.6%-1.6%324.7K-2.1M-2.1K2.00118.24N/AN/A48523377
2023-01-17$63.47$57.0028.2%8.1%15.0%33.1%10.7%19.3%-4.3%225.6K-2.0M-2.1K0.00130.48N/AN/A260526385
2023-01-18$63.18$57.0025.3%7.2%15.1%27.4%0.0%4.7%0.9%287.3K-2.0M-2.1K0.00118.51N/AN/A10535385
2023-01-19$63.30$57.0028.2%8.1%13.8%33.2%14.9%15.7%-6.5%294.8K-2.1M-2.1K0.00124.21N/AN/A40534385
2023-01-20$63.79$57.0021.6%6.2%13.7%20.2%14.7%25.4%7.8%291.4K-2.4M-1.6K0.01124.28N/AN/A821538385
2023-01-23$64.00$57.0013.2%3.8%13.5%0.4%15.5%13.6%10.2%125.1K-1.2M-1.9K1.89127.35N/AN/A917319122
2023-01-24$64.12$58.0028.8%8.3%12.6%31.9%0.0%29.0%-1.4%116.3K-1.2M-2.0K0.00126.79N/AN/A00327139
2023-01-25$64.43$58.0028.7%8.2%12.5%31.7%23.6%32.9%2.3%100.5K-1.2M-2.1K0.00122.99N/AN/A80327139
2023-01-26$64.53$58.0026.4%7.6%12.5%27.0%14.0%29.7%3.5%124.9K-1.3M-1.9K0.67123.71N/AN/A32335139
2023-01-27$64.56$58.0028.0%8.0%11.1%30.3%14.1%28.9%0.2%124.8K-1.3M-1.9K0.00125.08N/AN/A60338140
2023-01-30$64.02$58.0015.4%4.4%11.6%4.8%20.5%32.2%-3.9%133.9K-1.2M-2.0K0.00123.61N/AN/A02344140
2023-01-31$64.16$58.0032.4%9.3%11.0%39.1%0.0%8.2%1.2%139.0K-1.2M-1.8K0.00124.88N/AN/A220344142