VYMI Options History — February 2023 In February 2023, VYMI traded between $61.97 and $64.82. ATM implied volatility averaged 29.0%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 18.1% (HV 20d: 11.0%). Max pain ranged from $58.00 to $62.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.42.
Notable Days 2023-02-24 : Highest Volume — 44 contracts2023-02-28 : Largest IV spike — 67.1% change2023-02-07 : Highest IV Rank — 57.7%2023-02-28 : Largest Expected Move — 9.9%Monthly Statistics Metric Avg Min Max Open Close Price $63.25 $61.97 $64.82 $64.82 $62.23 Max Pain $61.79 $58.00 $62.00 $58.00 $62.00 ATM IV 29.0% 20.0% 41.5% 32.2% 34.5% Expected Move 7.4% 5.7% 9.9% 9.2% 9.9% HV 20d 11.0% 9.9% 12.9% 11.2% 12.1% HV 60d 14.2% 13.1% 17.0% 17.0% 13.1% IV Rank 32.4% 14.0% 57.7% 38.8% 43.3% IV Percentile 54.2% 13.5% 94.0% 76.6% 81.0% Term Structure -3.0% -10.1% 6.4% 1.2% -10.1% VWIV 19.8% 13.3% 25.4% 22.5% 13.3% Skew 25d 15.4% -4.8% 39.4% 36.3% 0.8% Skew 10d 21.3% -8.9% 45.8% 12.2% -8.9% Call IV 25d 18.5% 13.7% 25.2% 19.3% 23.7% Put IV 25d 33.8% 15.1% 55.7% 55.7% 24.5% Bid-Ask Spread % 130.50 122.49 135.11 122.49 130.09 Gamma HHI 0.27 0.12 0.64 0.21 0.12 Net GEX 105.6K 13.6K 278.4K 106.4K 13.6K Net DEX -834.2K -1.4M -286.5K -1.4M -287.8K Net VEX -1.8K -2.5K -1.3K -2.3K -1.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.42 0.00 5.00 0.00 0.00 Total Volume 8 0 44 0 0 Total OI 407.684 147 518 508 221
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-02-01 $64.82 $58.00 32.2% 9.2% 11.2% 38.8% 0.0% 36.3% 1.2% 106.4K -1.4M -2.3K 0.00 122.49 N/A N/A 0 0 366 142 2023-02-02 $64.00 $62.00 34.6% 6.3% 12.2% 43.6% 0.0% 16.1% -5.0% 138.3K -1.2M -2.1K 0.00 130.30 N/A N/A 0 0 366 142 2023-02-03 $63.33 $62.00 37.2% 7.3% 12.9% 48.9% 0.0% 19.8% -6.1% 91.0K -1.0M -2.5K 0.00 131.69 N/A N/A 5 0 366 142 2023-02-06 $62.87 $62.00 38.1% 6.6% 10.8% 50.8% 0.0% 26.5% 1.2% 90.9K -933.3K -2.2K 0.00 131.62 N/A N/A 2 0 366 142 2023-02-07 $63.40 $62.00 41.5% 6.4% 11.1% 57.7% 0.0% 14.0% 6.0% 90.3K -1.1M -2.2K 5.00 131.29 N/A N/A 1 5 368 142 2023-02-08 $63.27 $62.00 20.0% 5.7% 11.2% 14.0% 0.0% 16.1% 3.2% 94.7K -1.0M -2.2K 0.00 129.41 N/A N/A 0 0 367 141 2023-02-09 $63.32 $62.00 25.3% 7.2% 11.1% 24.7% 0.0% 16.5% -3.2% 93.7K -1.0M -2.1K 0.00 128.61 N/A N/A 1 0 367 141 2023-02-10 $63.32 $62.00 24.4% 7.0% 9.9% 22.9% 0.0% 16.1% -3.1% 95.9K -1.0M -2.0K 0.00 130.34 N/A N/A 0 5 366 141 2023-02-13 $63.84 $62.00 24.1% 6.9% 10.1% 22.3% 22.5% 17.1% -5.7% 106.1K -1.1M -1.7K 0.00 126.56 N/A N/A 6 0 366 146 2023-02-14 $63.91 $62.00 24.1% 6.9% 10.1% 22.4% 0.0% -4.8% -3.8% 191.7K -1.2M -1.4K 0.00 131.52 N/A N/A 27 0 371 147 2023-02-15 $63.45 $62.00 25.2% 7.2% 10.3% 24.6% 0.0% 10.3% -6.8% 242.1K -990.3K -1.4K 0.00 132.44 N/A N/A 0 1 370 147 2023-02-16 $63.38 $62.00 26.0% 7.5% 10.3% 26.2% 0.0% 14.1% -0.9% 278.4K -972.4K -1.3K 0.00 133.36 N/A N/A 0 12 370 148 2023-02-17 $63.45 $62.00 28.5% 8.2% 9.9% 31.3% 0.0% 23.4% 6.4% 251.4K -1.0M -1.3K 0.00 127.97 N/A N/A 17 0 370 137 2023-02-21 $63.14 $62.00 29.2% 8.4% 10.0% 32.7% 17.9% 3.5% -3.6% 18.9K -290.5K -1.3K 0.00 131.28 N/A N/A 19 0 104 43 2023-02-22 $62.55 $62.00 28.0% 8.0% 10.4% 30.2% 25.4% 20.6% -7.5% 22.1K -323.7K -1.5K 0.00 135.11 N/A N/A 1 0 128 43 2023-02-23 $62.94 $62.00 29.0% 8.3% 10.5% 32.2% 0.0% 39.4% -6.2% 22.6K -341.0K -1.5K 0.00 132.69 N/A N/A 5 0 129 43 2023-02-24 $61.97 $62.00 29.3% 8.4% 11.6% 32.9% 13.3% 7.2% -4.1% 24.2K -286.5K -1.4K 0.10 131.49 N/A N/A 40 4 134 43 2023-02-27 $62.57 $62.00 20.6% 5.9% 12.3% 15.3% 0.0% -1.5% -8.3% 33.6K -331.7K -1.6K 0.00 131.27 N/A N/A 1 0 174 47 2023-02-28 $62.23 $62.00 34.5% 9.9% 12.1% 43.3% 0.0% 0.8% -10.1% 13.6K -287.8K -1.4K 0.00 130.09 N/A N/A 0 0 174 47
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