VYMI Options History — March 2023

In March 2023, VYMI traded between $59.18 and $63.45. ATM implied volatility averaged 37.6%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 22.4% (HV 20d: 15.2%). Max pain ranged from $60.00 to $64.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.01.

Notable Days

  • 2023-03-23: Highest Volume — 241 contracts
  • 2023-03-15: Largest IV drop — 68.0% change
  • 2023-03-13: Highest IV Rank — 100.0%
  • 2023-03-02: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.18$59.18$63.45$62.70$61.91
Max Pain$61.13$60.00$64.00$62.00$60.00
ATM IV37.6%25.6%79.9%33.4%26.8%
Expected Move8.2%5.6%10.3%9.6%7.7%
HV 20d15.2%11.2%18.3%12.5%17.4%
HV 60d13.9%13.0%14.6%13.2%14.1%
IV Rank42.5%18.8%100.0%41.1%20.6%
IV Percentile72.3%37.7%100.0%78.6%40.5%
Term Structure-0.2%-12.8%8.5%-1.6%8.4%
VWIV22.1%12.8%37.5%22.9%12.8%
Skew 25d20.1%-5.6%40.7%33.2%27.5%
Skew 10d27.7%-0.5%69.7%39.2%35.2%
Call IV 25d18.2%10.7%33.2%33.2%18.6%
Put IV 25d38.4%10.3%68.4%66.4%46.1%
Bid-Ask Spread %131.36124.75139.51133.76133.72
Gamma HHI0.170.130.300.130.24
Net GEX36.9K8.6K92.3K34.6K76.7K
Net DEX-324.0K-544.6K-49.6K-403.8K-408.6K
Net VEX-2.4K-2.7K-1.6K-1.6K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.010.000.140.000.00
Total Volume21.0870241029
Total OI386.391221495221495

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$62.70$62.0033.4%9.6%12.5%41.1%0.0%33.2%-1.6%34.6K-403.8K-1.6K0.00133.76N/AN/A0017447
2023-03-02$62.77$62.0036.1%10.3%11.8%46.6%0.0%40.7%2.9%31.3K-436.1K-1.8K0.00131.01N/AN/A21017447
2023-03-03$63.45$62.0032.2%9.2%11.8%38.7%22.9%7.8%-6.4%45.8K-433.6K-1.6K0.00132.59N/AN/A30019547
2023-03-06$63.41$64.0040.8%6.7%11.2%56.1%0.0%8.3%2.4%55.2K-535.5K-2.0K0.00134.03N/AN/A012422547
2023-03-07$62.39$64.0042.3%6.5%12.3%59.3%0.0%9.4%2.3%38.1K-465.8K-2.7K0.00128.61N/AN/A00225171
2023-03-08$62.65$64.0043.2%5.6%12.0%61.1%0.0%10.8%4.3%46.4K-476.0K-2.3K0.00132.85N/AN/A00225171
2023-03-09$61.93$64.0046.6%6.8%12.6%67.8%0.0%-3.1%7.9%37.0K-330.7K-2.6K0.00129.76N/AN/A10225171
2023-03-10$61.27$64.0054.1%8.4%13.1%83.2%35.5%23.0%-5.7%32.0K-307.9K-2.7K0.00128.65N/AN/A03226173
2023-03-13$60.71$60.0070.7%7.2%13.3%100.0%0.0%22.0%2.4%26.8K-242.3K-2.7K0.00133.52N/AN/A10226176
2023-03-14$60.91$60.0079.9%7.3%12.9%100.0%0.0%23.2%-0.0%31.3K-233.7K-2.4K0.00139.51N/AN/A00224176
2023-03-15$59.18$60.0025.6%7.3%15.9%18.8%0.0%28.7%8.5%16.9K-63.6K-2.5K0.00132.42N/AN/A20224176
2023-03-16$59.83$60.0025.7%7.4%16.7%19.0%16.5%21.2%4.5%16.5K-128.8K-2.0K0.00130.39N/AN/A20226176
2023-03-17$59.19$60.0026.9%7.7%16.9%20.7%0.0%21.6%3.1%8.6K-49.6K-2.3K0.00128.99N/AN/A00227176
2023-03-20$59.67$60.0034.6%9.9%17.3%32.3%21.6%-5.6%-11.1%9.1K-138.2K-2.7K0.00124.75N/AN/A130164166
2023-03-21$60.50$60.0029.6%8.5%18.3%24.7%25.3%14.6%-3.8%12.7K-210.4K-2.4K0.14128.54N/AN/A71177166
2023-03-22$60.49$60.0032.9%9.4%18.1%29.6%0.0%24.7%-8.5%15.2K-240.8K-2.5K0.00128.78N/AN/A50184167
2023-03-23$60.09$60.0029.9%8.6%17.9%25.3%16.6%25.3%-8.5%20.2K-201.4K-2.5K0.00130.35N/AN/A2410184167
2023-03-24$59.81$60.0034.9%10.0%17.3%32.7%37.5%23.7%-12.8%33.2K-260.0K-2.7K0.00125.08N/AN/A30324167
2023-03-27$60.37$60.0030.4%8.7%17.2%26.0%0.0%32.1%-1.6%59.5K-469.8K-2.6K0.00133.81N/AN/A00327167
2023-03-28$60.70$60.0028.8%8.2%17.4%23.5%14.0%28.3%2.5%38.8K-348.7K-1.8K0.00129.45N/AN/A01327167
2023-03-29$61.22$60.0030.4%8.7%17.4%26.0%0.0%36.3%1.6%70.5K-544.6K-2.6K0.00135.85N/AN/A00327167
2023-03-30$61.89$60.0029.1%8.4%17.9%24.1%18.5%9.6%4.4%92.3K-522.0K-2.3K0.00134.81N/AN/A10327167
2023-03-31$61.91$60.0026.8%7.7%17.4%20.6%12.8%27.5%8.4%76.7K-408.6K-2.6K0.00133.72N/AN/A290328167