VYMI Options History — May 2023

In May 2023, VYMI traded between $61.14 and $64.34. ATM implied volatility averaged 23.9%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 11.8% (HV 20d: 12.2%). Max pain ranged from $57.00 to $63.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 6.96.

Notable Days

  • 2023-05-10: Highest Volume — 235 contracts
  • 2023-05-05: Largest IV spike — 108.1% change
  • 2023-05-09: Highest IV Rank — 42.8%
  • 2023-05-31: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.23$61.14$64.34$63.97$61.14
Max Pain$60.09$57.00$63.00$57.00$62.00
ATM IV23.9%9.9%41.6%15.4%33.3%
Expected Move6.5%2.8%9.6%4.4%9.6%
HV 20d12.2%10.2%13.1%10.2%12.3%
HV 60d13.8%13.4%14.2%13.4%13.9%
IV Rank18.0%0.0%42.8%3.5%33.5%
IV Percentile34.5%0.0%92.5%2.8%74.6%
Term Structure-1.7%-9.9%9.6%-9.9%-3.8%
VWIV22.9%12.2%53.6%12.2%53.6%
Skew 25d7.7%-12.9%30.8%23.8%17.3%
Skew 10d8.1%-10.3%39.5%31.8%-7.4%
Call IV 25d15.6%8.5%25.1%19.3%21.2%
Put IV 25d23.3%8.4%55.7%43.0%38.5%
Bid-Ask Spread %128.42119.77136.90122.64133.34
Gamma HHI0.270.170.570.200.57
Net GEX40.1K-53.9K98.2K89.2K-53.9K
Net DEX-353.5K-752.6K226.1K-715.4K222.0K
Net VEX-2.1K-3.7K-807-2.0K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.960.0077.330.330.00
Total Volume17023581
Total OI522.455416678416503

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$63.97$57.0015.4%4.4%10.2%3.5%12.2%23.8%-9.9%89.2K-715.4K-2.0K0.33122.64N/AN/A62254162
2023-05-02$63.06$58.0032.0%9.2%10.8%28.3%0.0%30.8%5.5%68.5K-579.5K-1.5K0.00122.69N/AN/A10260164
2023-05-03$63.13$58.0015.1%4.3%10.7%3.0%17.4%26.6%3.5%97.7K-575.1K-1.5K0.00122.75N/AN/A120261164
2023-05-04$63.13$63.0014.8%6.6%10.7%2.7%15.5%18.6%-0.5%91.9K-558.2K-1.5K2.00133.42N/AN/A12258164
2023-05-05$64.31$60.0030.8%7.6%12.4%26.6%0.0%19.3%-8.3%74.5K-752.6K-1.7K0.00128.18N/AN/A00258165
2023-05-08$64.34$60.0037.5%7.5%12.4%36.7%0.0%2.5%-4.8%70.2K-732.2K-1.5K0.00132.95N/AN/A00256165
2023-05-09$64.30$60.0041.6%6.9%12.2%42.8%0.0%-12.9%-6.2%70.1K-731.2K-1.6K0.00136.90N/AN/A00256165
2023-05-10$64.11$60.0022.8%6.5%12.1%14.6%12.3%-4.7%-0.0%72.2K-750.0K-1.8K77.33132.39N/AN/A3232256165
2023-05-11$63.61$60.0014.7%4.2%11.8%2.5%0.0%2.3%-2.7%98.2K-550.3K-1.6K0.00128.93N/AN/A00259397
2023-05-12$63.31$60.0026.9%7.7%11.9%20.7%0.0%-2.2%-5.1%68.5K-334.9K-2.9K0.00132.82N/AN/A00259397
2023-05-15$63.95$60.0022.5%6.5%12.5%14.2%0.0%14.7%-0.1%32.6K-656.9K-1.7K10.00130.78N/AN/A110259397
2023-05-16$63.28$60.0010.7%3.1%12.9%0.0%0.0%0.8%9.6%43.4K-330.4K-2.5K0.00125.17N/AN/A110260407
2023-05-17$63.54$60.0016.4%4.7%13.0%8.2%0.0%-2.7%1.2%56.6K-456.7K-1.7K0.00128.53N/AN/A110260407
2023-05-18$63.31$60.0025.1%7.2%13.0%20.8%0.0%18.6%3.2%59.2K-478.7K-1.9K0.00125.21N/AN/A050261407
2023-05-19$63.52$60.0023.4%6.7%13.0%18.3%18.2%0.3%-1.8%79.6K-358.5K-3.0K0.50124.45N/AN/A21261417
2023-05-22$63.56$60.009.9%2.8%13.0%0.0%0.0%7.4%1.8%15.7K-117.7K-8070.00119.77N/AN/A60110371
2023-05-23$63.08$60.0014.3%4.1%12.4%6.4%12.2%-4.1%-1.3%-16.5K5.7K-2.1K0.00128.06N/AN/A60116371
2023-05-24$62.31$60.0028.9%8.3%13.1%27.3%23.8%-2.1%-7.9%-23.5K226.1K-3.7K0.33132.39N/AN/A62123371
2023-05-25$61.89$60.0028.1%8.0%12.0%26.0%41.1%20.4%-1.2%-32.4K184.1K-2.9K0.00127.03N/AN/A01128374
2023-05-26$62.34$62.0028.9%8.3%12.4%27.2%0.0%3.6%-0.6%-48.4K65.9K-2.4K0.00131.33N/AN/A00128375
2023-05-30$61.84$62.0033.1%9.5%12.7%33.2%0.0%-9.5%-7.3%-31.0K197.3K-2.8K0.00125.44N/AN/A70128375
2023-05-31$61.14$62.0033.3%9.6%12.3%33.5%53.6%17.3%-3.8%-53.9K222.0K-2.5K0.00133.34N/AN/A01128375