VYMI Options History — June 2023

In June 2023, VYMI traded between $61.97 and $65.22. ATM implied volatility averaged 26.8%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 11.7% (HV 20d: 15.1%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 7.77.

Notable Days

  • 2023-06-07: Highest Volume — 101 contracts
  • 2023-06-07: Largest IV spike — 142.6% change
  • 2023-06-13: Highest IV Rank — 84.0%
  • 2023-06-02: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.28$61.97$65.22$61.97$63.19
Max Pain$62.48$60.00$65.00$62.00$64.00
ATM IV26.8%8.4%68.7%30.9%25.2%
Expected Move6.0%2.4%10.0%8.9%7.2%
HV 20d15.1%13.0%17.5%13.4%16.4%
HV 60d13.3%12.0%14.2%13.8%13.5%
IV Rank25.1%0.0%84.0%30.1%23.5%
IV Percentile35.8%0.0%99.2%63.9%32.5%
Term Structure2.0%-16.4%14.3%-16.4%12.6%
VWIV15.4%5.4%27.7%24.8%27.7%
Skew 25d11.0%-4.3%36.6%16.4%36.2%
Skew 10d14.1%-12.7%39.5%26.2%39.5%
Call IV 25d10.6%5.4%27.5%24.8%7.0%
Put IV 25d21.6%6.4%64.2%41.2%43.2%
Bid-Ask Spread %134.18125.85141.47125.85135.06
Gamma HHI0.300.170.560.560.39
Net GEX-17.2K-68.8K70.5K-54.5K-23.1K
Net DEX-13.9K-389.3K396.8K134.2K7.4K
Net VEX-2.3K-3.8K-826-2.1K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.770.00100.000.000.00
Total Volume9.286010141
Total OI602.952505656505641

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$61.97$62.0030.9%8.9%13.4%30.1%24.8%16.4%-16.4%-54.5K134.2K-2.1K0.00125.85N/AN/A40129376
2023-06-02$63.03$62.0034.8%10.0%14.8%35.6%0.0%36.6%-9.1%-32.3K-23.7K-2.3K0.00136.48N/AN/A10133376
2023-06-05$62.77$65.0017.7%5.8%13.2%11.2%0.0%3.4%-0.5%-7.3K22.7K-2.4K0.00139.62N/AN/A00133376
2023-06-06$63.29$65.0018.1%5.4%13.6%11.8%9.1%25.3%1.2%18.1K-122.3K-8260.00134.71N/AN/A50133376
2023-06-07$63.09$63.0044.0%5.3%13.6%48.7%6.5%-4.3%-3.1%-29.0K-116.2K-1.2K100.00137.52N/AN/A1100134376
2023-06-08$63.67$60.0035.7%5.3%14.0%36.9%0.0%8.9%-5.0%-10.7K-41.9K-1.1K0.00135.05N/AN/A00134476
2023-06-09$63.67$60.0022.3%4.7%13.7%17.8%5.4%4.6%8.3%3.4K-104.1K-1.6K0.00137.08N/AN/A40134476
2023-06-12$63.61$60.0051.9%5.6%13.6%60.0%0.0%3.4%-5.0%-22.0K29.1K-2.8K0.00141.21N/AN/A30138477
2023-06-13$64.14$60.0068.7%6.4%13.5%84.0%7.8%5.9%-2.7%-4.6K-96.3K-1.9K0.00141.47N/AN/A450135477
2023-06-14$64.54$60.0017.7%5.1%13.0%11.2%0.0%25.7%5.3%51.6K-367.3K-1.7K0.00136.49N/AN/A00178477
2023-06-15$65.22$60.008.4%2.4%13.4%0.0%0.0%7.0%3.2%46.4K-375.4K-1.6K0.00136.54N/AN/A00178477
2023-06-16$65.08$60.0016.5%4.7%13.4%11.3%16.0%23.3%5.3%70.5K-389.3K-2.7K0.00137.72N/AN/A70179477
2023-06-20$63.19$60.0015.5%4.4%17.2%9.9%18.8%2.8%-0.3%-34.2K-21.8K-2.5K0.11127.47N/AN/A91148471
2023-06-21$63.39$65.0024.1%6.9%17.3%22.0%12.9%8.0%7.2%-23.1K38.5K-3.1K0.67127.36N/AN/A32157473
2023-06-22$62.88$65.0023.1%6.6%17.3%20.6%0.0%5.3%6.6%-34.8K252.8K-3.7K0.00127.68N/AN/A01157475
2023-06-23$61.97$65.0022.7%6.5%17.5%20.0%24.8%2.8%5.1%-43.5K396.8K-3.8K0.00132.00N/AN/A01157475
2023-06-26$62.30$64.0021.8%6.3%17.5%18.8%0.0%0.1%-0.5%-46.7K301.7K-3.6K0.25127.93N/AN/A41158476
2023-06-27$62.75$64.0024.0%6.9%17.5%21.9%0.0%0.0%6.2%-68.8K115.3K-2.8K0.00131.21N/AN/A00162477
2023-06-28$62.59$64.0014.4%4.1%17.2%8.4%27.7%14.1%14.3%-47.5K25.5K-2.7K0.00134.79N/AN/A20162477
2023-06-29$62.55$64.0024.8%7.1%16.6%22.9%0.0%5.1%9.4%-68.1K43.1K-2.6K0.00134.54N/AN/A00164477
2023-06-30$63.19$64.0025.2%7.2%16.4%23.5%0.0%36.2%12.6%-23.1K7.4K-2.4K0.00135.06N/AN/A10164477