VYMI Options History — July 2023

In July 2023, VYMI traded between $61.75 and $65.94. ATM implied volatility averaged 26.9%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 11.0% (HV 20d: 15.9%). Max pain ranged from $62.00 to $64.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.28.

Notable Days

  • 2023-07-21: Highest Volume — 18 contracts
  • 2023-07-11: Largest IV spike — 73.1% change
  • 2023-07-11: Highest IV Rank — 39.1%
  • 2023-07-05: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.39$61.75$65.94$63.59$65.94
Max Pain$62.85$62.00$64.00$64.00$63.00
ATM IV26.9%17.7%36.4%27.5%28.4%
Expected Move7.0%3.9%9.6%7.9%8.1%
HV 20d15.9%13.1%18.9%15.4%13.5%
HV 60d14.5%13.6%15.0%13.6%14.4%
IV Rank25.9%13.0%39.1%26.7%27.9%
IV Percentile43.2%10.3%81.7%42.9%50.8%
Term Structure-3.7%-11.8%7.8%2.5%7.8%
VWIV17.0%7.8%29.7%10.2%14.5%
Skew 25d12.4%-9.8%34.0%17.0%34.0%
Skew 10d9.5%-13.5%41.4%-8.5%41.4%
Call IV 25d13.8%7.6%19.6%7.6%13.9%
Put IV 25d26.2%9.8%47.9%24.7%47.9%
Bid-Ask Spread %124.33114.04134.04128.20123.44
Gamma HHI0.270.160.490.220.20
Net GEX26.0K-67.8K87.2K-4.9K62.5K
Net DEX-210.9K-413.9K269.8K-78.5K-413.9K
Net VEX-1.7K-2.9K-1.2K-2.2K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.002.000.000.00
Total Volume3.5501804
Total OI626.05554668642562

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$63.59$64.0027.5%7.9%15.4%26.7%0.0%17.0%2.5%-4.9K-78.5K-2.2K0.00128.20N/AN/A00165477
2023-07-05$62.89$64.0033.5%9.6%15.8%35.1%0.0%14.4%-2.8%-46.5K44.8K-2.4K0.00122.98N/AN/A01165477
2023-07-06$61.75$63.0034.7%6.3%16.8%36.8%0.0%5.8%1.7%-60.6K269.8K-2.9K0.00128.08N/AN/A10165478
2023-07-07$62.38$63.0034.9%7.5%17.3%37.1%0.0%21.5%-9.3%-67.8K162.5K-2.6K0.00123.25N/AN/A10166478
2023-07-10$62.38$63.0021.0%3.9%16.9%17.6%10.2%11.4%-2.9%-13.8K-22.9K-1.2K0.00122.00N/AN/A011166478
2023-07-11$62.93$63.0036.4%4.6%17.2%39.1%16.0%5.0%-3.9%5.5K-96.1K-1.2K1.00123.68N/AN/A11166489
2023-07-12$64.06$63.0023.2%6.7%18.4%20.7%29.7%-2.0%-2.2%20.2K-201.0K-1.4K0.00125.40N/AN/A30167489
2023-07-13$64.95$62.0022.9%6.6%18.8%20.2%21.5%20.1%-10.0%58.0K-317.9K-1.4K0.00126.64N/AN/A10170489
2023-07-14$64.53$62.0024.3%7.0%18.9%22.1%0.0%6.7%-7.7%40.8K-260.7K-2.1K0.00129.29N/AN/A00172489
2023-07-17$64.57$62.0022.8%6.5%18.5%20.1%12.4%20.0%-8.8%32.4K-289.2K-1.4K0.00130.19N/AN/A20172489
2023-07-18$64.91$62.0025.6%7.3%18.6%24.0%21.1%28.7%-7.6%66.0K-324.0K-1.4K1.00122.63N/AN/A11174489
2023-07-19$65.03$62.0027.2%7.8%15.0%26.3%12.6%-3.5%-9.4%63.8K-306.1K-1.3K2.00121.98N/AN/A12174490
2023-07-20$65.02$63.0025.9%7.4%15.0%24.5%7.8%33.0%-2.0%34.9K-238.7K-2.5K0.00134.04N/AN/A10175492
2023-07-21$65.10$63.0025.9%7.4%14.6%24.4%21.0%23.1%-9.6%87.2K-353.7K-1.3K0.13128.53N/AN/A162176492
2023-07-24$65.28$63.0027.2%7.8%13.2%26.2%0.0%-9.8%-3.0%36.0K-345.9K-1.7K0.00128.21N/AN/A60167387
2023-07-25$65.62$63.0023.4%6.7%13.2%21.0%17.1%-2.3%-0.1%48.8K-353.9K-1.4K0.10119.47N/AN/A101173387
2023-07-26$65.83$63.0030.0%8.6%13.1%30.2%0.0%-1.8%-11.8%51.5K-380.5K-1.5K0.00119.60N/AN/A10170388
2023-07-27$65.24$63.0017.7%5.1%13.6%13.0%0.0%1.8%3.3%49.1K-348.2K-1.4K0.00114.88N/AN/A00171388
2023-07-28$65.82$63.0025.7%7.4%13.8%24.2%19.7%25.0%2.5%57.6K-364.9K-1.2K0.00114.04N/AN/A30171388
2023-07-31$65.94$63.0028.4%8.1%13.5%27.9%14.5%34.0%7.8%62.5K-413.9K-1.3K0.00123.44N/AN/A40174388