VYMI Options History — August 2023

In August 2023, VYMI traded between $61.91 and $65.13. ATM implied volatility averaged 22.4%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 10.2% (HV 20d: 12.2%). Max pain ranged from $62.00 to $63.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.24.

Notable Days

  • 2023-08-21: Highest Volume — 73 contracts
  • 2023-08-31: Largest IV spike — 198.0% change
  • 2023-08-31: Highest IV Rank — 36.4%
  • 2023-08-31: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.19$61.91$65.13$65.13$63.31
Max Pain$62.09$62.00$63.00$63.00$62.00
ATM IV22.4%11.6%34.4%30.3%34.4%
Expected Move6.0%3.3%9.9%8.7%9.9%
HV 20d12.2%10.8%15.4%14.3%11.1%
HV 60d14.5%14.0%14.7%14.6%14.0%
IV Rank19.5%4.4%36.4%30.7%36.4%
IV Percentile29.8%1.2%77.8%61.5%77.8%
Term Structure-0.9%-11.4%6.9%1.8%-3.6%
VWIV13.9%10.2%18.7%11.7%10.2%
Skew 25d16.1%-4.8%35.1%35.1%21.6%
Skew 10d11.2%-18.0%36.6%5.6%24.2%
Call IV 25d13.6%8.1%23.3%13.4%14.1%
Put IV 25d29.8%9.1%48.5%48.5%35.6%
Bid-Ask Spread %131.06121.76141.01122.23141.01
Gamma HHI0.400.170.670.230.55
Net GEX33.7K6.4K66.3K53.9K58.7K
Net DEX-305.4K-500.6K-175.8K-331.2K-449.9K
Net VEX-2.2K-2.9K-934-1.2K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.002.170.000.00
Total Volume9.69607332
Total OI470.783181666562271

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$65.13$63.0030.3%8.7%14.3%30.7%11.7%35.1%1.8%53.9K-331.2K-1.2K0.00122.23N/AN/A30174388
2023-08-02$63.94$63.0017.5%5.0%15.4%12.7%0.0%10.4%-11.4%16.7K-175.8K-1.5K0.00124.84N/AN/A10172388
2023-08-03$63.77$62.0031.5%6.6%13.7%32.3%0.0%22.9%-0.3%21.4K-177.9K-1.0K0.00124.54N/AN/A30172388
2023-08-04$64.04$62.0018.5%4.6%13.4%14.1%11.7%7.2%3.6%23.3K-201.1K-1.3K1.00127.15N/AN/A22172388
2023-08-07$64.35$62.0021.2%6.2%13.4%17.8%0.0%4.2%2.3%28.6K-241.3K-1.3K0.00121.76N/AN/A00172389
2023-08-08$63.86$62.0034.2%4.0%13.5%36.0%0.0%8.2%1.2%31.0K-179.4K-9340.02128.01N/AN/A521172389
2023-08-09$64.06$62.0023.2%6.6%12.0%20.7%0.0%27.1%2.0%38.7K-314.8K-1.9K0.00129.23N/AN/A01222390
2023-08-10$64.09$62.0025.6%7.3%10.8%24.0%0.0%-4.8%-5.6%18.7K-245.4K-2.5K0.00129.09N/AN/A500222391
2023-08-11$63.72$62.0022.6%6.5%10.8%19.8%0.0%-3.6%-1.5%49.1K-446.7K-2.7K0.00130.71N/AN/A10272391
2023-08-14$63.38$62.0024.5%7.0%10.9%22.5%0.0%26.9%1.6%22.2K-301.5K-2.9K0.33133.62N/AN/A31272391
2023-08-15$62.49$62.0015.7%4.5%11.6%10.2%0.0%6.6%3.2%17.5K-266.0K-2.5K0.00125.89N/AN/A01272391
2023-08-16$62.13$62.0026.1%7.5%11.6%24.7%0.0%10.2%-10.2%15.0K-246.6K-2.4K0.50130.16N/AN/A21272392
2023-08-17$61.97$62.0016.1%4.6%11.5%10.7%0.0%19.8%6.9%7.3K-247.2K-2.3K0.00133.35N/AN/A30272392
2023-08-18$61.98$62.0014.0%4.0%11.5%7.8%0.0%23.3%3.1%6.4K-260.7K-2.3K0.00133.13N/AN/A20274392
2023-08-21$62.08$62.0014.8%4.3%11.4%9.0%15.6%16.9%0.5%32.5K-331.2K-2.3K2.17130.31N/AN/A23501774
2023-08-22$61.91$62.0015.3%4.4%11.1%9.7%15.2%28.3%1.5%35.6K-307.0K-2.5K0.00132.07N/AN/A2020054
2023-08-23$62.59$62.0026.8%7.7%11.9%25.7%0.0%28.6%-5.9%37.0K-364.9K-2.7K0.00133.58N/AN/A1020154
2023-08-24$62.00$62.0017.0%4.9%12.0%12.1%0.0%24.3%-0.5%43.0K-328.8K-2.4K0.00137.83N/AN/A0020254
2023-08-25$62.31$62.0016.3%4.7%11.6%11.0%0.0%16.6%0.6%45.8K-334.7K-2.4K0.00138.30N/AN/A0020254
2023-08-28$62.89$62.0029.5%8.5%12.2%29.5%0.0%0.2%-7.0%50.1K-369.2K-2.5K0.00134.60N/AN/A0020254
2023-08-29$63.69$62.0027.7%7.9%12.7%27.0%18.7%13.5%-6.9%66.3K-402.9K-2.5K0.00131.88N/AN/A14020254
2023-08-30$63.62$62.0011.6%3.3%11.0%4.4%10.2%28.0%3.4%55.5K-500.6K-2.9K0.00141.00N/AN/A2021754
2023-08-31$63.31$62.0034.4%9.9%11.1%36.4%0.0%21.6%-3.6%58.7K-449.9K-2.8K0.00141.01N/AN/A2021754