VYMI Options History — September 2023

In September 2023, VYMI traded between $61.71 and $64.47. ATM implied volatility averaged 29.0%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 17.5% (HV 20d: 11.5%). Max pain ranged from $62.00 to $65.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.23.

Notable Days

2023-09-05: Highest Volume — 38 contracts
2023-09-21: Largest IV spike — 166.4% change
2023-09-11: Highest IV Rank — 72.6%
2023-09-01: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.06	$61.71	$64.47	$63.47	$61.92
Max Pain	$64.25	$62.00	$65.00	$62.00	$64.00
ATM IV	29.0%	9.5%	60.3%	35.6%	30.4%
Expected Move	6.6%	2.7%	10.2%	10.2%	8.7%
HV 20d	11.5%	10.2%	12.6%	11.0%	11.8%
HV 60d	13.2%	12.2%	14.0%	13.9%	12.2%
IV Rank	28.7%	1.5%	72.6%	38.0%	30.8%
IV Percentile	47.8%	0.4%	98.8%	81.7%	63.5%
Term Structure	2.0%	-11.9%	8.5%	-3.7%	6.8%
VWIV	20.4%	12.4%	39.0%	13.8%	18.6%
Skew 25d	11.2%	-8.1%	30.9%	26.8%	23.8%
Skew 10d	5.1%	-14.7%	40.1%	40.1%	-14.7%
Call IV 25d	13.0%	6.3%	21.3%	19.8%	21.3%
Put IV 25d	24.2%	8.0%	46.6%	46.6%	45.1%
Bid-Ask Spread %	138.53	132.44	144.94	141.96	140.51
Gamma HHI	0.45	0.36	0.56	0.55	0.36
Net GEX	64.2K	39.9K	105.9K	57.4K	43.3K
Net DEX	-473.6K	-577.6K	-270.1K	-488.2K	-476.5K
Net VEX	-2.8K	-3.1K	-1.9K	-2.8K	-3.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.23	0.00	1.00	0.00	0.33
Total Volume	4.15	0	38	1	0
Total OI	310.25	273	325	273	325

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2023-09-01	$63.47	$62.00	35.6%	10.2%	11.0%	38.0%	0.0%	26.8%	-3.7%	57.4K	-488.2K	-2.8K	0.00	141.96	N/A	N/A	1	0	219	54
2023-09-05	$63.11	$65.00	39.0%	5.3%	11.0%	42.8%	13.8%	-4.4%	3.4%	61.8K	-415.7K	-2.6K	0.00	140.53	N/A	N/A	38	0	220	54
2023-09-06	$62.86	$65.00	17.8%	5.4%	10.7%	13.2%	0.0%	-3.9%	0.5%	65.3K	-399.5K	-2.6K	0.00	139.00	N/A	N/A	0	0	258	54
2023-09-07	$62.68	$65.00	44.4%	4.8%	10.7%	50.4%	0.0%	10.8%	5.4%	60.0K	-410.6K	-2.7K	0.00	141.76	N/A	N/A	0	0	258	54
2023-09-08	$62.67	$65.00	44.2%	5.5%	10.6%	50.1%	0.0%	5.5%	3.3%	60.1K	-270.1K	-1.9K	0.00	137.89	N/A	N/A	0	0	258	54
2023-09-11	$63.50	$65.00	60.3%	5.6%	11.6%	72.6%	12.9%	11.9%	2.6%	69.2K	-478.3K	-2.7K	0.00	139.34	N/A	N/A	3	0	258	54
2023-09-12	$63.53	$65.00	28.6%	5.5%	11.5%	28.2%	0.0%	20.3%	-1.8%	75.4K	-486.1K	-2.8K	0.00	139.98	N/A	N/A	6	0	261	54
2023-09-13	$63.50	$65.00	21.1%	6.0%	10.2%	17.7%	0.0%	23.2%	3.4%	73.0K	-514.3K	-2.8K	0.00	144.47	N/A	N/A	0	0	262	54
2023-09-14	$64.47	$65.00	22.5%	6.5%	11.0%	19.7%	0.0%	15.9%	1.6%	92.4K	-577.6K	-2.9K	1.00	142.95	N/A	N/A	1	1	262	54
2023-09-15	$64.32	$65.00	22.8%	6.5%	11.0%	20.1%	0.0%	10.8%	2.2%	105.9K	-511.4K	-2.7K	0.00	144.94	N/A	N/A	0	0	263	55
2023-09-18	$63.52	$65.00	23.0%	6.6%	12.1%	20.5%	12.4%	-7.3%	-6.6%	60.4K	-541.8K	-2.8K	0.20	140.51	N/A	N/A	5	1	245	52
2023-09-19	$63.83	$63.00	14.3%	4.1%	12.2%	8.2%	0.0%	30.9%	7.9%	70.5K	-531.2K	-2.8K	0.00	135.96	N/A	N/A	7	0	250	53
2023-09-20	$63.67	$63.00	9.5%	2.7%	12.2%	1.5%	0.0%	26.6%	7.1%	95.2K	-571.7K	-2.9K	0.00	132.85	N/A	N/A	7	0	257	53
2023-09-21	$62.88	$63.00	25.3%	7.2%	12.6%	23.6%	0.0%	-5.8%	-0.5%	62.1K	-485.3K	-2.8K	0.00	133.53	N/A	N/A	0	1	262	53
2023-09-22	$62.90	$64.00	26.0%	7.5%	12.1%	24.6%	25.8%	1.9%	7.7%	59.0K	-544.8K	-2.9K	0.50	136.46	N/A	N/A	2	1	262	54
2023-09-25	$62.55	$64.00	28.0%	8.0%	12.2%	27.3%	39.0%	21.5%	-11.9%	42.6K	-466.6K	-3.0K	1.00	134.99	N/A	N/A	1	1	264	55
2023-09-26	$61.88	$64.00	26.7%	7.7%	12.3%	25.6%	0.0%	21.3%	8.5%	39.9K	-422.5K	-2.8K	0.00	132.44	N/A	N/A	2	0	265	56
2023-09-27	$61.71	$64.00	29.3%	8.4%	11.2%	29.1%	0.0%	1.9%	1.6%	44.9K	-435.6K	-2.7K	0.00	137.85	N/A	N/A	1	0	263	56
2023-09-28	$62.24	$64.00	30.3%	8.7%	11.8%	30.6%	18.6%	-8.1%	2.7%	45.6K	-443.6K	-2.9K	0.33	132.63	N/A	N/A	3	1	264	56
2023-09-29	$61.92	$64.00	30.4%	8.7%	11.8%	30.8%	0.0%	23.8%	6.8%	43.3K	-476.5K	-3.1K	0.00	140.51	N/A	N/A	0	0	268	57