VYMI Options History — October 2023

In October 2023, VYMI traded between $59.26 and $62.34. ATM implied volatility averaged 29.0%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 14.8% (HV 20d: 14.2%). Max pain ranged from $60.00 to $64.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.25.

Notable Days

  • 2023-10-24: Highest Volume — 37 contracts
  • 2023-10-10: Largest IV spike — 108.7% change
  • 2023-10-10: Highest IV Rank — 43.1%
  • 2023-10-03: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.75$59.26$62.34$61.00$59.97
Max Pain$60.55$60.00$64.00$64.00$60.00
ATM IV29.0%16.4%39.2%33.8%34.4%
Expected Move8.0%4.7%10.0%9.7%9.8%
HV 20d14.2%12.7%15.0%12.7%13.4%
HV 60d12.5%11.9%13.0%12.4%12.4%
IV Rank28.8%11.2%43.1%35.5%36.3%
IV Percentile54.7%9.5%87.3%76.2%78.2%
Term Structure-3.1%-14.6%11.7%0.1%3.5%
VWIV18.6%10.7%25.1%22.4%10.7%
Skew 25d10.0%-6.0%34.1%12.0%30.8%
Skew 10d13.7%-20.3%49.3%40.5%49.3%
Call IV 25d16.1%10.1%26.7%19.0%10.1%
Put IV 25d26.1%9.0%49.7%31.0%40.9%
Bid-Ask Spread %131.66123.78138.85137.01138.85
Gamma HHI0.400.330.540.380.37
Net GEX41.5K29.7K65.0K40.6K34.7K
Net DEX-294.7K-504.2K-116.7K-314.7K-116.7K
Net VEX-2.2K-2.8K-1.2K-2.8K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.002.001.000.00
Total Volume4.27303721
Total OI340.318305367325348

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$61.00$64.0033.8%9.7%12.7%35.5%0.0%12.0%0.1%40.6K-314.7K-2.8K1.00137.01N/AN/A1126857
2023-10-03$60.22$64.0035.0%10.0%13.2%37.2%0.0%-6.0%5.3%39.1K-259.8K-2.5K0.00132.19N/AN/A0026958
2023-10-04$59.97$64.0034.6%9.9%13.2%36.7%0.0%-5.1%-4.3%29.7K-240.3K-2.3K0.00135.68N/AN/A0026958
2023-10-05$60.52$60.0031.7%7.6%13.8%32.6%0.0%8.8%-5.2%30.6K-334.7K-2.5K0.00123.78N/AN/A2026958
2023-10-06$61.28$60.0036.4%7.1%14.7%39.2%0.0%-3.4%-1.1%39.8K-404.4K-2.5K0.00128.93N/AN/A0027158
2023-10-09$61.22$60.0018.8%5.1%13.7%14.5%0.0%-0.4%-0.5%41.9K-239.3K-1.9K0.00129.06N/AN/A0027158
2023-10-10$62.16$60.0039.2%8.6%15.0%43.1%22.4%-3.7%-14.6%53.6K-349.4K-2.3K0.00129.65N/AN/A11027158
2023-10-11$62.34$60.0023.9%6.8%15.0%21.6%0.0%16.0%-3.6%59.6K-504.2K-2.6K0.00130.30N/AN/A0028258
2023-10-12$61.72$60.0025.7%7.4%14.1%24.1%19.7%10.8%-7.9%56.0K-436.3K-2.5K0.00133.50N/AN/A1028258
2023-10-13$61.39$60.0022.7%6.5%14.1%19.9%0.0%5.6%-5.6%37.1K-368.8K-2.4K0.00130.47N/AN/A17028358
2023-10-16$62.03$60.0027.1%7.8%14.3%26.2%25.1%-3.1%-12.6%65.0K-347.7K-2.3K0.00129.40N/AN/A6030058
2023-10-17$61.99$60.0027.0%7.7%14.1%26.0%0.0%6.9%-11.6%53.8K-287.0K-2.0K0.00127.40N/AN/A2030458
2023-10-18$61.12$60.0030.0%8.6%14.8%30.1%0.0%25.3%-9.8%47.2K-385.9K-2.5K0.00132.04N/AN/A0230658
2023-10-19$60.59$60.0031.0%8.9%14.5%31.6%20.7%22.8%-10.3%32.9K-247.4K-2.1K2.00133.78N/AN/A1230660
2023-10-20$59.98$60.0032.5%9.3%14.8%33.7%0.0%-4.3%1.7%33.9K-232.8K-2.4K0.00133.12N/AN/A0130760
2023-10-23$59.98$60.0027.6%7.9%14.7%26.8%12.9%-2.4%-0.9%35.8K-220.4K-1.8K0.00130.92N/AN/A8024956
2023-10-24$60.20$60.0022.4%6.4%14.5%19.6%0.0%13.5%3.3%36.3K-224.9K-1.8K0.00127.04N/AN/A37025556
2023-10-25$59.95$60.0019.9%5.7%14.5%16.1%0.0%0.5%2.6%37.6K-219.8K-1.9K0.00134.59N/AN/A0029256
2023-10-26$59.67$60.0034.4%9.9%14.1%36.3%0.0%28.7%-3.0%39.5K-247.2K-2.0K0.00130.68N/AN/A0029256
2023-10-27$59.26$60.0016.4%4.7%14.1%11.2%10.7%34.1%-4.6%30.1K-188.6K-1.8K0.00136.15N/AN/A1029256
2023-10-30$59.97$60.0033.3%9.5%14.1%34.8%0.0%32.0%11.7%37.7K-312.5K-2.4K0.00131.99N/AN/A0029256
2023-10-31$59.97$60.0034.4%9.8%13.4%36.3%0.0%30.8%3.5%34.7K-116.7K-1.2K0.00138.85N/AN/A1029256