VYMI Options History — November 2023

In November 2023, VYMI traded between $60.61 and $64.25. ATM implied volatility averaged 24.9%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 10.6% (HV 20d: 14.3%). Max pain ranged from $60.00 to $63.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.11.

Notable Days

  • 2023-11-15: Highest Volume — 56 contracts
  • 2023-11-28: Largest IV spike — 94.4% change
  • 2023-11-06: Highest IV Rank — 45.2%
  • 2023-11-01: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.83$60.61$64.25$60.61$64.15
Max Pain$62.29$60.00$63.00$60.00$62.00
ATM IV24.9%12.1%40.7%33.3%25.3%
Expected Move6.5%3.5%9.5%9.5%7.2%
HV 20d14.3%13.3%15.9%13.8%13.5%
HV 60d13.6%12.6%14.1%12.6%13.7%
IV Rank23.0%5.1%45.2%34.8%23.6%
IV Percentile38.7%2.0%90.1%75.8%39.7%
Term Structure-3.1%-10.7%7.6%-2.4%-6.4%
VWIV11.4%7.3%18.8%8.5%14.5%
Skew 25d15.6%-1.4%40.1%9.4%40.1%
Skew 10d30.1%-3.7%51.0%49.0%35.8%
Call IV 25d13.7%5.6%22.0%22.0%20.0%
Put IV 25d29.3%9.2%60.1%31.4%60.1%
Bid-Ask Spread %133.71126.33140.15133.71140.15
Gamma HHI0.460.330.610.370.55
Net GEX82.6K45.9K119.0K45.9K99.1K
Net DEX-487.2K-660.4K-281.4K-281.4K-660.4K
Net VEX-2.4K-2.9K-1.8K-2.2K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.001.000.000.00
Total Volume6.09505603
Total OI331.476271390349283

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$60.61$60.0033.3%9.5%13.8%34.8%0.0%9.4%-2.4%45.9K-281.4K-2.2K0.00133.71N/AN/A0029356
2023-11-02$61.69$63.0029.5%6.8%14.8%29.4%8.5%25.3%-6.0%51.5K-356.7K-2.3K0.00131.70N/AN/A2029356
2023-11-03$62.34$63.0033.4%6.7%14.6%34.9%8.1%22.9%-4.4%73.0K-558.3K-2.8K0.00128.12N/AN/A6029556
2023-11-06$62.13$63.0040.7%6.9%14.7%45.2%0.0%19.1%-7.1%73.9K-374.3K-2.3K0.50131.26N/AN/A2130156
2023-11-07$61.66$63.0037.3%7.3%13.9%40.4%0.0%14.2%-7.7%53.4K-306.7K-2.0K0.00131.42N/AN/A0030157
2023-11-08$61.23$63.0019.2%5.5%14.1%15.0%0.0%8.6%-4.2%64.0K-428.5K-2.5K0.00126.33N/AN/A8030157
2023-11-09$61.16$63.0026.9%7.7%13.7%25.8%0.0%26.6%2.4%47.2K-360.3K-2.2K0.00135.25N/AN/A2030357
2023-11-10$61.56$63.0019.0%5.4%13.7%14.7%0.0%22.9%5.2%70.6K-349.9K-2.2K0.00137.15N/AN/A1030457
2023-11-13$61.84$63.0023.5%6.7%13.3%21.1%18.8%10.7%-2.4%64.6K-335.8K-1.8K0.00131.47N/AN/A1030557
2023-11-14$63.38$62.0021.3%6.1%15.9%18.0%7.3%28.7%2.0%119.0K-508.5K-2.1K0.00131.76N/AN/A12030657
2023-11-15$63.19$62.0026.3%7.5%15.0%25.0%0.0%17.7%-10.7%91.8K-585.0K-2.3K0.02135.78N/AN/A55131857
2023-11-16$62.95$62.0021.1%6.0%14.6%17.7%0.0%7.2%7.6%100.0K-524.5K-2.2K1.00136.78N/AN/A1133058
2023-11-17$63.71$62.0025.1%7.2%14.3%23.4%14.5%-0.4%7.3%81.0K-603.4K-2.5K0.12137.25N/AN/A17233159
2023-11-20$64.06$62.0027.2%7.8%14.3%26.2%0.0%19.1%-0.8%85.6K-514.8K-2.6K0.00132.31N/AN/A802656
2023-11-21$63.70$62.0020.1%5.7%14.7%16.3%0.0%-1.4%-3.5%77.2K-511.5K-2.6K0.00135.40N/AN/A002736
2023-11-22$63.59$62.0019.8%5.7%14.5%15.9%0.0%8.5%-8.3%100.8K-564.8K-2.8K0.00132.47N/AN/A102736
2023-11-24$64.15$62.0013.7%3.9%14.4%7.4%0.0%8.7%-8.5%112.4K-632.2K-2.9K0.00126.69N/AN/A402736
2023-11-27$64.00$62.0012.1%3.5%14.0%5.1%0.0%3.3%2.5%116.9K-584.8K-2.7K0.00139.71N/AN/A002776
2023-11-28$64.25$62.0023.5%6.7%13.7%21.0%0.0%35.9%-9.6%115.2K-638.2K-2.8K0.00139.04N/AN/A002776
2023-11-29$64.12$62.0024.5%7.0%13.8%22.5%0.0%1.1%-9.0%91.6K-551.6K-2.5K0.00134.17N/AN/A002776
2023-11-30$64.15$62.0025.3%7.2%13.5%23.6%0.0%40.1%-6.4%99.1K-660.4K-2.9K0.00140.15N/AN/A302776