VYMI Options History — December 2023

In December 2023, VYMI traded between $64.15 and $66.50. ATM implied volatility averaged 26.4%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 14.8% (HV 20d: 11.7%). Max pain ranged from $62.00 to $67.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.66.

Notable Days

  • 2023-12-28: Highest Volume — 67 contracts
  • 2023-12-13: Largest IV drop — 64.7% change
  • 2023-12-12: Highest IV Rank — 69.9%
  • 2023-12-01: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.21$64.15$66.50$64.87$66.50
Max Pain$64.60$62.00$67.00$62.00$67.00
ATM IV26.4%8.9%58.4%30.6%8.9%
Expected Move5.8%2.6%8.8%8.8%2.6%
HV 20d11.7%9.7%13.0%12.8%11.6%
HV 60d13.6%12.9%14.0%13.9%12.9%
IV Rank25.2%0.7%69.9%31.0%0.7%
IV Percentile43.0%0.4%98.0%68.3%0.8%
Term Structure-0.1%-9.4%5.8%5.8%5.3%
VWIV11.1%9.4%12.5%12.5%11.4%
Skew 25d11.2%-9.6%26.4%-4.9%-4.7%
Skew 10d14.2%-10.8%36.3%36.3%-0.7%
Call IV 25d15.4%7.9%21.5%14.7%14.6%
Put IV 25d26.6%9.3%41.0%9.9%9.9%
Bid-Ask Spread %142.60130.94146.85138.51138.75
Gamma HHI0.520.340.610.610.34
Net GEX109.1K60.1K190.6K130.6K60.1K
Net DEX-838.5K-1.4M-578.2K-740.0K-773.9K
Net VEX-2.8K-3.7K-2.4K-2.7K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.0012.400.000.00
Total Volume9.106711
Total OI295.75266434281434

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$64.87$62.0030.6%8.8%12.8%31.0%0.0%-4.9%5.8%130.6K-740.0K-2.7K0.00138.51N/AN/A102756
2023-12-04$64.31$66.0029.7%6.7%13.0%29.8%0.0%18.6%0.7%85.1K-653.3K-2.8K0.00144.38N/AN/A302766
2023-12-05$64.15$66.0025.6%5.9%13.0%24.0%0.0%-1.9%-0.3%108.6K-578.2K-2.5K0.00146.85N/AN/A002736
2023-12-06$64.19$66.0032.3%6.1%12.5%33.4%0.0%16.3%-1.2%113.0K-606.5K-2.6K0.00145.24N/AN/A002736
2023-12-07$64.57$65.0035.8%5.6%12.1%38.3%0.0%19.4%2.1%105.7K-593.6K-2.4K0.00144.20N/AN/A002736
2023-12-08$64.53$65.0038.3%5.7%12.1%41.8%0.0%19.5%-0.2%100.5K-708.5K-2.7K0.00144.87N/AN/A002736
2023-12-11$64.63$65.0052.5%5.9%12.0%61.7%0.0%20.3%-0.2%86.5K-779.0K-2.9K0.00145.99N/AN/A002766
2023-12-12$64.55$65.0058.4%5.8%12.0%69.9%0.0%19.9%-0.0%107.1K-715.4K-2.7K0.00145.66N/AN/A002766
2023-12-13$65.44$65.0020.6%5.9%9.7%17.0%12.5%2.7%1.0%86.8K-877.5K-2.8K0.50139.53N/AN/A212766
2023-12-14$66.06$64.0017.5%5.0%10.0%12.7%0.0%8.8%0.3%102.1K-966.1K-2.8K2.00142.88N/AN/A242787
2023-12-15$65.37$64.0022.3%6.4%10.8%19.4%0.0%20.1%-1.6%90.2K-912.6K-2.9K0.00144.84N/AN/A0027911
2023-12-18$64.69$64.0023.2%6.6%10.9%20.6%0.0%0.6%1.5%94.4K-649.5K-2.7K0.00144.22N/AN/A5025610
2023-12-19$65.28$64.0024.0%6.9%11.2%21.8%0.0%24.1%-0.0%113.4K-659.5K-2.5K0.00144.12N/AN/A0026110
2023-12-20$64.76$64.0024.9%7.1%11.4%23.1%0.0%26.4%-2.2%79.8K-766.1K-2.8K0.00143.00N/AN/A0026110
2023-12-21$65.47$64.0027.1%7.8%11.9%26.1%0.0%22.2%-9.4%124.9K-875.9K-2.7K0.00142.60N/AN/A10026110
2023-12-22$65.80$64.0021.3%6.1%11.7%18.0%9.4%12.4%-0.2%95.6K-947.8K-2.9K0.00134.99N/AN/A46027110
2023-12-26$66.18$64.0013.9%4.0%11.7%7.7%0.0%-9.6%5.1%190.6K-1.4M-2.6K0.00145.31N/AN/A0031710
2023-12-27$66.41$64.0013.2%3.8%11.7%6.7%0.0%16.3%-8.7%165.4K-1.3M-2.8K0.00145.18N/AN/A04031710
2023-12-28$66.44$64.008.9%2.6%11.6%0.7%11.4%-1.6%0.2%141.3K-1.3M-3.1K12.40130.94N/AN/A56231750
2023-12-29$66.50$67.008.9%2.6%11.6%0.7%0.0%-4.7%5.3%60.1K-773.9K-3.7K0.00138.75N/AN/A10322112