VYMI Options History — January 2024

In January 2024, VYMI traded between $64.32 and $66.54. ATM implied volatility averaged 11.8%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.7% (HV 20d: 11.1%). Max pain ranged from $65.00 to $67.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.16.

Notable Days

  • 2024-01-17: Highest Volume — 28 contracts
  • 2024-01-25: Largest IV drop — 47.2% change
  • 2024-01-24: Highest IV Rank — 17.2%
  • 2024-01-24: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.58$64.32$66.54$65.94$65.70
Max Pain$65.19$65.00$67.00$67.00$65.00
ATM IV11.8%6.8%19.4%9.3%8.8%
Expected Move3.5%2.5%5.5%2.7%2.5%
HV 20d11.1%10.1%12.2%11.6%10.1%
HV 60d12.4%11.5%13.0%13.0%11.5%
IV Rank6.4%0.0%17.2%1.3%2.7%
IV Percentile7.3%0.0%23.4%1.2%1.6%
Term Structure2.0%-7.2%7.5%0.2%7.5%
VWIV12.1%8.9%19.0%8.9%10.4%
Skew 25d7.0%-2.6%38.2%38.2%8.1%
Skew 10d5.4%-8.4%15.0%-2.5%15.0%
Call IV 25d11.1%6.7%17.6%7.5%12.4%
Put IV 25d18.2%11.5%45.7%45.7%20.5%
Bid-Ask Spread %137.18131.89141.29133.71135.92
Gamma HHI0.450.290.650.330.54
Net GEX125.3K37.7K191.6K83.1K191.6K
Net DEX-713.6K-1.0M-138.6K-842.0K-918.1K
Net VEX-2.7K-3.6K-1.9K-3.6K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.001.000.251.00
Total Volume2.76202850
Total OI410.524357447435365

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$65.94$67.009.3%2.7%11.6%1.3%8.9%38.2%0.2%83.1K-842.0K-3.6K0.25133.71N/AN/A41323112
2024-01-03$65.77$67.009.0%2.6%11.1%0.8%0.0%13.7%5.0%86.8K-684.5K-3.6K0.00137.08N/AN/A40325113
2024-01-04$66.02$65.009.6%2.9%11.1%1.7%0.0%5.5%6.4%83.7K-881.7K-3.5K0.00138.75N/AN/A20329113
2024-01-05$66.27$65.009.3%3.0%11.1%1.2%0.0%5.4%5.2%67.8K-979.4K-3.5K0.00134.85N/AN/A10331113
2024-01-08$66.54$65.006.8%4.5%11.0%0.0%13.4%2.1%-1.0%37.7K-1.0M-3.3K0.00135.34N/AN/A01332113
2024-01-09$65.78$65.008.1%2.7%11.9%1.7%0.0%6.4%5.6%91.8K-721.9K-3.2K0.00138.93N/AN/A00332113
2024-01-10$65.86$65.009.4%2.7%11.9%3.5%0.0%8.9%5.3%90.7K-752.1K-3.2K0.00140.95N/AN/A00332113
2024-01-11$65.78$65.008.9%2.6%11.9%2.9%0.0%6.0%5.4%110.2K-699.9K-3.1K0.00137.26N/AN/A10332113
2024-01-12$66.07$65.0011.4%3.3%11.0%6.4%0.0%1.8%0.1%79.9K-807.2K-3.0K0.00131.89N/AN/A00332113
2024-01-16$64.93$65.0016.0%4.6%12.2%12.6%9.8%6.7%-1.4%138.2K-354.1K-2.9K0.33135.85N/AN/A31332113
2024-01-17$64.32$65.0015.5%4.5%12.1%12.0%13.3%-2.6%2.7%121.1K-173.0K-2.7K0.00133.03N/AN/A280334113
2024-01-18$64.59$65.0015.8%4.5%11.7%12.3%0.0%1.4%-1.3%127.8K-138.6K-2.5K0.00141.29N/AN/A05310113
2024-01-19$64.91$65.0014.8%4.2%11.3%10.9%0.0%7.8%0.2%140.5K-204.4K-2.3K0.00135.26N/AN/A01310118
2024-01-22$64.94$65.0018.0%5.2%10.9%15.4%0.0%2.7%-7.2%110.4K-684.3K-2.5K0.00138.58N/AN/A1030750
2024-01-23$64.93$65.0017.8%5.1%10.2%15.1%19.0%7.1%-3.8%182.1K-581.7K-2.2K0.00138.40N/AN/A2030850
2024-01-24$65.50$65.0019.4%5.5%10.5%17.2%10.1%10.4%-4.2%171.9K-820.3K-2.3K1.00139.05N/AN/A1131050
2024-01-25$65.56$65.0010.2%2.9%10.3%4.7%0.0%1.6%2.8%184.4K-755.2K-2.2K0.00136.08N/AN/A0031251
2024-01-26$65.80$65.008.8%2.5%10.3%2.7%10.4%12.4%6.5%179.0K-958.1K-2.2K0.00140.99N/AN/A0131251
2024-01-29$66.03$65.0010.7%3.1%10.4%5.3%0.0%2.9%2.2%179.6K-980.2K-2.0K0.00137.48N/AN/A0031251
2024-01-30$66.03$65.0010.0%2.9%10.4%4.3%0.0%1.4%5.9%173.5K-1.0M-2.0K0.00140.16N/AN/A0031451
2024-01-31$65.70$65.008.8%2.5%10.1%2.7%0.0%8.1%7.5%191.6K-918.1K-1.9K0.00135.92N/AN/A0031451