VYMI Options History — May 2024

In May 2024, VYMI traded between $67.98 and $71.70. ATM implied volatility averaged 15.7%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 5.7% (HV 20d: 10.0%). Max pain ranged from $64.00 to $71.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.04.

Notable Days

  • 2024-05-16: Highest Volume — 15 contracts
  • 2024-05-02: Largest IV spike — 91.0% change
  • 2024-05-14: Highest IV Rank — 28.5%
  • 2024-05-03: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.36$67.98$71.70$67.98$70.73
Max Pain$69.50$64.00$71.00$64.00$71.00
ATM IV15.7%9.7%24.1%9.7%12.5%
Expected Move4.2%2.8%5.6%2.8%3.6%
HV 20d10.0%7.7%12.7%11.9%9.7%
HV 60d9.9%9.5%10.4%10.2%10.1%
IV Rank14.9%5.4%28.5%5.4%9.8%
IV Percentile29.2%9.9%61.9%9.9%18.7%
Term Structure-1.7%-5.9%5.7%3.5%-1.1%
VWIV12.9%8.6%16.7%11.5%16.7%
Skew 25d1.5%-7.0%7.7%-7.0%-2.7%
Skew 10d2.2%-4.2%12.3%12.3%8.9%
Call IV 25d14.3%8.2%19.1%15.4%19.1%
Put IV 25d15.7%8.5%18.4%8.5%16.4%
Bid-Ask Spread %152.99130.52163.17131.89149.64
Gamma HHI0.360.250.450.250.43
Net GEX128.2K76.4K192.9K146.2K77.1K
Net DEX-1.7M-2.3M-1.2M-1.3M-1.3M
Net VEX-3.0K-3.8K-2.2K-3.7K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.040.000.330.000.00
Total Volume4.18201520
Total OI344.5272405373274

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-05-01$67.98$64.009.7%2.8%11.9%5.4%11.5%-7.0%3.5%146.2K-1.3M-3.7K0.00131.89N/AN/A203649
2024-05-02$68.73$64.0018.6%5.3%12.5%19.6%8.6%-1.6%-3.6%159.0K-1.4M-3.5K0.00130.52N/AN/A1003669
2024-05-03$69.15$64.0019.4%5.6%12.7%20.9%0.0%2.3%-4.4%161.6K-1.6M-3.8K0.00131.63N/AN/A003769
2024-05-06$69.57$70.0016.8%4.4%12.6%16.7%0.0%1.5%-2.5%162.8K-1.7M-3.6K0.00163.17N/AN/A803769
2024-05-07$69.70$70.0017.1%4.3%12.6%17.3%0.0%2.6%-3.4%160.0K-1.8M-3.5K0.00162.32N/AN/A603839
2024-05-08$69.69$70.0017.7%4.3%11.5%18.2%0.0%0.5%-2.7%175.8K-1.7M-3.5K0.00162.12N/AN/A103889
2024-05-09$70.16$70.0018.1%4.2%11.7%18.9%0.0%0.9%-2.7%160.4K-1.9M-3.4K0.00159.93N/AN/A003879
2024-05-10$70.50$70.0012.8%4.7%9.9%10.3%0.0%0.5%-5.4%168.2K-1.9M-3.3K0.00159.80N/AN/A203879
2024-05-13$70.60$70.0020.9%4.4%9.6%23.3%0.0%0.4%-3.1%163.6K-2.0M-3.2K0.00158.83N/AN/A403879
2024-05-14$70.88$70.0024.1%4.4%7.8%28.5%0.0%3.6%-3.5%192.9K-2.1M-3.1K0.00159.51N/AN/A803909
2024-05-15$71.41$70.0015.0%4.3%7.9%13.8%0.0%6.3%-3.4%149.1K-2.3M-2.2K0.00157.08N/AN/A703949
2024-05-16$71.27$70.0016.3%4.7%8.1%16.0%0.0%1.5%1.8%146.7K-2.2M-2.7K0.00158.31N/AN/A1503949
2024-05-17$71.70$70.0013.9%4.0%8.2%12.1%0.0%0.8%-5.9%136.5K-2.3M-2.5K0.00156.56N/AN/A503969
2024-05-20$71.59$70.0014.5%4.2%7.8%13.1%0.0%4.7%-1.1%76.4K-1.5M-2.5K0.00153.49N/AN/A702702
2024-05-21$71.52$70.0016.4%4.7%7.7%16.1%13.5%5.7%-1.5%78.2K-1.5M-2.7K0.33153.64N/AN/A312752
2024-05-22$70.84$71.0010.8%3.1%8.6%7.2%14.3%4.1%5.7%78.7K-1.4M-3.0K0.00152.88N/AN/A032733
2024-05-23$70.22$71.0016.3%4.7%9.4%16.0%16.7%-2.5%-4.1%89.6K-1.3M-3.0K0.29149.43N/AN/A722736
2024-05-24$70.72$71.0011.1%3.2%9.5%7.5%0.0%2.5%5.4%77.2K-1.3M-2.9K0.00154.06N/AN/A002668
2024-05-28$70.84$71.0011.8%3.4%9.4%8.7%0.0%4.0%5.3%76.6K-1.4M-2.7K0.00152.16N/AN/A002668
2024-05-29$69.87$71.0014.9%4.3%10.0%13.7%0.0%-3.3%-4.8%94.2K-1.2M-2.8K0.00154.59N/AN/A102668
2024-05-30$70.31$71.0016.2%4.6%10.2%15.7%0.0%7.7%-5.6%89.5K-1.3M-2.7K0.00154.14N/AN/A002668
2024-05-31$70.73$71.0012.5%3.6%9.7%9.8%0.0%-2.7%-1.1%77.1K-1.3M-2.7K0.00149.64N/AN/A002668