VYMI Options History — July 2024

In July 2024, VYMI traded between $68.77 and $71.20. ATM implied volatility averaged 14.0%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.3% (HV 20d: 11.7%). Max pain ranged from $68.00 to $70.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.23.

Notable Days

  • 2024-07-02: Highest Volume — 37 contracts
  • 2024-07-10: Largest IV spike — 44.4% change
  • 2024-07-30: Highest IV Rank — 23.5%
  • 2024-07-30: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.11$68.77$71.20$68.77$70.77
Max Pain$68.73$68.00$70.00$68.00$70.00
ATM IV14.0%7.7%19.1%9.0%18.5%
Expected Move4.1%2.2%5.5%2.6%5.3%
HV 20d11.7%9.4%13.4%13.0%10.5%
HV 60d11.3%10.9%11.9%11.7%11.1%
IV Rank14.1%2.5%23.5%4.9%22.5%
IV Percentile29.9%1.6%59.1%5.2%56.3%
Term Structure-1.0%-3.8%4.9%-3.3%-2.7%
VWIV9.6%5.7%11.5%11.3%11.5%
Skew 25d5.0%-5.7%13.2%3.4%9.7%
Skew 10d7.9%-6.9%16.6%2.6%4.2%
Call IV 25d10.1%5.2%16.4%11.9%10.0%
Put IV 25d15.1%7.6%22.9%15.3%19.7%
Bid-Ask Spread %139.88133.48155.77151.93135.25
Gamma HHI0.460.330.630.440.63
Net GEX68.5K41.0K87.4K41.0K87.4K
Net DEX-491.6K-736.6K-266.9K-266.9K-607.7K
Net VEX-1.6K-1.7K-1.3K-1.6K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.0011.000.000.00
Total Volume403710
Total OI192.182169208169195

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-07-01$68.77$68.009.0%2.6%13.0%4.9%11.3%3.4%-3.3%41.0K-266.9K-1.6K0.00151.93N/AN/A1012841
2024-07-02$68.93$68.008.5%2.4%12.9%4.0%10.0%1.8%2.7%48.9K-287.9K-1.5K0.00154.14N/AN/A37012941
2024-07-03$69.65$68.008.8%2.5%13.3%4.5%0.0%2.4%4.5%56.0K-446.8K-1.6K0.00155.77N/AN/A0013941
2024-07-05$69.95$68.007.7%3.8%13.4%2.5%0.0%5.5%0.1%87.3K-532.5K-1.5K0.00137.13N/AN/A3013941
2024-07-08$69.73$68.008.8%2.2%13.3%4.5%0.0%7.3%4.9%84.4K-492.9K-1.5K0.17137.70N/AN/A6114341
2024-07-09$69.51$68.009.6%4.0%12.7%5.9%0.0%8.8%-1.8%58.3K-454.0K-1.6K0.00141.13N/AN/A0014942
2024-07-10$70.19$68.0013.8%4.0%13.2%13.8%0.0%9.3%-0.8%71.8K-565.9K-1.5K0.00141.11N/AN/A1014942
2024-07-11$70.64$68.0013.7%3.9%12.7%13.7%5.7%9.8%-2.8%69.2K-617.8K-1.5K11.00140.19N/AN/A11115042
2024-07-12$71.20$68.0014.0%4.0%12.8%14.1%0.0%9.7%-1.8%80.4K-736.6K-1.3K0.00135.53N/AN/A4015151
2024-07-15$70.68$68.0014.6%4.2%12.4%15.2%0.0%10.0%-2.0%67.3K-610.9K-1.6K0.00138.85N/AN/A1015551
2024-07-16$70.88$68.0014.2%4.1%12.0%14.5%0.0%10.4%-1.3%68.1K-633.5K-1.5K0.00137.51N/AN/A3015451
2024-07-17$70.98$68.0014.7%4.2%11.9%15.5%0.0%11.2%-3.8%68.2K-659.2K-1.5K0.00139.15N/AN/A0015751
2024-07-18$70.47$68.0016.3%4.7%12.2%18.4%0.0%9.3%-0.9%73.9K-612.0K-1.5K0.00135.66N/AN/A1015751
2024-07-19$70.03$68.0015.6%4.5%12.4%17.1%0.0%1.2%-0.1%78.1K-569.4K-1.5K0.00140.02N/AN/A1015651
2024-07-22$70.62$70.0015.8%4.5%9.9%17.5%0.0%-5.7%-0.8%56.1K-485.7K-1.6K5.00138.02N/AN/A21014337
2024-07-23$70.20$70.0016.5%4.7%9.6%18.7%0.0%-1.1%-1.4%56.4K-425.5K-1.7K1.00139.41N/AN/A1114547
2024-07-24$69.70$70.0016.2%4.6%10.0%18.2%0.0%-2.2%-1.2%80.1K-346.4K-1.7K0.00134.22N/AN/A0014648
2024-07-25$69.63$70.0016.6%4.8%9.4%18.9%0.0%-2.6%-1.6%81.8K-328.9K-1.7K0.00133.48N/AN/A1014648
2024-07-26$70.11$70.0017.1%4.9%9.7%19.9%0.0%1.6%-1.8%55.8K-402.5K-1.7K0.00137.79N/AN/A0014548
2024-07-29$69.84$70.0018.1%5.2%9.8%21.8%11.5%-1.9%-2.5%82.9K-361.4K-1.6K0.00134.05N/AN/A0114548
2024-07-30$69.94$70.0019.1%5.5%9.7%23.5%0.0%13.2%-2.7%52.9K-370.1K-1.6K0.00139.35N/AN/A0114549
2024-07-31$70.77$70.0018.5%5.3%10.5%22.5%0.0%9.7%-2.7%87.4K-607.7K-1.3K0.00135.25N/AN/A0014550