VYMI Options History — August 2024

In August 2024, VYMI traded between $66.20 and $72.57. ATM implied volatility averaged 22.3%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 4.6% (HV 20d: 17.7%). Max pain ranged from $69.00 to $72.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.91.

Notable Days

  • 2024-08-23: Highest Volume — 57 contracts
  • 2024-08-05: Largest IV spike — 67.9% change
  • 2024-08-06: Highest IV Rank — 66.9%
  • 2024-08-06: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.97$66.20$72.57$69.02$72.38
Max Pain$70.18$69.00$72.00$70.00$72.00
ATM IV22.3%13.0%42.4%18.6%17.7%
Expected Move5.1%3.7%7.1%5.3%5.1%
HV 20d17.7%13.5%19.6%13.5%15.6%
HV 60d14.1%12.2%14.7%12.2%14.5%
IV Rank29.6%12.3%66.9%22.6%21.1%
IV Percentile61.0%25.0%97.6%56.7%53.2%
Term Structure-4.1%-8.6%9.7%-2.6%-5.5%
VWIV13.7%6.6%22.8%16.6%10.9%
Skew 25d2.4%-3.6%9.8%4.1%9.3%
Skew 10d4.8%-3.5%12.7%-3.0%-3.5%
Call IV 25d16.8%8.1%29.4%18.5%9.6%
Put IV 25d19.2%16.6%26.1%22.6%18.9%
Bid-Ask Spread %156.90133.45165.61133.45157.30
Gamma HHI0.370.260.480.460.38
Net GEX36.3K14.5K67.8K54.5K37.0K
Net DEX-213.2K-455.8K-6.6K-247.7K-350.8K
Net VEX-1.3K-1.8K-839-1.5K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.006.000.250.33
Total Volume4.72705750
Total OI169.77394221195152

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-08-01$69.02$70.0018.6%5.3%13.5%22.6%16.6%4.1%-2.6%54.5K-247.7K-1.5K0.25133.45N/AN/A4114550
2024-08-02$68.08$70.0021.1%6.1%14.2%27.3%0.0%0.8%-3.4%43.7K-156.9K-1.5K0.50137.95N/AN/A2114951
2024-08-05$66.20$69.0035.4%6.8%17.0%53.9%22.8%-3.6%-6.5%21.0K-6.6K-1.2K6.00152.89N/AN/A1614951
2024-08-06$66.57$69.0042.4%7.1%17.3%66.9%0.0%-3.3%-5.7%23.5K-66.3K-1.3K0.00154.50N/AN/A1015054
2024-08-07$66.92$69.0025.0%4.8%16.9%34.5%0.0%-0.7%-5.0%32.3K-6.7K-1.2K0.00156.26N/AN/A0015154
2024-08-08$67.82$69.0034.8%6.0%17.6%52.8%0.0%1.4%-4.3%33.1K-122.3K-1.3K0.00165.61N/AN/A0015154
2024-08-09$68.06$69.0025.6%5.1%17.3%35.6%0.0%0.3%-5.5%41.1K-99.6K-1.2K0.00160.39N/AN/A0215154
2024-08-12$68.16$69.0035.1%4.9%17.3%53.2%0.0%-0.3%-5.1%43.5K-105.8K-1.1K0.00162.82N/AN/A01015155
2024-08-13$69.13$69.0035.4%4.5%18.1%53.8%0.0%-0.1%-3.2%51.7K-211.3K-1.2K0.00159.57N/AN/A0115165
2024-08-14$69.32$69.0016.8%4.8%18.1%19.3%0.0%2.8%-5.1%54.3K-244.8K-1.1K0.00163.56N/AN/A0115166
2024-08-15$70.11$69.0013.0%3.7%18.5%12.3%0.0%5.5%9.7%67.8K-368.9K-1.1K0.00161.85N/AN/A3015167
2024-08-16$70.54$69.0016.5%4.7%18.5%18.8%0.0%3.5%-2.9%64.6K-455.8K-9530.00161.23N/AN/A0015467
2024-08-19$71.46$69.0015.8%4.5%18.8%17.5%0.0%2.9%-3.8%17.8K-179.5K-8442.00159.29N/AN/A125440
2024-08-20$71.17$69.0017.3%5.0%18.8%20.3%6.6%-0.9%-3.5%20.2K-165.3K-8920.00153.14N/AN/A025542
2024-08-21$71.52$72.0017.0%4.9%18.6%19.6%0.0%2.9%-6.1%16.9K-172.2K-8720.00160.59N/AN/A005544
2024-08-22$71.03$72.0016.6%4.8%18.8%19.0%0.0%-1.2%-3.9%14.5K-144.8K-9330.00160.54N/AN/A405544
2024-08-23$72.31$72.0015.6%4.5%19.6%17.0%0.0%6.7%-3.7%19.9K-215.1K-8390.00155.24N/AN/A5705944
2024-08-26$72.30$72.0017.5%5.0%19.5%20.6%11.4%9.8%-5.3%33.8K-327.8K-1.7K0.00159.42N/AN/A1010344
2024-08-27$72.57$72.0018.8%5.4%19.6%23.1%10.9%9.0%-8.6%36.1K-357.6K-1.7K0.33159.01N/AN/A3110444
2024-08-28$72.24$72.0017.3%5.0%19.3%20.3%0.0%-0.3%-4.8%34.1K-339.0K-1.8K0.00158.24N/AN/A0010745
2024-08-29$72.44$72.0018.2%5.2%16.7%22.0%0.0%3.9%-6.3%37.4K-344.6K-1.7K0.00158.91N/AN/A0010745
2024-08-30$72.38$72.0017.7%5.1%15.6%21.1%0.0%9.3%-5.5%37.0K-350.8K-1.7K0.00157.30N/AN/A0010745