VYMI Options History — September 2024

In September 2024, VYMI traded between $70.64 and $74.07. ATM implied volatility averaged 17.0%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.4% (HV 20d: 13.6%). Max pain ranged from $72.00 to $74.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.52.

Notable Days

2024-09-24: Highest Volume — 6 contracts
2024-09-24: Largest IV spike — 89.5% change
2024-09-10: Highest IV Rank — 41.4%
2024-09-03: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.16	$70.64	$74.07	$71.42	$73.30
Max Pain	$72.80	$72.00	$74.00	$72.00	$72.00
ATM IV	17.0%	8.2%	28.7%	21.4%	18.0%
Expected Move	4.4%	2.3%	6.1%	6.1%	5.2%
HV 20d	13.6%	12.3%	15.8%	12.3%	15.8%
HV 60d	14.6%	14.0%	15.2%	14.7%	15.2%
IV Rank	20.0%	3.5%	41.4%	27.9%	22.4%
IV Percentile	45.2%	2.8%	84.9%	67.9%	57.9%
Term Structure	-2.6%	-10.2%	5.1%	-10.2%	-2.9%
VWIV	14.6%	7.2%	21.2%	21.2%	18.3%
Skew 25d	1.1%	-5.0%	7.9%	-3.4%	-5.0%
Skew 10d	5.1%	-1.0%	23.9%	9.5%	1.0%
Call IV 25d	14.9%	7.1%	24.7%	23.7%	19.3%
Put IV 25d	15.9%	10.0%	21.9%	20.3%	14.3%
Bid-Ask Spread %	157.14	149.09	164.55	155.77	150.18
Gamma HHI	0.41	0.32	0.54	0.33	0.51
Net GEX	39.9K	31.4K	48.6K	33.8K	47.3K
Net DEX	-350.0K	-531.1K	-236.2K	-287.6K	-482.2K
Net VEX	-1.6K	-1.7K	-1.5K	-1.7K	-1.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.00	1.50	0.00	0.50
Total Volume	1.5	0	6	0	3
Total OI	157.75	152	166	152	166

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2024-09-03	$71.42	$72.00	21.4%	6.1%	12.3%	27.9%	0.0%	-3.4%	-10.2%	33.8K	-287.6K	-1.7K	0.00	155.77	N/A	N/A	0	0	107	45
2024-09-04	$71.39	$72.00	21.2%	6.1%	12.3%	27.5%	0.0%	-2.7%	-8.4%	31.4K	-278.1K	-1.7K	0.00	158.46	N/A	N/A	0	0	107	45
2024-09-05	$71.71	$74.00	23.2%	4.3%	12.3%	31.2%	0.0%	0.8%	-2.5%	32.6K	-297.2K	-1.7K	0.00	161.83	N/A	N/A	1	0	107	45
2024-09-06	$70.64	$74.00	20.6%	4.1%	13.4%	26.3%	0.0%	0.1%	-6.2%	35.9K	-245.3K	-1.7K	0.00	156.62	N/A	N/A	0	2	108	45
2024-09-09	$71.28	$74.00	24.2%	4.5%	13.6%	33.1%	0.0%	3.9%	-2.6%	32.7K	-263.7K	-1.6K	0.00	162.24	N/A	N/A	0	0	108	47
2024-09-10	$70.67	$74.00	28.7%	4.6%	14.1%	41.4%	0.0%	0.2%	-6.2%	35.8K	-241.9K	-1.6K	0.00	164.55	N/A	N/A	0	0	108	47
2024-09-11	$70.83	$74.00	15.3%	4.4%	13.4%	16.5%	0.0%	0.3%	-4.5%	34.3K	-236.2K	-1.6K	0.00	159.75	N/A	N/A	0	0	108	47
2024-09-12	$71.50	$74.00	14.8%	4.2%	13.7%	16.2%	0.0%	4.4%	-1.8%	36.0K	-276.5K	-1.6K	0.00	161.68	N/A	N/A	0	1	108	47
2024-09-13	$71.81	$74.00	12.1%	3.5%	13.2%	11.0%	0.0%	7.9%	5.1%	38.7K	-297.9K	-1.6K	0.00	158.31	N/A	N/A	0	2	108	46
2024-09-16	$72.43	$74.00	18.5%	5.3%	13.4%	23.3%	21.2%	0.8%	-6.7%	47.5K	-345.9K	-1.5K	1.00	158.81	N/A	N/A	1	1	108	48
2024-09-17	$72.14	$72.00	9.3%	2.7%	12.8%	5.7%	0.0%	1.3%	2.7%	42.1K	-309.0K	-1.6K	0.00	157.20	N/A	N/A	0	0	109	49
2024-09-18	$72.16	$72.00	10.4%	3.0%	12.6%	7.7%	8.9%	1.3%	3.1%	39.4K	-324.0K	-1.6K	1.50	160.06	N/A	N/A	2	3	109	49
2024-09-19	$73.19	$72.00	15.7%	4.5%	13.5%	17.9%	11.4%	-3.5%	-2.0%	44.8K	-402.9K	-1.6K	1.00	153.09	N/A	N/A	1	1	111	52
2024-09-20	$72.17	$72.00	9.3%	2.7%	14.2%	5.6%	7.2%	7.4%	1.6%	38.4K	-348.2K	-1.7K	0.00	156.78	N/A	N/A	1	0	110	53
2024-09-23	$72.47	$72.00	8.2%	2.3%	12.8%	3.5%	18.1%	-1.8%	4.9%	48.6K	-399.3K	-1.6K	0.00	156.27	N/A	N/A	0	1	110	46
2024-09-24	$73.39	$72.00	15.5%	4.5%	13.6%	17.6%	0.0%	2.6%	-1.4%	44.7K	-472.6K	-1.6K	0.20	150.90	N/A	N/A	5	1	110	47
2024-09-25	$72.66	$72.00	15.7%	4.5%	14.0%	17.9%	0.0%	4.0%	-2.3%	46.8K	-437.2K	-1.7K	0.50	149.09	N/A	N/A	2	1	115	48
2024-09-26	$74.07	$72.00	21.3%	6.1%	15.5%	28.8%	0.0%	4.9%	-7.0%	43.7K	-531.1K	-1.6K	0.00	158.81	N/A	N/A	0	0	117	49
2024-09-27	$73.88	$72.00	16.2%	4.6%	15.5%	18.9%	16.7%	-2.3%	-4.0%	43.1K	-522.9K	-1.7K	0.00	152.31	N/A	N/A	1	0	117	49
2024-09-30	$73.30	$72.00	18.0%	5.2%	15.8%	22.4%	18.3%	-5.0%	-2.9%	47.3K	-482.2K	-1.7K	0.50	150.18	N/A	N/A	2	1	117	49