VYMI Options History — October 2024

In October 2024, VYMI traded between $70.67 and $73.37. ATM implied volatility averaged 15.9%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.5% (HV 20d: 13.4%). Max pain ranged from $70.00 to $72.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.14.

Notable Days

  • 2024-10-07: Highest Volume — 18 contracts
  • 2024-10-28: Largest IV spike — 56.2% change
  • 2024-10-07: Highest IV Rank — 29.9%
  • 2024-10-02: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.14$70.67$73.37$73.15$70.67
Max Pain$70.17$70.00$72.00$72.00$70.00
ATM IV15.9%12.1%21.9%18.6%13.9%
Expected Move4.4%3.5%5.6%5.3%4.0%
HV 20d13.4%10.4%15.6%15.0%10.4%
HV 60d15.0%13.1%15.6%15.2%13.1%
IV Rank18.2%11.1%29.9%23.5%14.5%
IV Percentile44.2%24.2%74.6%63.1%31.3%
Term Structure-1.8%-7.2%2.3%-3.0%0.1%
VWIV13.8%10.0%21.6%15.1%11.0%
Skew 25d-3.4%-6.7%1.2%-2.8%-1.5%
Skew 10d5.7%-3.7%16.0%1.5%13.3%
Call IV 25d15.3%9.7%21.6%19.4%21.6%
Put IV 25d11.9%9.3%20.1%16.6%20.1%
Bid-Ask Spread %143.78139.09151.78149.80146.73
Gamma HHI0.410.310.520.490.31
Net GEX52.0K43.8K68.3K44.6K45.7K
Net DEX-380.0K-473.8K-233.2K-453.0K-233.2K
Net VEX-1.6K-1.7K-1.3K-1.7K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.001.000.060.00
Total Volume1.8701802
Total OI176.783167186167179

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-10-01$73.15$72.0018.6%5.3%15.0%23.5%0.0%-2.8%-3.0%44.6K-453.0K-1.7K0.00149.80N/AN/A0011750
2024-10-02$73.37$72.0019.5%5.6%15.0%25.3%0.0%-4.7%-3.9%45.2K-473.8K-1.7K0.00151.78N/AN/A0011750
2024-10-03$72.53$70.0020.1%4.4%15.6%26.4%0.0%-5.8%-1.4%43.8K-408.9K-1.7K0.00141.13N/AN/A0111750
2024-10-04$73.16$70.0019.0%4.4%14.7%24.2%0.0%-3.6%-0.5%45.6K-450.0K-1.6K0.00139.09N/AN/A0011751
2024-10-07$73.11$70.0021.9%4.5%14.5%29.9%15.1%-5.0%0.0%45.6K-467.5K-1.6K0.06140.70N/AN/A17111751
2024-10-08$72.23$70.0012.5%4.7%14.8%11.8%12.1%-5.5%-5.4%50.6K-366.8K-1.6K0.00140.53N/AN/A2012452
2024-10-09$72.17$70.0015.5%4.4%14.8%17.5%0.0%-0.9%-1.2%50.4K-365.3K-1.6K0.20140.49N/AN/A5112652
2024-10-10$72.25$70.0016.2%4.7%14.5%18.9%0.0%-6.0%-2.8%53.2K-387.3K-1.7K0.00143.16N/AN/A0013153
2024-10-11$72.65$70.0015.1%4.3%14.5%16.7%0.0%-6.4%-1.8%56.0K-436.0K-1.7K0.00143.64N/AN/A0113153
2024-10-14$72.68$70.0015.9%4.6%14.2%18.4%12.1%-6.1%-4.0%59.1K-457.3K-1.7K0.00141.23N/AN/A1013152
2024-10-15$71.88$70.0015.8%4.5%14.7%18.1%13.3%-1.1%-4.3%53.9K-366.2K-1.7K0.00144.82N/AN/A3013252
2024-10-16$72.39$70.0013.8%4.0%14.9%14.2%11.2%-5.3%-4.6%57.7K-425.0K-1.7K0.00144.88N/AN/A2013152
2024-10-17$72.25$70.0016.3%4.7%14.0%19.0%10.0%-6.7%-7.2%54.7K-403.3K-1.7K0.00142.08N/AN/A0113352
2024-10-18$72.75$70.0015.9%4.6%13.3%18.4%0.0%-1.2%-1.1%68.3K-473.4K-1.6K0.00142.35N/AN/A0013353
2024-10-21$71.94$70.0016.8%4.8%13.8%19.9%14.4%-3.9%-2.3%57.1K-380.2K-1.6K1.00142.50N/AN/A1112250
2024-10-22$71.86$70.0017.4%5.0%13.0%21.3%0.0%-2.4%-2.0%53.3K-364.0K-1.6K0.00145.28N/AN/A0012351
2024-10-23$71.28$70.0012.2%3.5%12.8%11.2%21.6%-1.1%1.4%48.3K-303.2K-1.5K0.00145.45N/AN/A0112351
2024-10-24$71.47$70.0012.3%3.5%10.5%11.4%17.9%1.2%0.4%49.4K-317.2K-1.5K0.00144.71N/AN/A0112352
2024-10-25$71.26$70.0012.1%3.5%10.5%11.1%0.0%1.2%1.4%50.0K-297.0K-1.5K0.00145.24N/AN/A0012453
2024-10-28$71.86$70.0019.0%5.4%10.8%24.2%12.6%-0.5%-2.7%55.5K-345.1K-1.5K0.00141.26N/AN/A2012453
2024-10-29$71.33$70.0012.4%3.6%11.1%11.6%0.0%-4.6%2.3%56.8K-295.2K-1.4K0.00145.14N/AN/A0012653
2024-10-30$71.04$70.0012.6%3.6%11.0%12.0%0.0%-5.2%1.6%51.0K-271.9K-1.4K0.00144.91N/AN/A0012653
2024-10-31$70.67$70.0013.9%4.0%10.4%14.5%11.0%-1.5%0.1%45.7K-233.2K-1.3K0.00146.73N/AN/A2012653