In a cave on the mountain in the north of Vathi, you can see the abandoned monastery of Panagia Kyra Psili. According to a legend, the monastery was built by a Kalymnian who had emigrated and changed faith. When he returned to the island, he remembered his roots and believed in God again. Another legend says that a shepherd, looking for a goat that had disappeared, discovered the cave and also found the icon of the Virgin inside it. The shepherd tried many times to transfer the image to the village, but the picture always went back to the cave.
The locals made the cave into a church and took the icon to Vathi. Every year on August 15th, they take the icon back to the cave-church where an overnight celebration is held.