VRM Options History — August 2020 In August 2020, VRM traded between $4567.20 and $5551.20. ATM implied volatility averaged 90.0%. The 30-day expected move averaged 24.1%. IV traded below realized volatility by 3.5% (HV 20d: 93.5%). Max pain ranged from $4000.00 to $4800.00. Net GEX was positive for 18 of 18 trading days. Term structure was in contango for 13 of 18 days. Put/call ratio averaged 0.42.
Notable Days 2020-08-13 : Highest Volume — 209 contracts2020-08-12 : Largest IV drop — 24.5% change2020-08-12 : Largest Expected Move — 29.6%Monthly Statistics Metric Avg Min Max Open Close Price $5084.09 $4567.20 $5551.20 $5347.20 $5516.00 Max Pain $4533.33 $4000.00 $4800.00 $4000.00 $4800.00 ATM IV 90.0% 73.8% 136.7% 118.4% 76.3% Expected Move 24.1% 21.1% 29.6% 27.5% 21.9% HV 20d 93.5% 92.5% 95.2% 95.2% 92.8% Term Structure -0.2% -7.4% 4.0% -4.7% 3.8% VWIV 84.0% 74.1% 102.6% 95.3% 78.1% Skew 25d 5.7% 2.0% 11.2% 9.3% 6.8% Skew 10d 11.9% 6.7% 21.0% 19.0% 9.5% Call IV 25d 82.0% 72.4% 99.0% 91.7% 74.9% Put IV 25d 87.7% 75.9% 109.6% 101.1% 81.8% Bid-Ask Spread % 38.59 25.47 49.74 43.51 47.89 Gamma HHI 0.22 0.12 0.31 0.12 0.25 Net GEX 720.2K 188.4K 1.4M 250.3K 1.0M Net DEX -26.8M -39.3M -9.2M -20.6M -38.8M Net VEX -86.7K -128.9K -51.7K -51.7K -128.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.42 0.10 0.83 0.10 0.46 Total Volume 47.833 6 209 44 13 Total OI 236.389 100 374 100 257
Daily Data (18 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 2020-08-06 $5347.20 $4000.00 118.4% 27.5% 0.0% 0.0% 95.3% 9.3% -4.7% 250.3K -20.6M -51.7K 0.10 43.51 N/A N/A 40 4 66 34 2020-08-07 $5108.00 $4400.00 118.0% 28.0% 0.0% 0.0% 97.9% 8.7% -4.2% 262.5K -18.8M -55.7K 0.37 38.04 N/A N/A 47 17 69 35 2020-08-10 $5107.20 $4400.00 131.9% 28.6% 0.0% 0.0% 101.4% 9.2% -7.4% 397.6K -23.2M -66.4K 0.36 31.76 N/A N/A 7 2 98 50 2020-08-11 $5226.40 $4400.00 136.7% 29.2% 0.0% 0.0% 102.6% 9.5% -7.0% 436.2K -25.1M -66.3K 0.31 35.44 N/A N/A 13 4 100 51 2020-08-12 $5551.20 $4400.00 103.2% 29.6% 0.0% 0.0% 99.4% 11.2% -6.5% 513.7K -31.9M -65.1K 0.26 36.17 N/A N/A 104 27 103 53 2020-08-13 $4567.20 $4800.00 86.9% 24.9% 0.0% 0.0% 86.7% 3.7% 0.0% 188.4K -9.2M -69.0K 0.58 25.47 N/A N/A 132 77 161 76 2020-08-14 $4644.80 $4400.00 81.3% 23.3% 0.0% 0.0% 81.5% 4.9% 4.0% 658.8K -18.3M -92.4K 0.34 34.03 N/A N/A 42 15 217 95 2020-08-17 $4674.40 $4400.00 80.7% 23.1% 0.0% 0.0% 81.3% 4.5% 3.0% 736.0K -19.5M -83.4K 0.45 35.05 N/A N/A 16 7 220 96 2020-08-18 $4796.00 $4400.00 79.4% 22.8% 0.0% 0.0% 79.0% 3.8% 2.3% 1.0M -24.9M -82.4K 0.46 37.08 N/A N/A 16 8 221 98 2020-08-19 $4904.80 $4800.00 73.8% 21.1% 0.0% 0.0% 74.1% 2.0% 3.6% 1.4M -30.3M -76.7K 0.29 43.85 N/A N/A 86 25 220 99 2020-08-20 $4817.60 $4400.00 76.3% 21.9% 0.0% 0.0% 76.2% 4.2% 2.2% 1.3M -31.0M -98.1K 0.83 44.87 N/A N/A 13 11 263 111 2020-08-21 $4997.60 $4400.00 75.1% 21.5% 0.0% 0.0% 75.6% 4.0% 2.5% 646.6K -39.3M -96.6K 0.44 34.68 N/A N/A 21 9 258 107 2020-08-24 $5243.20 $4400.00 76.3% 21.9% 0.0% 0.0% 76.7% 3.7% 0.4% 761.9K -29.3M -98.3K 0.25 25.84 N/A N/A 18 4 152 49 2020-08-25 $5196.80 $4800.00 74.6% 21.4% 0.0% 0.0% 77.2% 4.5% 2.5% 794.2K -28.6M -97.7K 0.54 39.40 N/A N/A 11 6 156 50 2020-08-26 $5308.00 $4800.00 76.5% 21.9% 0.0% 0.0% 74.8% 4.4% 0.1% 870.9K -33.0M -105.3K 0.66 49.74 N/A N/A 29 19 162 53 2020-08-27 $5320.80 $4800.00 77.2% 22.1% 95.2% 0.0% 77.0% 4.4% 1.1% 889.3K -33.3M -114.2K 0.34 45.48 N/A N/A 9 3 174 63 2020-08-28 $5186.40 $4800.00 78.1% 22.4% 92.5% 0.0% 77.9% 3.8% 0.6% 813.9K -28.2M -112.9K 0.50 46.37 N/A N/A 4 2 174 64 2020-08-31 $5516.00 $4800.00 76.3% 21.9% 92.8% 0.0% 78.1% 6.8% 3.8% 1.0M -38.8M -128.9K 0.46 47.89 N/A N/A 9 4 181 76
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