VRM Options History — September 2020

In September 2020, VRM traded between $3694.40 and $5919.20. ATM implied volatility averaged 87.5%. The 30-day expected move averaged 25.1%. IV traded below realized volatility by 3.3% (HV 20d: 90.7%). Max pain ranged from $4000.00 to $4800.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2020-09-09: Highest Volume — 140 contracts
  • 2020-09-03: Largest IV spike — 21.6% change
  • 2020-09-08: Largest Expected Move — 28.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4328.76$3694.40$5919.20$5919.20$4105.60
Max Pain$4228.57$4000.00$4800.00$4800.00$4000.00
ATM IV87.5%77.9%106.4%80.4%77.9%
Expected Move25.1%22.3%28.8%23.1%22.3%
HV 20d90.7%78.3%103.1%93.7%86.6%
Term Structure5.7%-4.2%13.9%4.7%13.9%
VWIV87.4%77.0%98.9%82.2%78.0%
Skew 25d2.9%-4.8%7.8%1.9%1.0%
Skew 10d5.9%-6.6%15.5%4.2%3.1%
Call IV 25d86.8%75.7%98.1%81.5%77.2%
Put IV 25d89.7%78.2%104.2%83.4%78.2%
Bid-Ask Spread %42.7222.6164.0147.8835.50
Gamma HHI0.200.130.430.270.17
Net GEX563.8K-547.6K1.2M1.2M1.0M
Net DEX-10.0M-55.0M27.5M-55.0M-21.9M
Net VEX-148.7K-199.6K-109.9K-132.2K-168.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.022.100.420.58
Total Volume58.571181404424
Total OI418.286256673256432

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$5919.20$4800.0080.4%23.1%93.7%0.0%82.2%1.9%4.7%1.2M-55.0M-132.2K0.4247.88N/AN/A311318175
2020-09-02$5553.60$4800.0078.0%22.4%94.5%0.0%77.0%4.2%7.3%1.0M-39.9M-129.3K0.1564.01N/AN/A861318479
2020-09-03$4882.40$4400.0094.8%27.6%103.0%0.0%95.7%7.8%-3.4%777.2K-19.6M-134.8K0.4829.52N/AN/A261223086
2020-09-04$4688.80$4400.0090.8%28.3%102.7%0.0%96.7%5.2%-2.6%611.2K-11.8M-124.5K1.2432.84N/AN/A81023290
2020-09-08$4550.40$4400.00106.4%28.8%103.1%0.0%98.9%6.5%-4.2%435.5K-5.4M-115.7K0.5326.33N/AN/A17923498
2020-09-09$4593.60$4400.0092.8%26.6%102.7%0.0%91.7%4.6%0.9%323.6K-2.3M-109.9K0.1737.90N/AN/A11921240102
2020-09-10$4516.80$4400.0087.1%25.0%99.7%0.0%85.0%3.8%4.5%284.4K-3.9M-137.8K0.5439.78N/AN/A3217300110
2020-09-11$4100.00$4400.0087.2%25.0%79.6%0.0%88.1%3.5%5.5%-168.3K14.1M-124.3K0.6749.33N/AN/A4027313125
2020-09-14$4060.00$4400.0086.1%24.7%79.2%0.0%86.4%3.8%6.2%-336.2K17.0M-126.7K0.4344.64N/AN/A4519329143
2020-09-15$4178.40$4400.0089.7%25.7%80.1%0.0%87.9%0.5%4.3%-182.6K10.2M-141.6K0.4953.53N/AN/A2312357150
2020-09-16$4016.00$4000.0089.6%25.7%80.0%0.0%89.8%6.6%3.8%-547.6K18.1M-135.8K1.0655.63N/AN/A1617363159
2020-09-17$3826.40$4000.0092.5%26.5%80.3%0.0%93.2%2.4%5.6%287.8K27.5M-133.6K0.2547.47N/AN/A9223369168
2020-09-18$3724.80$4000.0086.1%24.7%80.4%0.0%86.3%-4.8%10.8%741.8K16.8M-167.3K2.1059.34N/AN/A1940498175
2020-09-21$3694.40$4000.0096.9%27.8%78.3%0.0%97.9%-0.1%0.9%451.4K-7.6M-156.2K0.0256.31N/AN/A992274105
2020-09-22$4243.20$4000.0087.5%25.1%93.2%0.0%87.8%1.9%10.7%1.1M-35.4M-199.6K0.1431.89N/AN/A10715309106
2020-09-23$4156.80$4000.0088.4%25.3%93.2%0.0%87.9%1.9%6.6%1.1M-31.5M-197.7K0.1322.61N/AN/A233327113
2020-09-24$3921.60$4000.0083.3%23.9%93.9%0.0%83.4%3.8%10.0%858.3K-18.1M-174.7K0.0739.13N/AN/A645327113
2020-09-25$3947.20$4000.0079.8%22.9%94.0%0.0%79.5%1.7%12.1%780.0K-15.9M-170.0K0.0746.25N/AN/A312314114
2020-09-28$4060.00$4000.0080.5%23.1%95.1%0.0%81.2%2.2%12.4%943.5K-20.3M-170.4K0.1037.92N/AN/A354317114
2020-09-29$4164.80$4000.0080.8%23.2%92.2%0.0%81.0%3.2%10.9%1.1M-24.9M-173.5K0.3139.27N/AN/A227314115
2020-09-30$4105.60$4000.0077.9%22.3%86.6%0.0%78.0%1.0%13.9%1.0M-21.9M-168.1K0.5835.50N/AN/A159317115