VRM Options History — October 2020

In October 2020, VRM traded between $3248.00 and $4107.20. ATM implied volatility averaged 87.8%. The 30-day expected move averaged 26.7%. IV traded above realized volatility by 24.4% (HV 20d: 63.3%). Max pain ranged from $3600.00 to $4000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.32.

Notable Days

  • 2020-10-19: Highest Volume — 212 contracts
  • 2020-10-12: Largest IV spike — 17.6% change
  • 2020-10-30: Largest Expected Move — 32.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3781.16$3248.00$4107.20$4084.80$3248.00
Max Pain$3945.45$3600.00$4000.00$4000.00$4000.00
ATM IV87.8%65.9%114.7%77.0%114.7%
Expected Move26.7%22.1%32.9%22.1%32.9%
HV 20d63.3%40.9%85.0%85.0%56.6%
HV 60d81.2%78.8%84.5%84.5%78.8%
Term Structure-5.2%-14.2%14.5%14.5%-14.2%
VWIV92.5%78.2%113.5%78.4%113.5%
Skew 25d3.3%-0.9%7.4%-0.9%3.2%
Skew 10d5.7%-8.8%15.3%-2.1%-3.0%
Call IV 25d91.6%77.6%113.3%79.1%113.3%
Put IV 25d94.9%78.2%116.5%78.2%116.5%
Bid-Ask Spread %24.3913.5538.4516.0626.86
Gamma HHI0.180.140.240.170.17
Net GEX627.0K165.2K1.2M1.0M361.7K
Net DEX-10.3M-25.4M3.5M-21.2M-1.5M
Net VEX-169.3K-216.0K-145.6K-169.7K-152.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.052.012.010.16
Total Volume52122122433
Total OI475.773275570438438

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$4084.80$4000.0077.0%22.1%85.0%0.0%78.4%-0.9%14.5%1.0M-21.2M-169.7K2.0116.06N/AN/A816319119
2020-10-02$4049.60$4000.0078.6%22.5%73.7%0.0%78.2%1.2%13.5%970.4K-18.9M-162.1K0.3035.94N/AN/A123322109
2020-10-05$4067.20$4000.0076.3%26.5%72.9%0.0%91.4%4.8%-6.4%1.1M-19.3M-157.2K0.0917.20N/AN/A232328111
2020-10-06$3944.00$4000.0075.7%26.1%72.9%0.0%91.8%3.2%-6.3%828.3K-12.1M-145.8K0.2817.17N/AN/A4613326110
2020-10-07$4107.20$4000.0071.7%25.9%74.7%0.0%93.0%2.9%-5.8%1.2M-21.7M-163.8K1.3221.50N/AN/A3749346120
2020-10-08$3995.20$4000.0071.1%26.1%75.0%0.0%89.7%3.2%-6.9%777.9K-12.3M-170.9K0.1917.70N/AN/A173363163
2020-10-09$3960.00$4000.0065.9%25.3%67.0%0.0%87.9%3.3%-4.9%672.3K-8.7M-164.2K0.1717.37N/AN/A153362163
2020-10-12$3800.00$4000.0077.4%25.9%68.4%0.0%90.0%0.7%-8.5%246.3K1.8M-145.6K0.1924.72N/AN/A347367164
2020-10-13$3793.60$3600.0081.6%26.0%67.3%0.0%90.2%3.1%-8.6%187.6K2.1M-149.9K0.1617.38N/AN/A213375169
2020-10-14$3936.00$3600.0090.1%25.8%67.6%0.0%88.8%3.8%-8.1%475.2K-6.8M-159.0K0.1017.72N/AN/A353383170
2020-10-15$3912.80$3600.0089.9%25.8%65.3%0.0%89.1%2.4%-4.2%381.5K-3.9M-155.9K0.5221.47N/AN/A1910389171
2020-10-16$3883.20$4000.0083.8%24.0%64.5%0.0%83.5%2.8%-0.3%165.2K3.5M-155.2K0.4130.71N/AN/A135398172
2020-10-19$3970.40$4000.0084.2%24.1%64.8%0.0%82.2%4.5%-3.7%212.6K-9.8M-156.8K0.0726.44N/AN/A19814159116
2020-10-20$4000.80$4000.0083.6%24.0%40.9%0.0%81.7%4.5%-2.2%961.5K-25.4M-216.0K0.1731.65N/AN/A264314125
2020-10-21$3607.20$4000.0090.0%25.8%54.1%0.0%88.3%3.9%-6.1%535.3K-8.6M-186.3K0.1330.67N/AN/A16922320129
2020-10-22$3612.00$4000.0093.9%26.9%50.6%0.0%92.0%6.6%-6.2%847.9K-16.4M-210.6K0.2731.11N/AN/A195391123
2020-10-23$3667.20$4000.0096.6%27.7%51.0%0.0%94.2%7.4%-7.1%929.1K-19.5M-215.5K0.1034.51N/AN/A111399124
2020-10-26$3404.80$4000.00106.5%30.5%55.3%0.0%107.0%3.1%-10.9%664.2K-10.7M-189.3K0.0722.62N/AN/A17913401124
2020-10-27$3467.20$4000.00105.9%30.4%54.7%0.0%106.5%3.4%-11.5%473.8K-7.9M-171.8K0.1713.55N/AN/A163299117
2020-10-28$3419.20$4000.00108.3%31.0%54.7%0.0%109.5%3.3%-11.0%501.4K-8.5M-173.7K0.0538.45N/AN/A201317117
2020-10-29$3255.20$4000.00108.0%31.0%56.5%0.0%108.7%1.6%-10.2%348.6K-958.3K-152.4K0.1125.89N/AN/A121318117
2020-10-30$3248.00$4000.00114.7%32.9%56.6%0.0%113.5%3.2%-14.2%361.7K-1.5M-152.2K0.1626.86N/AN/A285320118