VRM Options History — November 2020

In November 2020, VRM traded between $2671.20 and $3415.20. ATM implied volatility averaged 102.5%. The 30-day expected move averaged 27.4%. IV traded above realized volatility by 23.6% (HV 20d: 78.9%). Max pain ranged from $2800.00 to $3600.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.36.

Notable Days

  • 2020-11-12: Highest Volume — 399 contracts
  • 2020-11-11: Largest IV drop — 32.2% change
  • 2020-11-04: Largest Expected Move — 33.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3025.16$2671.20$3415.20$3108.80$2868.80
Max Pain$3120.00$2800.00$3600.00$3600.00$3200.00
ATM IV102.5%79.0%166.5%117.6%92.2%
Expected Move27.4%22.7%33.9%33.7%26.4%
HV 20d78.9%56.5%95.2%57.4%88.3%
HV 60d76.9%68.1%80.2%78.8%72.8%
Term Structure-8.3%-19.3%-2.1%-18.5%-8.1%
VWIV97.7%79.0%122.9%120.9%96.1%
Skew 25d0.0%-4.2%3.2%-0.1%-3.7%
Skew 10d0.7%-7.9%9.2%1.4%-4.8%
Call IV 25d98.0%80.0%120.1%120.1%98.1%
Put IV 25d98.0%81.6%121.4%120.0%94.4%
Bid-Ask Spread %26.6312.1446.0827.2926.82
Gamma HHI0.340.160.670.170.34
Net GEX143.1K-948.9K772.0K257.2K570.7K
Net DEX530.6K-20.2M31.1M3.3M-8.9M
Net VEX-150.4K-194.9K-109.3K-134.9K-171.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.061.420.230.21
Total Volume97.493992151
Total OI572.55440852442536

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$3108.80$3600.00117.6%33.7%57.4%0.0%120.9%-0.1%-18.5%257.2K3.3M-134.9K0.2327.29N/AN/A174322120
2020-11-03$3190.40$3600.00118.0%33.8%58.7%0.0%122.9%1.5%-17.9%309.7K770.6K-140.8K0.0646.08N/AN/A201322120
2020-11-04$3244.00$3600.00118.1%33.9%56.5%0.0%118.7%2.4%-19.3%318.3K392.3K-141.2K0.1839.33N/AN/A81319121
2020-11-05$3380.00$3200.00118.4%28.0%59.1%0.0%98.1%3.2%-7.4%417.3K-4.2M-149.6K0.3427.51N/AN/A135319122
2020-11-06$3415.20$3200.00120.5%27.5%59.5%0.0%96.3%2.4%-6.8%454.1K-5.5M-151.6K0.1522.11N/AN/A142322122
2020-11-09$3065.60$3200.00140.3%29.4%68.6%0.0%104.0%-1.0%-10.6%228.2K4.4M-121.8K0.2423.82N/AN/A5213328124
2020-11-10$3037.60$3200.00166.5%32.0%68.5%0.0%112.2%1.8%-13.5%265.1K2.7M-127.3K1.4215.78N/AN/A3143347130
2020-11-11$3263.20$3200.00112.9%32.4%72.7%0.0%114.1%1.1%-13.3%350.3K-5.4M-156.5K0.8918.38N/AN/A173153356164
2020-11-12$2810.40$3200.0082.1%23.5%88.0%0.0%84.9%-4.2%-2.1%-948.9K30.4M-121.0K1.2137.41N/AN/A181218422291
2020-11-13$2897.60$3200.0079.4%22.8%89.6%0.0%80.7%1.8%-2.2%-628.3K19.0M-130.3K0.4513.95N/AN/A5224431248
2020-11-16$2671.20$3200.0080.1%23.0%91.4%0.0%81.5%-0.2%-4.5%-832.5K31.1M-109.3K0.2419.99N/AN/A10425436255
2020-11-17$2834.40$2800.0079.0%22.7%95.2%0.0%79.0%1.6%-3.1%-717.0K15.0M-134.2K0.1530.80N/AN/A10616493256
2020-11-18$2872.00$2800.0084.2%24.1%90.1%0.0%88.1%-0.4%-6.1%-887.7K11.9M-137.3K0.1338.62N/AN/A8612485255
2020-11-19$2945.60$2800.0095.8%27.5%90.9%0.0%101.3%-3.0%-9.2%354.3K-4.9M-155.1K0.1431.07N/AN/A12918527255
2020-11-20$2892.80$2800.0092.9%26.6%90.5%0.0%94.9%0.4%-8.3%556.2K-8.5M-170.7K0.4131.40N/AN/A7631587265
2020-11-23$2976.00$2800.0091.7%26.3%88.4%0.0%94.3%-1.8%-6.1%643.7K-16.5M-183.6K0.1512.25N/AN/A609346141
2020-11-24$2981.60$2800.0089.6%25.7%88.0%0.0%90.8%-0.4%-3.9%694.8K-17.7M-188.5K0.1419.08N/AN/A11216359147
2020-11-25$3049.60$2800.0083.6%24.0%88.6%0.0%85.2%0.0%-2.4%772.0K-20.2M-194.9K0.3012.14N/AN/A3611376151
2020-11-27$2998.40$3200.0086.9%24.9%87.2%0.0%89.6%-0.9%-3.1%684.6K-16.6M-188.3K0.2038.77N/AN/A214375156
2020-11-30$2868.80$3200.0092.2%26.4%88.3%0.0%96.1%-3.7%-8.1%570.7K-8.9M-171.4K0.2126.82N/AN/A429377159