VRM Options History — December 2020

In December 2020, VRM traded between $2634.40 and $3536.80. ATM implied volatility averaged 84.2%. The 30-day expected move averaged 23.8%. IV traded above realized volatility by 18.3% (HV 20d: 65.8%). Max pain ranged from $3200.00 to $3200.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.23.

Notable Days

  • 2020-12-15: Highest Volume — 204 contracts
  • 2020-12-08: Largest IV drop — 7.2% change
  • 2020-12-02: Largest Expected Move — 25.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3069.24$2634.40$3536.80$2819.20$3292.00
Max Pain$3200.00$3200.00$3200.00$3200.00$3200.00
ATM IV84.2%73.2%95.4%89.6%73.2%
Expected Move23.8%21.0%25.7%25.7%21.0%
HV 20d65.8%52.1%89.7%87.4%54.8%
HV 60d70.2%67.4%72.8%72.6%69.0%
Term Structure-1.4%-6.8%5.4%-6.6%5.4%
VWIV85.2%73.0%94.2%93.2%73.0%
Skew 25d-5.1%-9.7%-1.4%-2.0%-4.6%
Skew 10d-8.4%-14.9%-1.4%-6.0%-5.7%
Call IV 25d87.6%76.7%95.1%94.5%76.7%
Put IV 25d82.5%70.7%92.5%92.5%72.1%
Bid-Ask Spread %28.0710.0655.6222.3210.67
Gamma HHI0.280.150.710.340.15
Net GEX861.9K294.8K2.6M514.9K515.5K
Net DEX-26.2M-82.5M2.6M-6.0M-22.0M
Net VEX-197.0K-234.4K-156.6K-168.7K-212.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.100.540.290.29
Total Volume77.091262042845
Total OI614.182488789543542

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$2819.20$3200.0089.6%25.7%87.4%0.0%93.2%-2.0%-6.6%514.9K-6.0M-168.7K0.2922.32N/AN/A226380163
2020-12-02$2697.60$3200.0089.7%25.7%87.6%0.0%94.2%-2.6%-4.6%382.2K-214.1K-157.1K0.2530.33N/AN/A359383166
2020-12-03$2667.20$3200.0090.7%24.5%87.1%0.0%87.9%-4.0%-2.3%346.6K1.8M-156.6K0.2445.99N/AN/A287396171
2020-12-04$2634.40$3200.0095.4%25.1%85.0%0.0%90.6%-6.1%-4.6%339.2K1.2M-160.1K0.5440.86N/AN/A4021408173
2020-12-07$2825.60$3200.0094.8%24.9%89.7%0.0%89.1%-5.2%-3.6%557.0K-7.9M-178.9K0.1247.02N/AN/A10812427184
2020-12-08$2734.40$3200.0088.0%24.4%82.4%0.0%88.3%-6.6%-0.9%493.2K-3.0M-170.7K0.1017.04N/AN/A585457186
2020-12-09$2654.40$3200.0086.0%24.6%82.8%0.0%88.7%-6.2%-2.2%294.8K2.6M-159.7K0.2527.42N/AN/A4311456187
2020-12-10$2701.60$3200.0086.0%24.7%78.1%0.0%88.6%-7.2%-2.0%838.4K-6.0M-172.8K0.3123.69N/AN/A5417510189
2020-12-11$2779.20$3200.0086.1%24.7%59.0%0.0%89.2%-9.7%-1.1%1.1M-14.9M-191.6K0.1530.05N/AN/A548528192
2020-12-14$2847.20$3200.0085.7%24.6%58.6%0.0%88.7%-6.1%-2.0%1.4M-21.4M-185.6K0.1020.14N/AN/A10711538189
2020-12-15$2968.00$3200.0087.1%25.0%52.1%0.0%90.4%-6.4%-1.8%1.7M-35.1M-199.2K0.1739.35N/AN/A17430554191
2020-12-16$3187.20$3200.0086.1%24.7%53.9%0.0%88.0%-4.1%1.5%2.6M-69.3M-220.7K0.1049.04N/AN/A17718596193
2020-12-17$3169.60$3200.0082.7%23.7%54.0%0.0%83.9%-9.4%4.5%2.5M-63.0M-209.7K0.3434.22N/AN/A6522580194
2020-12-18$3266.40$3200.0079.2%22.7%54.2%0.0%81.6%-4.4%2.4%538.0K-82.5M-211.0K0.1829.77N/AN/A13725571200
2020-12-21$3346.40$3200.0081.8%23.5%53.9%0.0%83.8%-4.4%-2.0%567.1K-28.9M-216.4K0.1610.06N/AN/A508349139
2020-12-22$3508.00$3200.0081.4%23.3%55.3%0.0%82.4%-6.1%1.7%735.7K-40.9M-234.4K0.1319.32N/AN/A669368140
2020-12-23$3499.20$3200.0079.7%22.8%55.4%0.0%80.4%-3.6%-1.4%732.4K-39.1M-233.0K0.2255.62N/AN/A5712367143
2020-12-24$3440.00$3200.0079.2%22.7%55.8%0.0%80.4%-2.3%-0.1%676.5K-35.1M-234.3K0.3027.62N/AN/A206380145
2020-12-28$3536.80$3200.0076.5%21.9%55.6%0.0%77.7%-1.4%0.5%757.3K-40.0M-226.0K0.3813.64N/AN/A2811381144
2020-12-29$3455.20$3200.0078.1%22.4%53.4%0.0%77.6%-2.9%-4.1%684.6K-33.3M-219.6K0.1110.61N/AN/A263377149
2020-12-30$3493.60$3200.0075.0%21.5%52.5%0.0%76.5%-6.2%-6.8%692.3K-33.9M-215.9K0.3912.64N/AN/A3714376150
2020-12-31$3292.00$3200.0073.2%21.0%54.8%0.0%73.0%-4.6%5.4%515.5K-22.0M-212.6K0.2910.67N/AN/A3510383159