VRM Options History — January 2021

In January 2021, VRM traded between $2880.00 and $3345.60. ATM implied volatility averaged 77.3%. The 30-day expected move averaged 21.4%. IV traded above realized volatility by 30.6% (HV 20d: 46.8%). Max pain ranged from $3200.00 to $3200.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.15.

Notable Days

  • 2021-01-25: Highest Volume — 132 contracts
  • 2021-01-11: Largest IV spike — 15.8% change
  • 2021-01-28: Largest Expected Move — 26.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3080.08$2880.00$3345.60$3205.60$2944.80
Max Pain$3200.00$3200.00$3200.00$3200.00$3200.00
ATM IV77.3%67.6%93.2%80.2%91.9%
Expected Move21.4%19.4%26.7%20.8%26.4%
HV 20d46.8%36.9%55.9%55.9%44.4%
HV 60d66.8%63.9%68.7%68.6%64.5%
Term Structure7.3%3.6%11.5%8.2%4.7%
VWIV76.8%69.7%96.5%73.9%94.2%
Skew 25d-4.2%-10.4%-1.1%-1.6%-3.3%
Skew 10d-8.6%-18.5%0.0%-9.6%-6.8%
Call IV 25d78.2%71.2%99.6%75.1%95.3%
Put IV 25d74.1%66.5%92.0%73.6%92.0%
Bid-Ask Spread %40.4926.5252.5552.5538.65
Gamma HHI0.210.140.280.150.26
Net GEX656.7K311.1K1.1M429.5K1.0M
Net DEX-22.0M-42.8M-5.4M-16.4M-38.3M
Net VEX-215.4K-280.2K-177.4K-195.7K-280.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.030.350.300.18
Total Volume51.263181323340
Total OI536349620538600

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$3205.60$3200.0080.2%20.8%55.9%0.0%73.9%-1.6%8.2%429.5K-16.4M-195.7K0.3052.55N/AN/A258379159
2021-01-05$3230.40$3200.0079.8%21.3%55.3%0.0%74.2%-1.7%6.5%418.7K-17.1M-195.1K0.3552.17N/AN/A166374160
2021-01-06$3231.20$3200.0079.6%20.9%50.6%0.0%75.4%-4.5%5.2%444.6K-16.8M-193.4K0.0351.72N/AN/A331379162
2021-01-07$3345.60$3200.0074.6%20.2%49.3%0.0%71.6%-3.8%6.8%709.9K-26.4M-201.6K0.1737.57N/AN/A203398162
2021-01-08$3260.00$3200.0069.7%19.8%48.9%0.0%70.3%-3.8%8.8%661.8K-21.4M-199.1K0.1536.45N/AN/A416407162
2021-01-11$3240.00$3200.0080.8%19.7%49.2%0.0%70.9%-3.3%6.9%675.9K-21.1M-198.3K0.1441.64N/AN/A426421164
2021-01-12$3112.00$3200.0081.7%20.2%51.6%0.0%71.0%-4.0%7.1%543.5K-12.6M-192.1K0.2539.83N/AN/A338429168
2021-01-13$3113.60$3200.0070.4%20.2%51.2%0.0%69.7%-4.8%6.0%690.0K-13.2M-196.1K0.2941.29N/AN/A144441168
2021-01-14$3076.80$3200.0071.7%20.6%49.5%0.0%72.0%-5.7%7.8%645.4K-9.2M-188.4K0.1139.00N/AN/A384444168
2021-01-15$2958.40$3200.0069.5%19.9%44.2%0.0%71.3%-1.5%8.6%311.1K-5.4M-181.8K0.1946.30N/AN/A5010456164
2021-01-19$2904.80$3200.0067.6%19.4%44.5%0.0%70.1%-2.8%11.5%316.3K-10.9M-177.4K0.0732.43N/AN/A62425198
2021-01-20$2933.60$3200.0068.9%19.7%43.0%0.0%71.8%-3.7%9.2%427.9K-14.7M-190.5K0.1137.11N/AN/A58728099
2021-01-21$2960.00$3200.0070.2%20.1%41.9%0.0%73.9%-1.1%9.1%538.2K-19.1M-207.5K0.0926.52N/AN/A505310104
2021-01-22$2933.60$3200.0069.6%19.9%36.9%0.0%77.0%-7.3%10.1%621.0K-22.3M-219.5K0.0433.53N/AN/A693344108
2021-01-25$3098.40$3200.0080.4%23.0%43.2%0.0%80.5%-3.9%6.4%958.1K-36.6M-252.0K0.0335.53N/AN/A1284396109
2021-01-26$3100.80$3200.0080.7%23.1%43.1%0.0%81.8%-3.8%6.2%1.1M-42.8M-278.8K0.1141.57N/AN/A587447111
2021-01-27$2992.00$3200.0088.9%25.5%42.5%0.0%92.2%-8.2%5.5%1.0M-38.7M-276.9K0.0742.49N/AN/A635459114
2021-01-28$2880.00$3200.0093.2%26.7%43.6%0.0%96.5%-10.4%3.6%923.7K-34.5M-268.6K0.1642.91N/AN/A376473116
2021-01-29$2944.80$3200.0091.9%26.4%44.4%0.0%94.2%-3.3%4.7%1.0M-38.3M-280.2K0.1838.65N/AN/A346481119