VRM Options History — February 2021

In February 2021, VRM traded between $3220.80 and $4044.80. ATM implied volatility averaged 85.1%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 25.1%. IV traded above realized volatility by 22.5% (HV 20d: 62.7%). Max pain ranged from $2800.00 to $3600.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.22.

Notable Days

  • 2021-02-05: Highest Volume — 312 contracts
  • 2021-02-10: Largest IV spike — 18.7% change
  • 2021-02-25: Highest IV Rank — 23.0%
  • 2021-02-04: Largest Expected Move — 28.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3709.56$3220.80$4044.80$3232.00$3548.00
Max Pain$3221.05$2800.00$3600.00$2800.00$3200.00
ATM IV85.1%73.8%92.9%84.8%88.2%
Expected Move25.1%23.6%28.7%24.3%25.3%
HV 20d62.7%52.5%72.0%53.3%71.1%
HV 60d59.9%53.7%67.2%67.1%58.0%
IV Rank18.8%7.9%23.0%16.5%22.2%
IV Percentile52.2%10.2%68.3%44.4%66.4%
Term Structure-3.8%-12.5%17.9%12.6%-11.5%
VWIV88.5%84.2%101.4%87.5%88.5%
Skew 25d-2.0%-8.5%1.9%-8.5%1.9%
Skew 10d-1.0%-12.4%3.8%-12.4%1.7%
Call IV 25d89.9%85.1%102.7%91.9%87.7%
Put IV 25d87.9%81.8%100.0%83.5%89.6%
Bid-Ask Spread %33.1314.7346.0040.6530.98
Gamma HHI0.240.150.480.270.16
Net GEX2.5M1.4M3.8M1.4M1.6M
Net DEX-120.6M-187.8M-58.2M-58.2M-77.0M
Net VEX-426.6K-480.3K-302.1K-302.1K-450.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.061.020.100.41
Total Volume106.5262231215224
Total OI807600975600785

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$3232.00$2800.0084.8%24.3%53.3%0.0%87.5%-8.5%12.6%1.4M-58.2M-302.1K0.1040.65N/AN/A13814480120
2021-02-02$3220.80$3200.0085.3%24.5%52.5%0.0%87.9%-7.2%16.9%1.4M-59.7M-312.9K0.0643.70N/AN/A27216495123
2021-02-03$3247.20$3200.0082.5%23.6%52.5%0.0%85.6%-5.9%17.9%1.6M-79.7M-392.5K0.1844.74N/AN/A438598131
2021-02-04$3412.80$3200.0092.9%28.7%55.3%0.0%101.4%-2.7%-3.7%1.7M-97.7M-415.7K0.0630.58N/AN/A15910607137
2021-02-05$3731.20$3200.0082.5%28.1%62.4%16.5%97.9%-4.8%-8.0%2.3M-133.8M-450.9K0.2033.51N/AN/A26052657140
2021-02-08$3968.80$3200.0076.2%25.5%64.3%10.2%90.2%-2.2%-5.1%3.6M-184.0M-472.6K0.1631.60N/AN/A14824781176
2021-02-09$4001.60$3200.0073.8%24.7%64.1%7.9%87.1%0.4%-5.3%3.8M-187.8M-480.3K0.3426.97N/AN/A14851794181
2021-02-10$3914.40$3200.0087.6%25.1%62.4%21.6%86.9%-1.4%-6.6%3.5M-163.4M-458.8K0.2128.63N/AN/A5812739153
2021-02-11$3880.80$3200.0084.0%24.1%62.7%18.0%85.7%-2.7%-4.6%3.6M-156.1M-451.5K0.1433.50N/AN/A588733155
2021-02-12$4040.00$3200.0083.1%23.8%62.9%17.2%84.2%-0.9%-4.0%3.7M-175.0M-446.9K0.0637.18N/AN/A896732159
2021-02-16$4044.80$3200.0086.9%24.9%60.0%20.9%86.0%0.7%-6.6%3.7M-168.0M-427.5K0.0825.54N/AN/A685709159
2021-02-17$3806.40$3200.0086.1%24.7%64.9%20.1%87.7%-2.0%-5.2%3.4M-130.4M-414.3K0.1821.84N/AN/A6712719161
2021-02-18$3903.20$3200.0085.8%24.6%65.0%19.8%86.0%-0.6%-6.7%3.8M-145.7M-435.5K0.1828.93N/AN/A193747163
2021-02-19$3946.40$3200.0085.7%24.6%65.0%19.7%85.6%1.5%-6.1%1.7M-143.0M-432.5K0.1014.73N/AN/A293739164
2021-02-22$3792.00$3200.0087.8%25.2%67.3%21.8%86.1%0.8%-10.0%1.6M-94.2M-410.2K1.0226.93N/AN/A4647544119
2021-02-23$3718.40$3600.0088.0%25.2%66.4%22.0%88.0%0.8%-11.4%1.6M-86.6M-451.1K0.2246.00N/AN/A388566151
2021-02-24$3675.20$3200.0087.7%25.1%66.7%21.7%87.4%-1.1%-11.8%1.7M-87.2M-467.3K0.3343.95N/AN/A176593159
2021-02-25$3397.60$3600.0089.0%25.5%72.0%23.0%91.0%-3.9%-12.5%1.4M-63.5M-432.0K0.1639.49N/AN/A508601163
2021-02-26$3548.00$3200.0088.2%25.3%71.1%22.2%88.5%1.9%-11.5%1.6M-77.0M-450.6K0.4130.98N/AN/A177622163