VRM Options History — March 2021

In March 2021, VRM traded between $2480.80 and $3864.00. ATM implied volatility averaged 75.3%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded below realized volatility by 55.6% (HV 20d: 130.9%). Max pain ranged from $3200.00 to $3200.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.39.

Notable Days

  • 2021-03-04: Highest Volume — 394 contracts
  • 2021-03-04: Largest IV drop — 13.6% change
  • 2021-03-03: Highest IV Rank — 45.8%
  • 2021-03-03: Largest Expected Move — 32.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2985.22$2480.80$3864.00$3742.40$3116.00
Max Pain$3200.00$3200.00$3200.00$3200.00$3200.00
ATM IV75.3%58.8%111.9%96.5%58.8%
Expected Move21.3%16.9%32.1%27.7%16.9%
HV 20d130.9%66.6%143.8%72.7%133.9%
HV 60d88.7%58.1%94.5%58.7%92.3%
IV Rank11.0%0.0%45.8%30.5%0.0%
IV Percentile23.1%0.0%90.9%85.1%0.0%
Term Structure4.9%-26.5%15.7%-17.6%10.3%
VWIV76.8%60.7%110.6%97.4%60.7%
Skew 25d1.0%-2.8%13.8%5.6%0.7%
Skew 10d2.2%-5.6%24.1%13.1%3.8%
Call IV 25d76.5%60.4%104.8%94.7%60.4%
Put IV 25d77.5%61.1%118.4%100.3%61.1%
Bid-Ask Spread %33.3610.2959.7835.1210.29
Gamma HHI0.160.120.200.150.20
Net GEX968.3K233.6K2.1M1.9M1.2M
Net DEX-28.1M-110.9M17.8M-95.7M-41.9M
Net VEX-419.3K-543.9K-337.9K-468.4K-410.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.051.730.820.05
Total Volume86.2171039421566
Total OI1,090.2617921,322792943

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$3742.40$3200.0096.5%27.7%72.7%30.5%97.4%5.6%-17.6%1.9M-95.7M-468.4K0.8235.12N/AN/A11897627165
2021-03-02$3864.00$3200.0099.7%28.6%66.6%33.7%103.3%13.8%-20.2%2.1M-110.9M-543.9K0.5831.76N/AN/A7342686227
2021-03-03$3534.40$3200.00111.9%32.1%75.1%45.8%110.6%13.7%-26.5%1.6M-76.6M-533.8K0.4625.11N/AN/A17179723258
2021-03-04$2512.80$3200.0096.7%24.1%143.8%30.7%89.8%-2.0%0.1%233.6K17.8M-337.9K0.3535.04N/AN/A292102795318
2021-03-05$2480.80$3200.0088.8%24.0%141.9%22.8%88.5%-0.6%1.5%440.1K12.8M-352.3K0.4330.18N/AN/A12755896318
2021-03-08$2661.60$3200.0085.0%22.7%140.2%19.0%81.7%0.3%5.5%484.4K8.1M-397.5K0.2855.23N/AN/A6418916355
2021-03-09$2736.00$3200.0074.5%21.2%138.2%8.5%75.8%0.0%8.1%622.3K-2.1M-396.4K0.1240.42N/AN/A789917325
2021-03-10$2725.60$3200.0074.1%21.2%138.0%8.2%77.3%-0.2%7.6%588.9K192.1K-387.6K0.2434.68N/AN/A276908325
2021-03-11$2915.20$3200.0074.4%21.3%141.3%8.5%80.4%-1.8%8.4%690.8K-18.1M-436.1K0.0734.19N/AN/A967909326
2021-03-12$3049.60$3200.0072.3%20.7%142.9%6.4%76.9%-1.1%9.5%753.1K-32.2M-467.3K0.1834.80N/AN/A529935325
2021-03-15$2999.20$3200.0074.4%21.3%141.6%8.4%77.5%-0.9%9.2%690.3K-25.5M-443.7K0.2525.68N/AN/A4812953325
2021-03-16$2991.20$3200.0070.6%20.2%141.5%4.7%74.3%-1.6%12.8%874.8K-17.7M-427.6K0.2315.44N/AN/A276967329
2021-03-17$2984.80$3200.0070.5%20.2%140.5%4.6%73.7%-1.4%10.3%1.0M-16.9M-425.3K0.1859.78N/AN/A519973331
2021-03-18$2865.60$3200.0070.2%20.1%140.2%4.3%74.0%-2.8%13.4%914.9K-9.3M-410.8K0.4624.37N/AN/A199978333
2021-03-19$2952.00$3200.0069.0%19.8%140.8%3.1%70.6%0.7%11.1%1.0M-15.4M-424.6K0.3520.70N/AN/A3412986336
2021-03-22$2960.00$3200.0065.1%18.7%140.6%0.0%66.2%-1.6%10.1%1.0M-35.1M-412.6K0.6527.90N/AN/A2516685210
2021-03-23$2924.00$3200.0060.5%17.3%140.5%0.0%63.8%-2.0%15.7%990.1K-30.8M-398.1K0.1957.60N/AN/A296695207
2021-03-24$2846.40$3200.0063.3%18.1%140.6%2.6%65.8%2.8%8.1%914.9K-26.1M-385.8K0.3814.43N/AN/A135705208
2021-03-25$2852.00$3200.0064.1%18.4%138.5%3.5%66.0%-0.4%11.8%931.1K-26.6M-387.6K0.4047.93N/AN/A94705207
2021-03-26$2974.40$3200.0062.1%17.8%138.5%1.5%63.3%1.3%8.6%1.1M-34.5M-403.8K0.3943.91N/AN/A114707206
2021-03-29$2977.60$3200.0065.2%18.7%136.6%4.5%67.1%0.4%6.8%1.1M-34.5M-397.3K0.2451.69N/AN/A82708207
2021-03-30$2994.40$3200.0063.5%18.2%135.8%2.9%62.7%0.4%8.0%1.1M-34.2M-393.9K1.7311.15N/AN/A1323710208
2021-03-31$3116.00$3200.0058.8%16.9%133.9%0.0%60.7%0.7%10.3%1.2M-41.9M-410.7K0.0510.29N/AN/A633717226