VRM Options History — April 2021

In April 2021, VRM traded between $3091.20 and $3860.80. ATM implied volatility averaged 58.4%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded above realized volatility by 20.3% (HV 20d: 38.1%). Max pain ranged from $3200.00 to $3200.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.35.

Notable Days

  • 2021-04-23: Highest Volume — 231 contracts
  • 2021-04-21: Largest IV drop — 11.9% change
  • 2021-04-20: Highest IV Rank — 17.0%
  • 2021-04-06: Largest Expected Move — 19.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3421.64$3091.20$3860.80$3132.00$3698.40
Max Pain$3200.00$3200.00$3200.00$3200.00$3200.00
ATM IV58.4%45.8%66.3%54.8%66.0%
Expected Move18.2%15.7%19.5%15.7%18.9%
HV 20d38.1%31.7%47.7%47.7%37.5%
HV 60d91.8%90.1%92.6%92.3%90.2%
IV Rank9.2%0.0%17.0%0.0%16.7%
IV Percentile5.8%0.0%14.7%0.0%14.7%
Term Structure-4.3%-12.5%11.8%11.8%-10.0%
VWIV62.7%58.1%68.1%61.7%64.9%
Skew 25d4.0%-0.5%6.9%2.1%5.5%
Skew 10d9.1%-0.9%14.1%5.3%12.1%
Call IV 25d61.4%56.5%66.8%57.3%64.1%
Put IV 25d65.4%59.4%69.5%59.4%69.5%
Bid-Ask Spread %42.4910.6658.8010.6624.42
Gamma HHI0.210.180.240.210.24
Net GEX2.0M1.2M3.6M1.4M3.4M
Net DEX-72.6M-130.2M-36.1M-45.9M-112.3M
Net VEX-450.9K-550.1K-402.2K-422.6K-534.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.081.570.200.16
Total Volume47.238112314425
Total OI957.4767051,089971988

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-04-01$3132.00$3200.0054.8%15.7%47.7%0.0%61.7%2.1%11.8%1.4M-45.9M-422.6K0.2010.66N/AN/A377745226
2021-04-05$3237.60$3200.0054.2%19.4%47.4%0.0%68.1%2.6%-1.8%1.8M-56.2M-430.5K1.0537.87N/AN/A3739763233
2021-04-06$3192.00$3200.0053.0%19.5%43.3%0.0%68.1%0.6%-3.4%1.5M-47.6M-433.6K0.1448.63N/AN/A112818268
2021-04-07$3091.20$3200.0050.8%19.0%45.0%0.0%64.2%-0.5%-0.7%1.2M-36.1M-408.1K0.2758.02N/AN/A133787267
2021-04-08$3174.40$3200.0045.8%19.3%45.4%0.0%66.2%0.2%-6.7%1.5M-43.7M-415.5K1.1750.48N/AN/A1011789267
2021-04-09$3220.80$3200.0047.1%17.8%39.7%1.1%61.2%3.3%-2.8%1.6M-47.8M-417.1K0.1651.38N/AN/A122790269
2021-04-12$3256.80$3200.0049.0%18.7%36.9%2.7%65.7%1.9%-4.9%1.7M-52.0M-412.0K1.5748.18N/AN/A1320791269
2021-04-13$3356.80$3200.0054.8%18.1%37.3%7.4%60.5%4.5%-3.9%1.8M-65.1M-421.3K0.3946.07N/AN/A5722794275
2021-04-14$3350.40$3200.0061.2%17.5%37.3%12.7%59.6%3.8%-2.0%1.7M-62.4M-415.2K0.1251.82N/AN/A304796275
2021-04-15$3365.60$3200.0061.5%17.6%37.2%13.0%61.0%5.9%-0.0%1.3M-65.2M-414.0K0.1453.96N/AN/A233808276
2021-04-16$3313.60$3200.0060.5%17.4%33.9%12.2%59.1%5.7%-1.0%1.3M-60.7M-402.2K0.0958.80N/AN/A545812277
2021-04-19$3348.80$3200.0064.7%18.6%32.9%15.7%60.1%6.9%-6.0%1.5M-53.0M-415.8K0.3253.61N/AN/A196528177
2021-04-20$3312.80$3200.0066.3%19.0%33.4%17.0%65.0%5.5%-6.5%1.4M-51.0M-413.3K0.6157.73N/AN/A74536182
2021-04-21$3424.00$3200.0058.4%16.7%34.1%10.4%58.1%5.3%-1.8%1.6M-60.8M-432.4K0.0852.49N/AN/A433540185
2021-04-22$3494.40$3200.0059.6%17.1%31.7%11.4%59.5%5.1%-6.4%2.0M-69.7M-449.6K0.1047.13N/AN/A465566186
2021-04-23$3637.60$3200.0062.9%18.0%33.3%14.1%61.8%6.6%-8.8%2.3M-85.8M-470.1K0.2223.53N/AN/A18942586188
2021-04-26$3860.80$3200.0061.4%17.6%35.8%12.9%62.6%5.4%-7.2%3.3M-130.2M-526.5K0.1215.86N/AN/A759708212
2021-04-27$3830.40$3200.0061.4%17.6%36.4%12.9%62.1%4.9%-7.2%3.5M-128.0M-542.1K0.2119.78N/AN/A469740214
2021-04-28$3792.80$3200.0066.3%19.0%37.2%16.9%62.6%4.1%-12.5%3.6M-127.7M-550.1K0.1656.97N/AN/A152769219
2021-04-29$3763.20$3200.0065.7%18.8%36.3%16.4%64.7%4.6%-9.2%3.6M-123.0M-542.5K0.0925.00N/AN/A293770218
2021-04-30$3698.40$3200.0066.0%18.9%37.5%16.7%64.9%5.5%-10.0%3.4M-112.3M-534.2K0.1624.42N/AN/A223770218