VRM Options History — May 2021

In May 2021, VRM traded between $2832.80 and $3680.80. ATM implied volatility averaged 64.1%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded above realized volatility by 13.4% (HV 20d: 50.7%). Max pain ranged from $2800.00 to $3200.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.31.

Notable Days

  • 2021-05-21: Highest Volume — 352 contracts
  • 2021-05-12: Largest IV drop — 29.1% change
  • 2021-05-11: Highest IV Rank — 54.9%
  • 2021-05-12: Largest Expected Move — 22.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3352.56$2832.80$3680.80$3680.80$3532.80
Max Pain$3140.00$2800.00$3200.00$3200.00$3200.00
ATM IV64.1%45.9%112.1%68.9%45.9%
Expected Move16.8%13.2%22.8%19.8%13.2%
HV 20d50.7%35.0%60.0%36.5%56.9%
HV 60d86.3%48.1%89.9%89.7%48.1%
IV Rank15.1%0.1%54.9%19.1%0.1%
IV Percentile19.4%0.5%93.2%17.3%0.5%
Term Structure-3.8%-15.7%1.6%-12.5%1.3%
VWIV58.8%46.4%79.9%68.7%46.4%
Skew 25d3.3%1.1%5.3%4.4%2.4%
Skew 10d6.7%2.5%10.8%10.8%6.4%
Call IV 25d58.0%45.6%78.8%67.6%46.2%
Put IV 25d61.2%48.5%82.3%72.0%48.5%
Bid-Ask Spread %37.7820.6949.9631.0520.69
Gamma HHI0.250.190.400.240.27
Net GEX3.2M847.7K6.1M3.5M3.8M
Net DEX-77.9M-134.1M-10.1M-110.8M-93.9M
Net VEX-460.2K-547.4K-343.0K-517.6K-520.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.030.820.460.06
Total Volume105.65153521939
Total OI1,172.759991,4609991,133

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$3680.80$3200.0068.9%19.8%36.5%19.1%68.7%4.4%-12.5%3.5M-110.8M-517.6K0.4631.05N/AN/A136781218
2021-05-04$3605.60$3200.0071.9%20.6%37.1%21.6%72.1%4.6%-14.5%3.3M-97.7M-500.4K0.6728.44N/AN/A1510779220
2021-05-05$3562.40$3200.0071.9%20.6%35.0%21.6%74.3%4.8%-15.7%3.2M-90.3M-485.7K0.4943.30N/AN/A105787225
2021-05-06$3416.00$3200.0073.4%16.3%38.2%22.9%57.0%4.4%-3.7%2.6M-67.9M-451.1K0.6342.53N/AN/A1711790227
2021-05-07$3205.60$3200.0077.5%16.6%44.8%26.3%57.2%3.1%-4.4%1.9M-41.7M-401.7K0.0636.79N/AN/A19812787233
2021-05-10$3052.80$3200.00100.0%18.8%47.7%44.9%66.4%2.5%-6.6%1.8M-34.3M-402.5K0.1849.96N/AN/A13824875240
2021-05-11$2957.60$3200.00112.1%20.3%47.0%54.9%70.7%2.5%-7.7%1.5M-26.6M-384.2K0.4048.01N/AN/A208881251
2021-05-12$2832.80$3200.0079.4%22.8%48.7%27.8%79.9%3.5%-10.5%1.3M-20.2M-369.4K0.8043.61N/AN/A137110886253
2021-05-13$2893.60$3200.0060.3%17.3%49.7%12.0%60.2%1.9%-1.3%847.7K-10.1M-343.0K0.2948.65N/AN/A23066978326
2021-05-14$3122.40$2800.0056.5%16.2%57.7%8.9%57.0%1.1%-0.6%2.5M-45.5M-415.0K0.4243.30N/AN/A5724990319
2021-05-17$3199.20$2800.0058.3%16.7%58.4%10.3%58.5%2.8%-2.5%3.0M-54.7M-415.2K0.2042.26N/AN/A336982325
2021-05-18$3324.80$2800.0055.5%15.9%60.0%8.0%55.0%2.9%-1.0%3.8M-77.3M-426.3K0.1347.89N/AN/A618977323
2021-05-19$3353.60$3200.0055.8%16.0%58.8%8.2%54.8%3.3%-1.2%3.5M-80.0M-421.4K0.0749.28N/AN/A1319974327
2021-05-20$3482.40$3200.0051.7%14.8%60.0%4.9%53.3%4.6%0.8%6.1M-126.4M-499.4K0.1034.28N/AN/A6861,097328
2021-05-21$3525.60$3200.0049.8%14.3%58.3%3.3%50.3%2.2%0.8%3.8M-134.1M-506.7K0.0329.74N/AN/A340121,129331
2021-05-24$3571.20$3200.0048.0%13.7%54.0%1.8%48.6%2.2%1.6%5.2M-121.5M-534.8K0.0437.55N/AN/A903931194
2021-05-25$3582.40$3200.0048.6%13.9%54.0%2.3%48.5%5.3%1.5%4.2M-109.7M-547.4K0.1631.58N/AN/A427877242
2021-05-26$3508.00$3200.0048.4%13.9%54.4%2.1%50.1%2.2%0.6%3.9M-96.6M-522.7K0.8223.91N/AN/A2520864244
2021-05-27$3641.60$3200.0047.1%13.5%56.3%1.1%47.2%4.7%0.0%4.5M-118.7M-540.6K0.1822.87N/AN/A8616873258
2021-05-28$3532.80$3200.0045.9%13.2%56.9%0.1%46.4%2.4%1.3%3.8M-93.9M-520.1K0.0620.69N/AN/A372872261