VRM Options History — June 2021

In June 2021, VRM traded between $3204.80 and $3639.20. ATM implied volatility averaged 45.4%, placing in the 1.5% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 9.2% (HV 20d: 54.6%). Max pain ranged from $3200.00 to $3200.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.54.

Notable Days

  • 2021-06-15: Highest Volume — 184 contracts
  • 2021-06-28: Largest IV spike — 10.1% change
  • 2021-06-15: Highest IV Rank — 4.1%
  • 2021-06-03: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3418.87$3204.80$3639.20$3632.00$3359.20
Max Pain$3200.00$3200.00$3200.00$3200.00$3200.00
ATM IV45.4%41.0%48.3%48.3%43.5%
Expected Move13.1%11.8%13.9%13.9%12.5%
HV 20d54.6%37.3%60.1%57.9%57.3%
HV 60d48.7%44.2%51.6%48.1%51.0%
IV Rank1.5%0.0%4.1%2.1%2.0%
IV Percentile1.9%0.0%6.0%2.4%0.9%
Term Structure8.3%-1.2%12.1%-0.5%11.9%
VWIV45.7%41.6%49.2%48.0%44.5%
Skew 25d2.6%0.6%4.6%4.6%1.9%
Skew 10d5.9%1.8%9.7%4.7%3.8%
Call IV 25d44.6%40.8%47.6%46.9%43.9%
Put IV 25d47.3%44.6%51.5%51.5%45.7%
Bid-Ask Spread %23.728.5758.6024.518.57
Gamma HHI0.240.200.320.290.21
Net GEX3.9M2.6M5.9M4.5M3.5M
Net DEX-74.5M-125.6M-36.2M-115.0M-57.4M
Net VEX-481.9K-530.8K-381.7K-520.3K-489.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.033.310.090.04
Total Volume54.571845430
Total OI1,268.7271,1501,4781,1501,302

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$3632.00$3200.0048.3%13.9%57.9%2.1%48.0%4.6%-0.5%4.5M-115.0M-520.3K0.0924.51N/AN/A504889261
2021-06-02$3601.60$3200.0047.9%13.7%57.5%1.7%48.5%4.1%-1.2%4.6M-111.1M-524.7K0.1016.52N/AN/A202923264
2021-06-03$3456.00$3200.0048.2%13.9%59.2%2.0%48.1%2.5%7.0%4.0M-83.7M-505.6K0.0833.37N/AN/A363934264
2021-06-04$3478.40$3200.0046.1%13.4%57.3%0.3%46.7%3.3%8.3%4.3M-90.3M-516.7K0.4817.84N/AN/A52962265
2021-06-07$3482.40$3200.0046.6%13.4%52.0%0.6%46.0%2.8%7.5%4.3M-86.9M-481.7K0.1326.78N/AN/A213962266
2021-06-08$3459.20$3200.0045.6%13.6%48.3%0.0%47.4%2.9%6.5%4.1M-82.0M-478.7K0.2116.71N/AN/A133966267
2021-06-09$3406.40$3200.0046.3%13.3%47.0%0.5%46.0%1.6%7.6%3.8M-72.1M-457.6K0.0829.39N/AN/A453974268
2021-06-10$3408.80$3200.0044.1%12.6%43.2%0.0%44.4%2.9%9.0%4.1M-73.2M-448.7K0.1910.18N/AN/A1121,007269
2021-06-11$3525.60$3200.0043.0%12.3%43.8%0.0%43.1%2.3%9.2%5.0M-97.9M-476.9K0.0310.50N/AN/A4521,009270
2021-06-14$3639.20$3200.0044.3%12.7%37.3%1.0%43.6%2.5%8.6%5.9M-125.6M-485.2K0.0428.59N/AN/A7931,020270
2021-06-15$3204.80$3200.0048.1%13.8%60.1%4.1%49.2%1.9%8.1%2.9M-36.2M-381.7K0.3134.25N/AN/A141431,046270
2021-06-16$3275.20$3200.0046.9%13.4%59.0%3.1%46.7%2.4%9.3%3.4M-50.8M-410.3K0.8233.22N/AN/A47391,083300
2021-06-17$3251.20$3200.0046.0%13.2%58.9%2.3%46.6%2.5%9.8%4.0M-52.4M-402.1K0.6558.60N/AN/A67441,116312
2021-06-18$3257.60$3200.0046.9%13.5%57.1%3.1%47.9%3.8%9.3%2.6M-61.7M-459.7K2.3753.78N/AN/A16381,128350
2021-06-21$3328.80$3200.0044.6%12.8%57.5%1.2%45.1%2.2%10.3%2.9M-49.5M-489.0K0.1733.80N/AN/A468874322
2021-06-22$3433.60$3200.0044.2%12.7%58.5%0.9%43.9%3.5%9.5%3.5M-69.5M-525.6K0.0410.48N/AN/A311900327
2021-06-23$3394.40$3200.0045.0%12.9%58.6%1.5%44.3%2.7%8.6%3.4M-62.5M-516.4K2.4617.20N/AN/A2664904328
2021-06-24$3388.00$3200.0043.6%12.5%58.2%0.4%44.1%1.8%10.3%3.4M-61.7M-510.9K0.0412.97N/AN/A151910331
2021-06-25$3501.60$3200.0041.0%11.8%57.8%0.0%41.6%3.8%12.1%3.9M-80.7M-530.8K0.0615.57N/AN/A302911331
2021-06-28$3368.80$3200.0045.2%13.0%58.4%3.3%46.0%0.6%10.4%3.4M-59.3M-491.3K0.1111.17N/AN/A688925332
2021-06-29$3362.40$3200.0044.0%12.6%57.3%2.4%44.6%1.5%10.5%3.5M-58.8M-498.2K3.3117.81N/AN/A1963962338
2021-06-30$3359.20$3200.0043.5%12.5%57.3%2.0%44.5%1.9%11.9%3.5M-57.4M-489.4K0.048.57N/AN/A291963339