VRM Options History — July 2021

In July 2021, VRM traded between $2959.20 and $3442.40. ATM implied volatility averaged 57.3%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 11.6% (HV 20d: 45.7%). Max pain ranged from $3200.00 to $3400.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.24.

Notable Days

  • 2021-07-06: Highest Volume — 137 contracts
  • 2021-07-14: Largest IV spike — 23.1% change
  • 2021-07-30: Highest IV Rank — 26.7%
  • 2021-07-30: Largest Expected Move — 21.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3177.49$2959.20$3442.40$3412.00$2959.20
Max Pain$3228.57$3200.00$3400.00$3200.00$3200.00
ATM IV57.3%41.1%74.5%43.1%74.5%
Expected Move17.4%12.0%21.4%12.4%21.4%
HV 20d45.7%34.2%57.8%55.9%41.3%
HV 60d51.2%50.4%52.0%50.7%52.0%
IV Rank12.9%0.0%26.7%1.7%26.7%
IV Percentile20.8%0.4%44.5%0.9%44.5%
Term Structure-5.1%-12.9%12.9%12.5%-12.9%
VWIV60.9%42.3%75.2%42.9%75.2%
Skew 25d2.7%-1.5%7.5%2.5%2.7%
Skew 10d6.1%0.5%13.5%7.5%3.8%
Call IV 25d60.1%41.3%74.2%41.9%74.2%
Put IV 25d62.8%42.8%76.9%44.4%76.9%
Bid-Ask Spread %27.677.9042.1315.1420.80
Gamma HHI0.210.190.230.210.20
Net GEX2.2M1.1M4.0M3.7M1.2M
Net DEX-32.3M-76.2M-4.6M-67.1M-17.0M
Net VEX-451.7K-534.9K-386.5K-502.9K-404.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.010.930.170.43
Total Volume31.42971373116
Total OI1,155.3338421,4191,312947

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$3412.00$3200.0043.1%12.4%55.9%1.7%42.9%2.5%12.5%3.7M-67.1M-502.9K0.1715.14N/AN/A265973339
2021-07-02$3442.40$3200.0041.7%12.0%55.9%0.6%42.3%1.5%12.9%4.0M-76.2M-534.9K0.097.90N/AN/A141994339
2021-07-06$3359.20$3400.0043.1%16.2%56.6%1.7%56.1%2.4%-4.2%3.3M-54.1M-486.4K0.0138.50N/AN/A1361993339
2021-07-07$3270.40$3400.0044.7%16.5%57.2%2.9%56.5%2.6%-4.9%2.8M-38.6M-492.8K0.1035.34N/AN/A1821,031340
2021-07-08$3244.80$3400.0045.6%16.7%57.1%3.7%58.1%5.4%-4.6%2.6M-34.9M-479.5K0.1042.13N/AN/A2531,029338
2021-07-09$3319.20$3200.0041.1%16.1%57.8%0.0%56.0%3.6%-4.6%2.9M-43.7M-490.5K0.0233.72N/AN/A2601,029339
2021-07-12$3233.60$3200.0049.3%16.7%56.8%6.6%57.6%2.7%-6.4%2.6M-29.1M-457.5K0.2136.23N/AN/A3061,038339
2021-07-13$3306.40$3200.0047.8%16.5%56.1%5.4%57.3%2.4%-5.9%2.9M-42.3M-484.9K0.1729.35N/AN/A3251,049341
2021-07-14$3217.60$3200.0058.9%16.9%34.2%14.2%59.5%1.7%-7.3%2.9M-27.1M-448.5K0.3328.96N/AN/A1441,060342
2021-07-15$3087.20$3200.0059.4%17.0%36.2%14.6%59.1%2.1%-5.3%1.3M-6.1M-399.6K0.2223.62N/AN/A2961,064342
2021-07-16$3065.60$3200.0058.8%16.9%36.2%14.2%58.7%2.7%-5.3%1.2M-4.6M-404.6K0.3821.52N/AN/A28111,075344
2021-07-19$2988.00$3200.0063.6%18.2%37.0%18.0%63.9%3.9%-6.9%1.1M-15.4M-386.5K0.1036.57N/AN/A323612230
2021-07-20$3138.40$3200.0061.8%17.7%40.7%16.6%64.3%3.6%-6.5%1.5M-27.2M-424.7K0.2923.68N/AN/A185636232
2021-07-21$3198.40$3200.0062.1%17.8%39.5%16.8%60.9%7.5%-7.0%1.8M-34.6M-449.7K0.3229.96N/AN/A3411650236
2021-07-22$3062.40$3200.0062.9%18.0%42.0%17.5%63.4%-1.5%-6.4%1.5M-23.9M-434.1K0.1423.29N/AN/A274676246
2021-07-23$3093.60$3200.0064.2%18.4%42.3%18.4%64.3%1.8%-6.9%1.6M-27.5M-451.5K0.3419.35N/AN/A62693248
2021-07-26$3050.40$3200.0068.2%19.5%40.0%21.6%67.8%3.9%-10.0%1.5M-23.1M-429.8K0.9330.07N/AN/A54693248
2021-07-27$3058.40$3200.0070.3%20.2%38.3%23.3%72.3%1.3%-8.8%1.5M-25.6M-435.9K0.1524.34N/AN/A294696250
2021-07-28$3120.00$3200.0070.8%20.3%39.3%23.7%71.2%2.1%-10.2%1.7M-31.5M-447.1K0.4135.70N/AN/A52697250
2021-07-29$3100.00$3200.0070.8%20.3%39.3%23.7%71.2%1.7%-9.5%1.6M-28.9M-439.8K0.0324.94N/AN/A301695250
2021-07-30$2959.20$3200.0074.5%21.4%41.3%26.7%75.2%2.7%-12.9%1.2M-17.0M-404.0K0.4320.80N/AN/A115696251