VRM Options History — August 2021

In August 2021, VRM traded between $1988.80 and $3107.20. ATM implied volatility averaged 67.5%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded below realized volatility by 1.3% (HV 20d: 68.8%). Max pain ranged from $2200.00 to $3200.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.33.

Notable Days

  • 2021-08-12: Highest Volume — 397 contracts
  • 2021-08-11: Largest IV drop — 33.1% change
  • 2021-08-10: Highest IV Rank — 50.7%
  • 2021-08-04: Largest Expected Move — 23.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2474.00$1988.80$3107.20$2967.20$2142.40
Max Pain$2563.64$2200.00$3200.00$3200.00$2200.00
ATM IV67.5%53.8%104.6%78.5%54.3%
Expected Move17.9%15.4%23.5%22.5%15.6%
HV 20d68.8%39.0%88.5%41.0%88.3%
HV 60d57.9%45.1%64.6%51.4%64.6%
IV Rank21.1%10.1%50.7%29.9%10.6%
IV Percentile37.2%16.7%92.9%52.8%17.5%
Term Structure-3.3%-17.6%4.0%-16.0%3.4%
VWIV63.5%54.4%83.0%80.0%57.1%
Skew 25d1.5%-2.0%4.0%1.6%-0.3%
Skew 10d2.7%-3.4%7.8%1.7%-3.4%
Call IV 25d63.5%55.8%82.1%78.1%56.8%
Put IV 25d64.9%55.6%83.9%79.7%56.5%
Bid-Ask Spread %28.2611.5445.6632.6932.26
Gamma HHI0.150.090.240.210.10
Net GEX766.0K-314.1K2.2M1.3M612.8K
Net DEX-1.9M-40.4M31.8M-19.3M-680.4K
Net VEX-364.0K-479.4K-248.7K-412.3K-380.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.041.090.070.28
Total Volume102.86493976364
Total OI1,247.7279701,6549701,343

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$2967.20$3200.0078.5%22.5%41.0%29.9%80.0%1.6%-16.0%1.3M-19.3M-412.3K0.0732.69N/AN/A594719251
2021-08-03$2972.00$3200.0079.6%22.8%40.6%30.7%80.4%3.2%-16.7%1.3M-19.5M-415.3K0.2130.20N/AN/A174726253
2021-08-04$2965.60$3200.0082.1%23.5%39.9%32.7%83.0%1.8%-17.6%1.6M-24.4M-442.8K0.3142.66N/AN/A72781254
2021-08-05$2960.80$2600.0083.2%18.5%39.9%33.6%64.2%2.7%-6.3%1.5M-24.2M-440.0K0.6726.77N/AN/A96792255
2021-08-06$3008.80$2800.0087.3%18.5%39.4%36.9%64.1%1.7%-6.3%1.7M-29.9M-447.3K0.0430.21N/AN/A1004796255
2021-08-09$3107.20$2800.0098.9%19.5%40.6%46.1%67.6%1.6%-7.5%2.1M-40.4M-479.4K0.2830.98N/AN/A16044797259
2021-08-10$3084.80$2800.00104.6%19.6%39.6%50.7%67.9%2.3%-7.3%2.0M-38.4M-466.0K0.2829.84N/AN/A12836806262
2021-08-11$3029.60$2800.0070.0%20.1%39.0%23.1%69.4%4.0%-8.0%2.2M-36.8M-465.7K0.3427.48N/AN/A11238916295
2021-08-12$2444.80$2800.0057.7%16.5%84.0%13.3%59.3%0.6%-1.7%18.5K17.6M-273.6K0.2725.31N/AN/A31285888284
2021-08-13$2418.40$2800.0055.4%15.9%84.0%11.4%56.1%2.1%0.0%-167.4K23.9M-271.8K0.2325.73N/AN/A12829961307
2021-08-16$2322.40$2600.0055.7%16.0%84.5%11.7%57.1%2.9%-0.9%2.6K21.3M-284.3K0.0625.73N/AN/A14081,073329
2021-08-17$2174.40$2600.0056.5%16.2%83.2%12.3%58.5%1.3%2.6%-133.3K28.9M-260.8K0.3015.62N/AN/A105321,120343
2021-08-18$2064.00$2400.0058.6%16.8%82.8%14.0%60.2%0.9%-2.2%-17.5K31.8M-248.7K1.0939.69N/AN/A52571,170346
2021-08-19$2087.20$2200.0061.2%17.5%83.2%16.1%61.2%2.4%-1.5%114.2K27.0M-286.9K0.5245.66N/AN/A37191,235358
2021-08-20$1988.80$2200.0060.8%17.4%83.0%15.7%63.0%-2.0%-0.7%-314.1K27.9M-288.1K0.7632.85N/AN/A46351,269385
2021-08-23$2021.60$2200.0061.8%17.7%84.1%16.5%63.4%2.0%-1.0%237.6K11.7M-295.4K0.1440.31N/AN/A12817845312
2021-08-24$2116.80$2200.0057.4%16.5%87.1%13.1%58.2%1.6%2.0%390.0K5.5M-329.8K0.2416.40N/AN/A8119866334
2021-08-25$2124.00$2200.0055.9%16.0%86.3%11.8%58.0%0.8%2.9%522.7K1.9M-356.4K0.3911.54N/AN/A208933336
2021-08-26$2076.00$2200.0056.5%16.2%86.2%12.3%58.7%0.1%1.4%456.0K2.6M-365.8K0.4319.30N/AN/A2310970349
2021-08-27$2165.60$2200.0053.8%15.4%88.3%10.1%54.4%-0.2%3.6%656.8K-3.2M-395.2K0.1416.50N/AN/A416978355
2021-08-30$2185.60$2200.0054.4%15.6%88.5%10.7%55.8%1.4%4.0%732.3K-5.2M-402.4K0.1524.03N/AN/A274986358
2021-08-31$2142.40$2200.0054.3%15.6%88.3%10.6%57.1%-0.3%3.4%612.8K-680.4K-380.0K0.2832.26N/AN/A5014982361