VRM Options History — September 2021

In September 2021, VRM traded between $1778.40 and $2159.20. ATM implied volatility averaged 56.9%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 0.6% (HV 20d: 56.3%). Max pain ranged from $2000.00 to $2400.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2021-09-07: Highest Volume — 101 contracts
  • 2021-09-20: Largest IV spike — 12.3% change
  • 2021-09-28: Highest IV Rank — 16.1%
  • 2021-09-28: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1994.36$1778.40$2159.20$2159.20$1778.40
Max Pain$2238.10$2000.00$2400.00$2200.00$2000.00
ATM IV56.9%52.5%61.3%52.5%61.3%
Expected Move16.4%15.0%17.6%15.0%17.6%
HV 20d56.3%37.6%88.9%88.6%45.3%
HV 60d60.9%58.8%64.6%64.6%61.3%
IV Rank12.6%9.1%16.1%9.1%16.1%
IV Percentile24.8%16.3%36.1%16.3%36.1%
Term Structure8.0%4.1%10.6%4.1%8.6%
VWIV58.3%55.2%65.0%55.8%62.5%
Skew 25d1.8%-1.4%4.8%1.3%-0.2%
Skew 10d3.1%-18.4%14.3%3.9%-14.9%
Call IV 25d58.3%54.8%63.6%54.8%62.7%
Put IV 25d60.1%56.0%66.4%56.0%62.5%
Bid-Ask Spread %23.587.2655.9417.0523.11
Gamma HHI0.110.090.180.100.10
Net GEX255.7K-259.5K756.2K652.0K9.1K
Net DEX10.5M-1.8M19.6M-1.8M19.5M
Net VEX-347.6K-390.7K-314.7K-390.7K-319.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.071.940.180.40
Total Volume41.476191013335
Total OI1,388.8571,2501,5311,3531,415

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$2159.20$2200.0052.5%15.0%88.6%9.1%55.8%1.3%4.1%652.0K-1.8M-390.7K0.1817.05N/AN/A285989364
2021-09-02$2127.20$2400.0054.7%16.2%88.4%10.9%56.7%0.2%6.7%583.4K366.7K-377.7K0.0719.70N/AN/A373991369
2021-09-03$2120.00$2400.0053.8%16.3%87.7%10.1%57.5%1.1%6.2%580.8K1.4M-375.7K0.2050.30N/AN/A194992372
2021-09-07$2144.00$2400.0054.9%16.7%86.5%11.1%57.3%2.0%6.9%715.9K303.7K-361.1K0.3521.68N/AN/A75261,016373
2021-09-08$2076.00$2400.0056.7%16.3%86.5%12.5%59.5%2.6%7.0%482.6K6.2M-348.9K0.2215.94N/AN/A2041,017376
2021-09-09$2157.60$2400.0057.5%16.5%88.9%13.1%55.2%3.4%6.4%756.2K1.1M-376.2K0.0917.99N/AN/A4541,023394
2021-09-10$2119.20$2400.0057.6%16.5%49.8%13.2%56.4%3.0%6.1%594.0K4.4M-366.1K1.0517.24N/AN/A11121,022396
2021-09-13$2071.20$2400.0056.6%16.2%50.1%12.4%56.8%2.7%6.5%374.0K9.2M-349.4K1.9441.45N/AN/A12241,034399
2021-09-14$1968.00$2400.0057.0%16.3%51.2%12.7%58.3%1.1%7.6%-131.3K17.5M-322.8K1.0512.71N/AN/A34361,034404
2021-09-15$1968.00$2400.0055.8%16.0%46.5%11.7%58.3%2.7%6.8%-259.5K19.6M-314.7K0.8255.94N/AN/A40331,036416
2021-09-16$1960.00$2400.0055.7%16.0%43.0%11.7%57.0%1.4%8.5%-214.0K17.7M-329.6K0.2031.88N/AN/A1631,049443
2021-09-17$1955.20$2400.0053.9%15.4%42.7%10.2%55.7%2.7%10.1%123.2K18.8M-345.3K0.3244.42N/AN/A54171,085446
2021-09-20$1919.20$2400.0060.5%17.4%39.7%15.5%62.4%4.8%7.7%96.6K14.5M-331.3K0.709.69N/AN/A2921892358
2021-09-21$1854.40$2000.0059.2%17.0%40.7%14.5%65.0%-1.4%9.2%101.8K16.2M-320.4K0.2127.10N/AN/A296924366
2021-09-22$1896.80$2000.0059.4%17.0%37.6%14.6%58.8%0.6%10.4%96.5K15.2M-331.4K0.0948.96N/AN/A343936376
2021-09-23$1961.60$2000.0055.1%15.8%40.0%11.2%55.7%1.9%10.5%188.5K11.4M-345.4K0.077.97N/AN/A282954380
2021-09-24$1931.20$2000.0054.9%15.7%39.6%11.0%56.4%2.2%10.6%146.1K12.9M-345.2K0.708.18N/AN/A128979380
2021-09-27$2011.20$2000.0056.8%16.3%39.4%12.5%57.1%4.5%10.3%308.5K6.4M-373.9K0.207.83N/AN/A3261,001381
2021-09-28$1888.00$2000.0061.3%17.6%44.3%16.1%61.2%1.6%8.0%133.7K12.8M-350.7K0.887.26N/AN/A18161,007387
2021-09-29$1815.20$2000.0060.0%17.2%45.6%15.1%60.8%-0.5%10.2%31.6K17.6M-324.5K0.338.82N/AN/A2371,001389
2021-09-30$1778.40$2000.0061.3%17.6%45.3%16.1%62.5%-0.2%8.6%9.1K19.5M-319.4K0.4023.11N/AN/A25101,017398