VRM Options History — October 2021

In October 2021, VRM traded between $1528.80 and $1820.80. ATM implied volatility averaged 76.5%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 22.8%. IV traded above realized volatility by 29.8% (HV 20d: 46.7%). Max pain ranged from $1800.00 to $2000.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2021-10-14: Highest Volume — 85 contracts
  • 2021-10-11: Largest IV spike — 18.8% change
  • 2021-10-29: Highest IV Rank — 43.0%
  • 2021-10-29: Largest Expected Move — 27.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1682.70$1528.80$1820.80$1740.80$1528.80
Max Pain$1809.52$1800.00$2000.00$2000.00$1800.00
ATM IV76.5%60.6%95.0%60.6%95.0%
Expected Move22.8%17.4%27.2%17.4%27.2%
HV 20d46.7%44.7%53.2%45.5%46.0%
HV 60d61.5%60.5%62.7%61.3%62.5%
IV Rank28.2%15.6%43.0%15.6%43.0%
IV Percentile62.6%34.9%92.1%34.9%92.1%
Term Structure-9.4%-19.6%10.3%10.3%-19.6%
VWIV80.3%63.1%95.3%63.1%95.3%
Skew 25d5.4%-1.3%8.0%-1.3%3.4%
Skew 10d10.9%-17.5%20.5%-17.5%-7.3%
Call IV 25d79.2%62.4%94.2%62.4%94.2%
Put IV 25d84.6%61.1%97.6%61.1%97.6%
Bid-Ask Spread %24.4611.7848.2248.2221.70
Gamma HHI0.110.090.150.100.11
Net GEX53.7K-71.0K250.0K13.7K17.4K
Net DEX16.9M5.4M24.9M20.6M20.0M
Net VEX-323.8K-366.1K-270.2K-306.6K-307.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.233.510.740.63
Total Volume49.47617854457
Total OI1,429.8571,2051,6171,4381,388

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$1740.80$2000.0060.6%17.4%45.5%15.6%63.1%-1.3%10.3%13.7K20.6M-306.6K0.7448.22N/AN/A25191,040398
2021-10-04$1660.80$1800.0068.3%21.4%47.3%21.7%73.5%5.5%-7.1%-59.1K24.9M-270.2K1.3523.86N/AN/A25341,055404
2021-10-05$1644.80$1800.0063.8%21.6%46.5%18.2%74.9%4.4%-7.3%-36.0K23.2M-297.3K0.5119.69N/AN/A22111,062414
2021-10-06$1683.20$1800.0067.4%22.3%47.6%21.0%76.7%5.4%-7.8%-22.3K21.6M-313.8K1.5121.51N/AN/A23351,084438
2021-10-07$1704.80$1800.0063.8%21.7%44.9%18.1%76.2%5.9%-5.9%49.8K18.6M-327.6K0.6419.39N/AN/A19121,100445
2021-10-08$1708.80$1800.0061.5%22.2%45.1%16.3%78.7%6.7%-6.7%4.9K18.9M-334.4K0.2818.38N/AN/A2671,107464
2021-10-11$1651.20$1800.0073.1%23.1%45.7%25.5%80.4%5.7%-8.6%-71.0K22.6M-313.6K0.8519.59N/AN/A981,117469
2021-10-12$1689.60$1800.0080.5%23.2%44.7%31.4%77.9%7.2%-9.6%-46.7K21.1M-317.6K0.9117.34N/AN/A23211,120474
2021-10-13$1708.80$1800.0075.9%21.8%45.1%27.8%78.3%5.0%-7.3%-29.5K19.2M-335.0K3.3830.34N/AN/A12421,126475
2021-10-14$1740.00$1800.0071.8%20.6%46.0%24.5%73.2%7.4%-5.1%28.3K18.2M-330.7K0.2339.54N/AN/A69161,129474
2021-10-15$1791.20$1800.0073.1%20.9%47.6%25.5%76.2%7.7%-8.0%-52.1K16.2M-324.9K3.5120.54N/AN/A9311,142475
2021-10-18$1804.00$1800.0076.7%22.0%47.5%28.4%77.6%8.0%-9.3%246.1K5.9M-353.9K0.3827.57N/AN/A4517798407
2021-10-19$1820.80$1800.0075.4%21.6%46.2%27.4%76.3%5.9%-8.2%240.2K5.4M-356.7K0.6323.60N/AN/A1912800420
2021-10-20$1752.80$1800.0079.3%22.7%47.1%30.5%79.9%5.0%-9.4%203.6K7.9M-356.8K0.6927.10N/AN/A3021831436
2021-10-21$1782.40$1800.0079.9%22.9%45.7%31.0%79.6%7.6%-10.9%250.0K5.9M-366.1K0.6925.80N/AN/A2215844443
2021-10-22$1642.40$1800.0083.8%24.0%53.2%34.1%85.9%7.7%-14.0%126.8K14.1M-325.0K1.6925.68N/AN/A3050846444
2021-10-25$1621.60$1800.0087.3%25.0%50.0%36.8%89.0%4.0%-15.7%90.1K15.4M-326.4K1.0336.13N/AN/A2223857464
2021-10-26$1567.20$1800.0088.6%25.4%46.9%37.9%89.0%6.2%-15.0%50.3K18.4M-310.8K0.4811.78N/AN/A4019861466
2021-10-27$1536.00$1800.0089.7%25.7%45.7%38.8%92.3%2.6%-15.3%47.2K19.1M-304.6K0.5519.91N/AN/A3620872469
2021-10-28$1556.80$1800.0090.6%26.0%46.1%39.5%92.6%3.4%-16.7%75.1K17.3M-320.7K0.4915.99N/AN/A4221892477
2021-10-29$1528.80$1800.0095.0%27.2%46.0%43.0%95.3%3.4%-19.6%17.4K20.0M-307.4K0.6321.70N/AN/A3522898490