VRM Options History — November 2021

In November 2021, VRM traded between $1107.20 and $1661.60. ATM implied volatility averaged 95.3%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 24.7%. IV traded above realized volatility by 30.9% (HV 20d: 64.4%). Max pain ranged from $1600.00 to $2000.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2021-11-09: Highest Volume — 353 contracts
  • 2021-11-10: Largest IV drop — 53.1% change
  • 2021-11-09: Highest IV Rank — 100.0%
  • 2021-11-03: Largest Expected Move — 35.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1447.09$1107.20$1661.60$1634.40$1107.20
Max Pain$1809.52$1600.00$2000.00$1800.00$1600.00
ATM IV95.3%65.8%173.5%102.2%85.5%
Expected Move24.7%18.9%35.7%29.3%24.5%
HV 20d64.4%48.4%77.5%50.3%73.2%
HV 60d55.5%47.4%64.3%64.3%58.4%
IV Rank42.0%18.7%100.0%48.7%33.6%
IV Percentile73.9%45.6%100.0%95.2%80.2%
Term Structure-7.6%-33.4%2.4%-23.5%-1.5%
VWIV89.1%67.8%132.4%102.0%87.2%
Skew 25d0.6%-3.6%6.0%4.8%2.0%
Skew 10d-0.4%-9.1%12.5%8.8%-4.0%
Call IV 25d89.7%69.5%133.5%101.9%92.0%
Put IV 25d90.3%70.9%133.1%106.7%94.1%
Bid-Ask Spread %49.547.0568.5425.3653.33
Gamma HHI0.130.090.340.100.14
Net GEX36.9K-394.0K383.3K131.0K-98.5K
Net DEX16.6M-4.5M34.4M12.4M28.2M
Net VEX-318.4K-427.0K-238.2K-339.1K-238.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.192.050.320.93
Total Volume148.7145835358139
Total OI1,653.4761,3961,8731,3961,746

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$1634.40$1800.00102.2%29.3%50.3%48.7%102.0%4.8%-23.5%131.0K12.4M-339.1K0.3225.36N/AN/A4414904492
2021-11-02$1598.40$1800.00120.7%34.6%50.7%63.5%124.5%-2.6%-32.7%141.8K10.0M-344.6K0.1943.25N/AN/A15931913494
2021-11-03$1596.00$1800.00124.5%35.7%49.9%66.5%132.4%-0.4%-33.4%208.2K8.2M-356.2K0.6022.34N/AN/A4628967507
2021-11-04$1546.40$2000.00134.3%27.1%50.6%74.3%100.4%-3.0%-12.8%161.4K10.2M-350.1K0.8267.75N/AN/A5646974524
2021-11-05$1543.20$2000.00141.4%28.3%50.5%80.0%103.5%0.1%-13.4%150.4K10.2M-358.0K0.5468.54N/AN/A7842975535
2021-11-08$1540.00$2000.00154.1%29.1%49.3%90.1%103.4%-2.3%-15.1%172.9K9.7M-351.0K0.3663.50N/AN/A125451,025555
2021-11-09$1542.40$2000.00173.5%33.1%48.4%100.0%115.9%-3.6%-19.3%302.7K2.9M-373.1K0.9355.85N/AN/A1831701,090568
2021-11-10$1661.60$2000.0081.4%23.3%55.8%30.5%86.6%-3.4%-7.1%383.3K-4.5M-427.0K0.5140.86N/AN/A2221131,189684
2021-11-11$1500.00$1800.0075.0%21.5%65.7%25.6%78.6%-0.0%-2.7%-151.0K20.8M-338.3K0.5060.31N/AN/A110551,160634
2021-11-12$1480.80$1800.0072.0%20.6%64.3%23.4%74.6%0.1%-2.2%-196.7K21.6M-337.0K0.4861.43N/AN/A74351,184628
2021-11-15$1595.20$1800.0067.4%19.3%70.7%19.9%69.5%-1.3%1.0%117.8K9.0M-354.3K0.2866.54N/AN/A90251,193614
2021-11-16$1584.00$1800.0065.8%18.9%70.5%18.7%67.8%-0.8%1.9%74.6K9.9M-348.5K0.3363.93N/AN/A65221,194613
2021-11-17$1493.60$1800.0069.5%19.9%72.0%21.5%69.1%2.1%-0.7%-201.2K22.5M-316.0K0.2353.91N/AN/A77181,204613
2021-11-18$1359.20$1800.0068.8%19.7%77.5%21.0%74.5%4.1%1.8%-394.0K34.4M-273.1K1.0060.96N/AN/A96971,224614
2021-11-19$1324.00$1800.0069.8%20.0%73.5%21.7%77.5%1.3%1.5%41.5K33.0M-270.5K0.487.05N/AN/A44211,249605
2021-11-22$1340.00$1800.0069.3%19.9%73.9%21.4%75.0%-2.3%2.4%43.7K19.9M-270.2K0.5756.98N/AN/A52291,008470
2021-11-23$1255.20$1800.0078.5%22.5%76.1%28.3%81.0%2.8%-2.2%-12.6K22.5M-246.8K1.0016.70N/AN/A1061061,011485
2021-11-24$1259.20$1600.0076.5%21.9%76.2%26.8%76.3%6.0%1.4%-11.5K21.9M-266.2K0.7147.39N/AN/A52371,068535
2021-11-26$1248.00$1600.0088.3%25.3%75.7%35.7%87.0%5.2%-2.4%-30.3K22.8M-265.7K0.5354.76N/AN/A59311,071556
2021-11-29$1180.00$1600.0082.3%23.6%77.3%31.2%85.0%3.6%-1.6%-57.7K23.6M-261.5K2.0549.61N/AN/A921891,090558
2021-11-30$1107.20$1600.0085.5%24.5%73.2%33.6%87.2%2.0%-1.5%-98.5K28.2M-238.2K0.9353.33N/AN/A72671,119627