VRM Options History — December 2021

In December 2021, VRM traded between $816.00 and $1088.80. ATM implied volatility averaged 94.6%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 26.4%. IV traded above realized volatility by 15.6% (HV 20d: 79.0%). Max pain ranged from $1400.00 to $1600.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.45.

Notable Days

  • 2021-12-06: Highest Volume — 497 contracts
  • 2021-12-13: Largest IV spike — 25.0% change
  • 2021-12-14: Highest IV Rank — 61.7%
  • 2021-12-03: Largest Expected Move — 29.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$930.76$816.00$1088.80$1079.20$867.20
Max Pain$1590.91$1400.00$1600.00$1600.00$1400.00
ATM IV94.6%81.8%122.8%91.8%90.1%
Expected Move26.4%24.3%29.0%26.3%25.8%
HV 20d79.0%69.5%87.9%73.2%87.8%
HV 60d65.6%58.3%72.0%58.3%71.8%
IV Rank40.5%30.8%61.7%38.3%37.1%
IV Percentile90.1%75.0%98.0%91.7%84.9%
Term Structure-1.4%-13.0%2.6%-2.6%-2.1%
VWIV93.8%88.1%111.7%88.1%91.1%
Skew 25d7.7%0.5%15.0%6.5%6.2%
Skew 10d13.7%-1.1%26.3%10.1%13.4%
Call IV 25d91.7%84.7%103.2%89.5%91.7%
Put IV 25d99.4%89.7%114.3%96.0%97.9%
Bid-Ask Spread %53.8425.6965.8057.6048.79
Gamma HHI0.160.120.200.130.20
Net GEX2.5K-100.3K74.7K-75.3K31.4K
Net DEX17.6M10.0M30.1M25.8M11.0M
Net VEX-306.3K-387.7K-209.9K-254.4K-302.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.105.250.651.05
Total Volume123.0915149710481
Total OI2,143.5451,7742,5141,7742,125

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$1079.20$1600.0091.8%26.3%73.2%38.3%88.1%6.5%-2.6%-75.3K25.8M-254.4K0.6557.60N/AN/A63411,143631
2021-12-02$1088.80$1600.0091.3%26.2%73.7%38.0%89.7%4.3%-3.9%-83.6K28.0M-238.9K0.5362.42N/AN/A33181,153638
2021-12-03$1000.00$1600.00101.3%29.0%77.2%45.5%111.7%11.1%-6.1%-100.3K30.1M-209.9K1.3858.21N/AN/A45621,159640
2021-12-06$1079.20$1600.0097.5%26.4%84.5%42.7%101.1%4.2%-0.9%-87.8K26.7M-241.1K0.1059.99N/AN/A452451,171689
2021-12-07$1063.20$1600.0093.7%25.4%84.3%39.8%93.1%5.4%-0.8%58.3K14.9M-380.1K2.3560.22N/AN/A29671,565698
2021-12-08$1085.60$1600.0091.8%24.7%85.2%38.3%90.6%6.1%1.2%74.7K13.6M-387.7K1.4355.84N/AN/A47671,579703
2021-12-09$981.60$1600.0088.0%24.3%82.8%35.5%88.2%0.5%2.2%6.8K18.6M-362.6K1.2660.53N/AN/A48601,596704
2021-12-10$964.00$1600.0081.8%24.7%77.8%30.8%96.4%3.6%2.6%6.5K19.8M-343.7K0.6557.02N/AN/A71461,611707
2021-12-13$925.60$1600.00102.3%25.0%78.0%46.2%91.3%4.3%2.4%-1.6K21.3M-320.8K1.2559.99N/AN/A31381,648710
2021-12-14$873.60$1600.00122.8%27.1%69.6%61.7%95.7%4.5%-0.9%-1.4K21.9M-305.1K1.3525.69N/AN/A46631,657714
2021-12-15$876.80$1600.0097.4%27.9%70.2%42.5%98.6%9.5%1.3%2.4K21.1M-303.6K2.4357.88N/AN/A40971,675719
2021-12-16$842.40$1600.0092.0%26.4%69.5%38.5%92.0%9.4%-7.4%19.1K18.5M-319.1K5.2565.80N/AN/A432251,703763
2021-12-17$895.20$1600.0096.4%27.6%71.8%41.8%91.7%10.9%-13.0%14.0K20.3M-316.3K1.1355.53N/AN/A44501,709805
2021-12-20$821.60$1600.0095.9%27.5%75.4%41.4%97.9%13.1%-0.3%1614.6M-290.0K1.9754.82N/AN/A36721,328688
2021-12-21$888.00$1600.0095.3%27.3%82.8%41.0%90.5%10.6%-4.5%41.7K10.4M-324.0K1.9344.55N/AN/A28531,339680
2021-12-22$860.00$1600.0092.6%26.5%81.3%38.9%91.7%15.0%1.2%17.3K12.7M-307.0K1.5251.88N/AN/A48721,346682
2021-12-23$878.40$1600.0091.7%26.3%82.1%38.3%93.8%6.7%2.2%25.4K11.0M-318.7K1.0459.87N/AN/A63661,362712
2021-12-27$848.80$1600.0091.4%26.2%82.3%38.0%93.6%11.3%-1.0%31.2K10.8M-300.1K1.6340.58N/AN/A28461,379712
2021-12-28$850.40$1600.0091.3%26.2%81.4%37.9%92.4%6.8%0.9%23.6K12.1M-304.0K1.3753.53N/AN/A27371,382717
2021-12-29$816.00$1600.0088.8%25.5%80.1%36.0%90.4%12.2%2.1%8.6K13.5M-287.3K0.8246.89N/AN/A45371,392718
2021-12-30$891.20$1600.0096.7%27.7%87.9%42.0%93.2%7.4%-4.3%43.2K10.0M-321.7K0.7146.96N/AN/A57411,387719
2021-12-31$867.20$1400.0090.1%25.8%87.8%37.1%91.1%6.2%-2.1%31.4K11.0M-302.4K1.0548.79N/AN/A40411,402723