VRM Options History — January 2022

In January 2022, VRM traded between $549.60 and $897.60. ATM implied volatility averaged 103.7%, placing in the 47.3% IV rank vs the trailing year. The 30-day expected move averaged 29.7%. IV traded above realized volatility by 16.1% (HV 20d: 87.6%). Max pain ranged from $800.00 to $1400.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.35.

Notable Days

  • 2022-01-18: Highest Volume — 344 contracts
  • 2022-01-28: Largest IV drop — 9.9% change
  • 2022-01-24: Highest IV Rank — 60.8%
  • 2022-01-24: Largest Expected Move — 34.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$684.68$549.60$897.60$897.60$638.40
Max Pain$910.00$800.00$1400.00$1400.00$800.00
ATM IV103.7%90.0%121.6%93.4%110.3%
Expected Move29.7%25.8%34.9%26.8%31.6%
HV 20d87.6%79.1%100.0%84.7%100.0%
HV 60d78.2%72.2%86.5%72.2%86.5%
IV Rank47.3%37.0%60.8%39.5%52.3%
IV Percentile92.9%82.9%97.6%89.7%94.4%
Term Structure1.3%-6.6%9.4%-1.8%4.0%
VWIV105.7%91.9%122.1%92.8%107.5%
Skew 25d10.7%0.1%23.3%0.1%16.0%
Skew 10d20.8%-9.7%62.6%10.4%62.6%
Call IV 25d104.5%90.1%120.8%94.7%109.6%
Put IV 25d115.1%94.8%142.7%94.8%125.6%
Bid-Ask Spread %32.5013.6855.9046.5418.71
Gamma HHI0.170.140.210.200.17
Net GEX21.8K-29.8K66.0K37.7K13.4K
Net DEX11.7M-1.8M18.0M10.9M6.1M
Net VEX-261.9K-309.6K-226.8K-309.6K-260.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.204.340.941.96
Total Volume132.2603448577
Total OI2,310.42,1112,6972,1302,259

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$897.60$1400.0093.4%26.8%84.7%39.5%92.8%0.1%-1.8%37.7K10.9M-309.6K0.9446.54N/AN/A44411,407723
2022-01-04$882.40$1400.0095.0%27.2%79.1%40.7%93.2%7.4%-1.9%40.5K11.6M-307.4K0.8855.90N/AN/A46401,417726
2022-01-05$779.20$1400.0093.2%26.7%88.9%39.4%94.5%5.3%-6.6%93716.4M-257.9K1.0350.26N/AN/A45461,426729
2022-01-06$765.60$1000.0092.6%25.8%87.9%38.9%92.5%7.6%3.6%9.2K15.6M-269.0K1.1129.73N/AN/A39431,498735
2022-01-07$783.20$1000.0090.0%26.0%83.2%37.0%91.9%11.3%4.5%29.5K14.1M-287.4K0.8635.21N/AN/A43371,515738
2022-01-10$730.40$800.0097.5%27.4%85.7%42.6%101.4%11.6%-0.6%11.0K17.2M-245.3K1.1525.58N/AN/A52591,519734
2022-01-11$775.20$800.0094.3%27.1%88.9%40.2%102.8%11.6%2.8%31.4K14.8M-262.7K1.0527.69N/AN/A42441,534741
2022-01-12$750.40$800.0092.5%26.5%87.5%38.9%102.4%11.1%2.1%43.1K16.0M-253.9K2.1648.03N/AN/A37791,546749
2022-01-13$696.80$800.00101.1%29.0%90.4%45.3%99.6%3.9%2.7%33.9K17.7M-236.7K0.2039.34N/AN/A232481,557752
2022-01-14$636.80$800.0099.6%28.5%94.2%44.2%100.8%14.1%2.6%36.3K17.3M-235.7K1.0247.30N/AN/A1421441,648763
2022-01-18$608.80$800.00107.0%30.7%90.5%49.8%109.2%12.4%-0.9%14.5K18.0M-235.4K0.4226.09N/AN/A2421021,730867
2022-01-19$596.00$800.00102.6%29.4%87.0%46.5%106.1%13.1%3.5%3.0K17.3M-244.1K0.5924.63N/AN/A62371,763910
2022-01-20$620.80$800.00107.6%30.8%82.6%50.2%108.1%9.3%3.4%24.8K13.3M-267.9K1.3013.68N/AN/A51661,767898
2022-01-21$592.00$800.00117.3%33.6%83.1%57.6%118.2%13.2%-2.6%-29.8K14.7M-247.9K0.3225.66N/AN/A127401,775922
2022-01-24$632.00$800.00121.6%34.9%87.3%60.8%122.1%23.3%-1.2%66.0K3.0M-274.5K4.0225.97N/AN/A321271,347764
2022-01-25$627.20$800.00117.0%33.5%87.1%57.3%119.8%16.7%0.4%62.2K-1.8M-278.2K2.2228.81N/AN/A32711,355777
2022-01-26$574.40$800.00118.2%33.9%90.6%58.3%121.6%9.3%-0.2%24.4K615.9K-260.8K0.8840.59N/AN/A32291,371804
2022-01-27$549.60$800.00116.9%33.5%90.7%57.3%120.0%7.6%2.5%13.2K844.8K-276.2K4.3425.29N/AN/A291251,386806
2022-01-28$556.80$800.00105.4%30.2%82.3%48.6%110.4%8.3%9.4%-29.7K10.8M-226.8K0.6314.95N/AN/A37231,391859
2022-01-31$638.40$800.00110.3%31.6%100.0%52.3%107.5%16.0%4.0%13.4K6.1M-260.6K1.9618.71N/AN/A26511,400859