VRM Options History — February 2022

In February 2022, VRM traded between $446.40 and $672.00. ATM implied volatility averaged 128.2%, placing in the 65.8% IV rank vs the trailing year. The 30-day expected move averaged 37.3%. IV traded above realized volatility by 26.2% (HV 20d: 102.0%). Max pain ranged from $600.00 to $800.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 1.54.

Notable Days

  • 2022-02-25: Highest Volume — 482 contracts
  • 2022-02-28: Largest IV spike — 12.9% change
  • 2022-02-28: Highest IV Rank — 96.6%
  • 2022-02-28: Largest Expected Move — 48.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$553.68$446.40$672.00$672.00$480.00
Max Pain$621.05$600.00$800.00$800.00$600.00
ATM IV128.2%107.5%169.0%110.7%169.0%
Expected Move37.3%31.4%48.4%31.7%48.4%
HV 20d102.0%98.0%104.9%101.3%104.9%
HV 60d89.0%86.8%91.4%87.5%91.4%
IV Rank65.8%50.2%96.6%52.6%96.6%
IV Percentile96.8%92.5%99.6%94.4%99.6%
Term Structure-10.2%-41.7%5.5%5.5%-29.2%
VWIV133.6%109.2%174.4%109.7%174.4%
Skew 25d5.9%-11.5%17.3%12.6%-6.1%
Skew 10d13.0%-51.0%88.8%88.8%26.1%
Call IV 25d131.2%106.0%179.0%106.0%179.0%
Put IV 25d137.1%97.5%172.9%118.6%172.9%
Bid-Ask Spread %18.849.7740.4216.359.77
Gamma HHI0.200.170.270.170.27
Net GEX-44.6K-145.3K42.8K42.8K-3.9K
Net DEX6.4M140.2K14.1M3.0M2.5M
Net VEX-240.1K-287.5K-178.3K-287.5K-225.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.215.161.390.61
Total Volume116.3684548245361
Total OI2,400.8952,2862,5602,2862,470

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-02-01$672.00$800.00110.7%31.7%101.3%52.6%109.7%12.6%5.5%42.8K3.0M-287.5K1.3916.35N/AN/A19261,405881
2022-02-02$617.60$800.00109.6%31.4%104.3%51.8%109.2%-11.5%4.3%3.4K5.3M-245.7K3.1514.19N/AN/A15461,407885
2022-02-03$572.80$600.00109.8%34.4%99.0%51.9%120.2%12.9%-4.5%-30.9K5.2M-259.8K1.3936.91N/AN/A19271,410903
2022-02-04$586.40$600.00107.5%33.8%99.9%50.2%126.2%14.5%-5.3%-27.5K140.2K-276.3K1.6025.26N/AN/A19301,417902
2022-02-07$560.00$600.00113.8%34.3%99.6%55.0%121.4%14.2%-3.6%-45.0K4.6M-262.5K1.2615.33N/AN/A31391,420905
2022-02-08$579.20$600.00108.9%34.1%99.1%51.2%119.5%17.3%-5.3%-45.9K6.7M-248.3K1.9812.79N/AN/A18351,439916
2022-02-09$632.80$600.00118.3%33.9%102.3%58.3%126.4%4.5%-4.0%2.9K2.6M-268.9K0.3819.51N/AN/A131501,444916
2022-02-10$598.40$600.00119.5%34.3%103.3%59.2%122.7%11.9%-2.3%-44.0K5.9M-256.5K0.4916.67N/AN/A43211,485945
2022-02-11$563.20$600.00124.5%35.7%102.4%63.0%150.3%16.1%-5.5%-68.6K6.6M-263.5K5.1616.01N/AN/A241261,492956
2022-02-14$554.40$600.00129.3%37.1%98.0%66.6%140.2%8.7%-9.4%-98.1K8.5M-249.3K1.4415.15N/AN/A24341,488990
2022-02-15$597.60$600.00134.5%38.6%101.0%70.6%140.4%11.5%-14.7%-114.3K4.5M-269.0K0.8420.64N/AN/A45371,493993
2022-02-16$568.00$600.00123.7%35.5%102.4%62.4%127.9%9.2%-9.5%-145.3K8.6M-233.8K1.7330.58N/AN/A22381,5031,006
2022-02-17$528.00$600.00135.3%38.8%104.0%71.2%138.9%-4.9%-12.5%-35.9K12.0M-204.3K2.1340.42N/AN/A46981,5101,018
2022-02-18$507.20$600.00131.4%37.7%103.6%68.2%135.2%-1.8%-9.2%-42.0K14.1M-210.1K1.729.88N/AN/A34591,5331,027
2022-02-22$480.00$600.00146.5%42.0%101.2%79.6%140.6%1.6%-41.7%-47.4K6.4M-206.8K0.5712.07N/AN/A35201,413923
2022-02-23$446.40$600.00142.5%40.8%103.2%76.6%146.5%-11.3%-11.6%-46.2K5.6M-195.1K1.2111.52N/AN/A33401,428924
2022-02-24$477.60$600.00151.0%43.3%103.8%83.0%147.4%5.7%-21.2%-65.5K11.9M-178.3K1.9114.94N/AN/A29551,440941
2022-02-25$498.40$600.00149.7%42.9%104.5%82.0%141.8%6.6%-14.9%-36.0K7.4M-221.5K0.2120.01N/AN/A397851,450939
2022-02-28$480.00$600.00169.0%48.4%104.9%96.6%174.4%-6.1%-29.2%-3.9K2.5M-225.7K0.619.77N/AN/A2241371,547923