VRM Options History — March 2022

In March 2022, VRM traded between $188.00 and $269.60. ATM implied volatility averaged 170.5%, placing in the 86.2% IV rank vs the trailing year. The 30-day expected move averaged 48.1%. IV traded below realized volatility by 36.3% (HV 20d: 206.8%). Max pain ranged from $200.00 to $600.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 0.58.

Notable Days

  • 2022-03-23: Highest Volume — 1,008 contracts
  • 2022-03-08: Largest IV drop — 21.5% change
  • 2022-03-01: Highest IV Rank — 100.0%
  • 2022-03-30: Largest Expected Move — 56.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$228.42$188.00$269.60$269.60$218.40
Max Pain$345.45$200.00$600.00$600.00$200.00
ATM IV170.5%138.2%202.0%176.6%191.2%
Expected Move48.1%36.0%56.7%50.6%56.7%
HV 20d206.8%103.5%231.8%218.8%105.1%
HV 60d149.7%145.9%152.8%147.1%152.5%
IV Rank86.2%65.0%100.0%100.0%93.2%
IV Percentile97.7%92.5%100.0%100.0%97.6%
Term Structure-16.9%-34.3%5.7%-28.6%5.7%
VWIV177.4%128.1%220.6%166.5%214.7%
Skew 25d-22.0%-50.5%10.0%-5.5%-31.1%
Skew 10d-36.2%-91.1%7.6%-28.8%-41.9%
Call IV 25d188.2%146.4%250.2%176.7%221.8%
Put IV 25d166.2%136.5%199.6%171.2%190.7%
Bid-Ask Spread %17.257.5854.8712.5210.85
Gamma HHI0.330.190.490.370.33
Net GEX20.6K-52.9K116.1K-37.0K65.1K
Net DEX7.2M-525.1K14.0M14.0M4.1M
Net VEX-105.7K-144.1K-69.5K-87.6K-118.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.072.951.800.29
Total Volume277.13771,00870492
Total OI3,431.8262,5604,0622,5604,062

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$269.60$600.00176.6%50.6%218.8%100.0%166.5%-5.5%-28.6%-37.0K14.0M-87.6K1.8012.52N/AN/A2524521,621939
2022-03-02$236.80$400.00157.1%45.0%217.9%85.6%189.5%-1.3%-24.3%-16.7K9.6M-106.3K0.477.92N/AN/A4602151,7751,055
2022-03-03$234.40$400.00163.3%46.8%218.0%90.2%177.8%-8.0%-19.0%-1.9K7.9M-115.9K0.307.81N/AN/A97292,0941,163
2022-03-04$236.00$400.00168.3%48.3%218.6%93.9%178.8%10.0%-23.7%-4.0K9.4M-106.8K0.397.58N/AN/A57232,1121,164
2022-03-07$231.20$400.00190.6%54.6%217.4%100.0%192.5%0.7%-20.4%-5.4K9.7M-104.3K0.5510.01N/AN/A58322,1091,164
2022-03-08$218.40$400.00149.6%49.7%217.4%72.6%177.3%-16.0%-24.4%-18.9K11.2M-88.0K0.2910.16N/AN/A104302,1171,159
2022-03-09$236.80$400.00138.2%50.1%220.3%65.0%175.6%-15.4%-17.5%-18.4K9.8M-105.1K0.849.87N/AN/A59492,1711,159
2022-03-10$228.80$400.00141.9%48.1%214.7%67.4%184.7%-17.1%-11.5%-16.6K9.9M-102.4K0.3210.05N/AN/A58192,1751,188
2022-03-11$219.20$400.00140.5%45.5%214.8%66.5%158.8%-9.4%-17.5%-33.0K10.1M-101.5K1.109.75N/AN/A42462,1851,188
2022-03-14$188.00$600.00159.8%36.0%217.9%79.4%135.5%-19.3%-34.3%-36.8K11.1M-76.7K0.2620.80N/AN/A93242,1871,187
2022-03-15$197.60$600.00146.3%37.3%220.6%70.4%149.2%-23.0%-16.0%-52.2K11.8M-69.5K2.9551.07N/AN/A561652,2041,179
2022-03-16$212.00$600.00142.2%36.7%220.3%67.7%128.1%-14.2%-11.9%-52.9K10.8M-87.5K1.3654.87N/AN/A751022,2131,133
2022-03-17$212.80$0.00139.0%39.5%221.2%65.5%139.9%-22.1%1.0%-34.7K11.1M-75.0K0.3824.92N/AN/A63242,2251,081
2022-03-18$229.60$200.00155.2%43.2%225.3%76.3%161.2%-37.6%-5.3%-3.6K9.7M-86.6K0.0729.82N/AN/A377262,2471,077
2022-03-21$217.60$200.00186.2%45.5%225.4%97.1%173.1%-31.1%-30.6%36.4K5.4M-97.0K0.0719.24N/AN/A691492,025935
2022-03-22$240.00$200.00186.4%46.9%230.7%97.2%171.7%-18.9%-25.6%90.3K4.4M-97.8K0.2216.44N/AN/A244552,394960
2022-03-23$250.40$200.00198.9%51.6%231.8%100.0%188.4%-50.5%-24.4%104.2K-525.1K-126.2K0.3116.63N/AN/A7672412,427971
2022-03-24$244.00$200.00196.5%51.6%229.0%98.5%198.3%-20.1%-21.6%112.1K-22.6K-144.1K0.1213.65N/AN/A394482,6741,176
2022-03-25$226.40$200.00195.1%55.7%227.6%97.6%206.9%-46.0%-0.2%93.0K270.5K-134.1K0.1911.82N/AN/A190362,7841,200
2022-03-28$228.80$200.00198.0%55.0%228.3%99.4%198.3%-41.1%-15.4%96.2K2.1M-131.4K0.2515.78N/AN/A153392,8001,211
2022-03-29$246.40$200.00197.5%55.5%110.9%99.1%193.9%-39.7%-2.7%116.1K1.0M-134.7K0.4012.34N/AN/A81322,8011,226
2022-03-30$230.40$200.00202.0%56.7%103.5%100.0%220.6%-48.3%-20.2%93.4K1.5M-133.3K0.4112.82N/AN/A124512,7941,221
2022-03-31$218.40$200.00191.2%56.7%105.1%93.2%214.7%-31.1%5.7%65.1K4.1M-118.1K0.2910.85N/AN/A71212,8201,242