VRM Options History — May 2022

In May 2022, VRM traded between $87.20 and $128.00. ATM implied volatility averaged 195.6%, placing in the 67.4% IV rank vs the trailing year. The 30-day expected move averaged 52.9%. IV traded above realized volatility by 55.9% (HV 20d: 139.7%). Max pain ranged from $120.00 to $200.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2022-05-10: Highest Volume — 683 contracts
  • 2022-05-11: Largest IV drop — 28.1% change
  • 2022-05-06: Highest IV Rank — 100.0%
  • 2022-05-09: Largest Expected Move — 58.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.59$87.20$128.00$126.40$115.20
Max Pain$129.52$120.00$200.00$200.00$120.00
ATM IV195.6%156.4%293.6%192.9%158.1%
Expected Move52.9%44.8%58.8%55.3%45.3%
HV 20d139.7%81.4%164.4%91.0%161.6%
HV 60d153.5%122.0%168.7%149.4%122.2%
IV Rank67.4%45.7%100.0%85.1%46.4%
IV Percentile90.5%78.2%100.0%95.6%78.2%
Term Structure-18.8%-43.7%-2.8%-27.2%-10.9%
VWIV187.4%156.9%220.0%197.1%156.9%
Skew 25d-1.9%-37.3%31.4%17.9%24.9%
Skew 10d1.9%-137.8%96.0%-31.8%88.2%
Call IV 25d192.1%152.2%230.7%201.2%154.6%
Put IV 25d190.2%165.6%231.6%219.1%179.5%
Bid-Ask Spread %18.9010.5230.4815.6012.06
Gamma HHI0.240.110.560.250.12
Net GEX16.5K-70.9K41.7K34.8K27.7K
Net DEX1.7M-504.6K5.1M1.5M1.1M
Net VEX-49.0K-66.3K-33.6K-56.4K-45.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.121.900.761.90
Total Volume182.6197968399207
Total OI3,530.6672,4024,2783,4852,608

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-05-02$126.40$200.00192.9%55.3%91.0%85.1%197.1%17.9%-27.2%34.8K1.5M-56.4K0.7615.60N/AN/A56432,523962
2022-05-03$124.80$200.00200.5%57.5%82.1%89.3%220.0%14.0%-36.6%28.9K2.9M-46.1K0.1913.84N/AN/A115222,544959
2022-05-04$127.20$160.00203.5%58.3%81.4%91.0%209.5%15.9%-43.7%37.6K1.3M-55.6K0.8416.30N/AN/A52442,537960
2022-05-05$114.40$120.00212.2%48.9%84.6%95.9%172.1%-16.9%-9.2%27.1K1.8M-48.2K0.1228.69N/AN/A317382,558938
2022-05-06$108.00$120.00232.6%54.6%84.9%100.0%187.2%3.8%-29.3%28.3K2.1M-43.5K0.9224.89N/AN/A41382,7451,006
2022-05-09$87.20$120.00293.6%58.8%107.8%100.0%206.5%-33.3%-26.5%13.4K3.1M-33.6K0.2523.37N/AN/A129332,7791,019
2022-05-10$114.40$120.00259.7%58.0%153.4%86.6%208.0%-37.3%-18.0%35.8K-245.3K-60.4K0.1725.11N/AN/A5821012,8411,028
2022-05-11$107.20$120.00186.7%53.5%154.1%57.7%197.7%-11.7%-2.8%11.8K1.8M-53.0K0.1825.92N/AN/A210382,9931,050
2022-05-12$112.80$120.00194.5%55.8%156.0%60.8%215.3%-7.3%-27.1%31.9K1.1M-54.5K0.2124.25N/AN/A160343,0541,054
2022-05-13$128.00$120.00191.4%54.9%164.0%59.5%193.6%-2.8%-2.8%41.7K-504.6K-66.3K0.3718.14N/AN/A207763,1151,059
2022-05-16$120.00$120.00179.1%51.3%164.4%54.7%197.3%-35.6%-17.0%15.3K568.7K-60.5K0.3322.35N/AN/A110363,1781,067
2022-05-17$121.60$120.00187.7%53.8%163.9%58.1%184.0%-18.3%-13.0%-17.5K1.3M-54.4K0.4530.48N/AN/A56253,2071,071
2022-05-18$109.60$120.00198.4%56.9%161.1%62.3%188.1%-10.4%-13.8%-29.4K2.5M-48.8K0.5224.56N/AN/A53273,2121,066
2022-05-19$117.60$120.00174.7%50.1%163.0%52.9%177.3%-1.3%-4.8%-70.9K2.5M-49.4K1.0216.27N/AN/A56573,2051,064
2022-05-20$116.80$120.00185.3%53.1%162.8%57.1%182.1%-5.0%-19.3%22.7K5.1M-47.2K0.5614.15N/AN/A80453,2041,071
2022-05-23$111.20$120.00182.1%52.2%157.6%55.9%174.6%13.0%-21.6%21.2K734.5K-44.1K1.3010.52N/AN/A65851,784618
2022-05-24$103.20$120.00187.0%53.6%156.3%57.8%181.1%-10.7%-20.7%18.7K1.3M-38.1K1.5512.42N/AN/A51791,807639
2022-05-25$114.40$120.00170.9%49.0%161.6%51.4%163.0%31.4%-19.7%20.9K1.8M-40.0K0.6811.73N/AN/A72491,828672
2022-05-26$114.40$120.00156.4%44.8%161.3%45.7%162.9%17.6%-26.0%22.6K1.6M-42.2K0.6814.47N/AN/A123841,847669
2022-05-27$112.00$120.00160.9%46.1%161.3%47.5%161.7%11.9%-4.5%24.9K1.6M-42.3K1.0011.79N/AN/A69701,902701
2022-05-31$115.20$120.00158.1%45.3%161.6%46.4%156.9%24.9%-10.9%27.7K1.1M-45.6K1.9012.06N/AN/A711361,913695