VRM Options History — June 2022

In June 2022, VRM traded between $85.60 and $130.40. ATM implied volatility averaged 145.0%, placing in the 41.1% IV rank vs the trailing year. The 30-day expected move averaged 41.7%. IV traded above realized volatility by 15.4% (HV 20d: 129.5%). Max pain ranged from $120.00 to $400.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2022-06-23: Highest Volume — 2,554 contracts
  • 2022-06-23: Largest IV spike — 59.0% change
  • 2022-06-28: Highest IV Rank — 55.6%
  • 2022-06-28: Largest Expected Move — 52.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.51$85.60$130.40$106.40$100.00
Max Pain$270.48$120.00$400.00$120.00$160.00
ATM IV145.0%112.9%181.6%162.2%146.5%
Expected Move41.7%32.4%52.1%46.5%42.0%
HV 20d129.5%95.5%164.6%163.8%157.6%
HV 60d125.5%119.0%139.7%123.0%138.4%
IV Rank41.1%28.5%55.6%48.0%41.8%
IV Percentile72.4%58.7%84.5%79.0%71.4%
Term Structure1.7%-28.7%62.5%-12.1%19.6%
VWIV152.9%116.3%191.8%160.8%153.1%
Skew 25d-8.6%-82.8%63.7%-71.5%17.8%
Skew 10d17.0%-114.5%73.8%-10.4%73.8%
Call IV 25d149.6%94.9%193.9%178.7%138.6%
Put IV 25d141.1%86.8%193.1%107.1%156.4%
Bid-Ask Spread %28.004.8356.7612.365.06
Gamma HHI0.160.110.280.120.26
Net GEX31.7K6.0K135.3K24.5K41.6K
Net DEX311.4K-7.7M2.6M1.6M-309.8K
Net VEX-38.7K-73.8K-22.4K-40.5K-54.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.201.901.900.30
Total Volume284.476872,554146172
Total OI3,2032,5905,0832,6435,083

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$106.40$120.00162.2%46.5%163.8%48.0%160.8%-71.5%-12.1%24.5K1.6M-40.5K1.9012.36N/AN/A50961,930713
2022-06-02$111.20$400.00146.5%40.1%164.6%41.8%154.3%-5.8%16.9%24.3K2.0M-39.9K1.0615.60N/AN/A65681,929716
2022-06-03$104.00$400.00141.8%40.6%162.0%39.9%148.3%-27.4%-1.1%20.7K2.4M-35.2K1.0918.97N/AN/A63681,941728
2022-06-06$97.60$400.00132.5%37.5%162.3%36.2%145.9%-29.3%-10.4%15.4K2.5M-30.0K0.7618.09N/AN/A68511,948704
2022-06-07$104.00$320.00116.1%38.2%143.7%29.7%137.6%-15.4%1.7%18.8K2.1M-31.4K0.4638.09N/AN/A68321,962667
2022-06-08$103.20$320.00125.8%36.1%105.0%33.5%128.2%-22.7%10.3%16.2K2.5M-26.3K0.5943.74N/AN/A66391,973666
2022-06-09$94.40$320.00146.8%42.1%107.2%41.9%154.1%3.9%-2.5%15.6K2.2M-26.7K1.2537.87N/AN/A61761,984658
2022-06-10$93.60$320.00140.0%40.1%105.0%39.2%154.3%2.8%12.8%6.0K2.6M-24.6K0.9017.22N/AN/A77701,993681
2022-06-13$85.60$320.00142.4%40.8%95.5%40.1%149.4%5.3%-18.1%7.1K2.3M-22.4K0.3448.27N/AN/A96332,023675
2022-06-14$88.80$320.00139.3%39.9%96.0%38.9%140.5%-9.5%-1.7%8.1K1.8M-26.5K0.2744.90N/AN/A120322,067675
2022-06-15$98.40$320.00146.9%42.1%104.4%41.9%143.8%63.7%4.6%13.6K1.0M-31.9K0.2956.76N/AN/A111322,135674
2022-06-16$89.60$320.00140.2%40.2%103.2%39.3%138.5%13.4%11.1%12.1K850.6K-30.2K0.6853.27N/AN/A64442,175637
2022-06-17$92.80$280.00122.4%35.1%100.3%32.2%135.2%3.7%25.5%14.4K920.0K-28.8K0.4756.29N/AN/A77362,178608
2022-06-21$96.80$240.00148.4%42.5%102.1%42.5%137.3%24.1%-19.7%12.2K526.2K-28.5K0.4943.93N/AN/A67332,014576
2022-06-22$96.00$240.00112.9%32.4%101.0%28.5%116.3%20.9%62.5%14.2K507.9K-30.2K0.5337.54N/AN/A57302,035579
2022-06-23$128.80$240.00179.6%51.5%144.0%54.8%187.7%6.7%-8.5%28.3K-1.6M-43.3K0.396.88N/AN/A1,8437112,052572
2022-06-24$121.60$160.00165.8%47.5%141.7%49.4%179.6%-10.3%-9.0%111.0K-5.4M-67.4K0.208.09N/AN/A332653,4811,212
2022-06-27$130.40$160.00176.9%50.7%143.6%53.8%191.8%1.3%-1.5%135.3K-7.7M-73.8K0.477.30N/AN/A196933,5111,240
2022-06-28$109.60$160.00181.6%52.1%157.1%55.6%184.0%-68.5%-15.9%83.3K-3.5M-62.6K0.794.83N/AN/A2662093,5411,302
2022-06-29$100.00$160.00129.4%37.1%159.9%35.0%169.7%-82.8%-28.7%43.3K-800.2K-58.7K0.4912.98N/AN/A159783,6231,402
2022-06-30$100.00$160.00146.5%42.0%157.6%41.8%153.1%17.8%19.6%41.6K-309.8K-54.0K0.305.06N/AN/A132403,6301,453