VRM Options History — July 2022

In July 2022, VRM traded between $101.60 and $157.60. ATM implied volatility averaged 158.8%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 45.6%. IV traded above realized volatility by 10.5% (HV 20d: 148.3%). Max pain ranged from $120.00 to $160.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.26.

Notable Days

  • 2022-07-21: Highest Volume — 319 contracts
  • 2022-07-07: Largest IV spike — 19.4% change
  • 2022-07-12: Highest IV Rank — 53.7%
  • 2022-07-20: Largest Expected Move — 48.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$124.60$101.60$157.60$101.60$119.20
Max Pain$122.00$120.00$160.00$160.00$120.00
ATM IV158.8%138.6%179.9%149.5%158.5%
Expected Move45.6%41.1%48.9%42.9%45.5%
HV 20d148.3%116.1%161.5%156.8%116.6%
HV 60d142.1%137.8%145.4%137.8%145.4%
IV Rank45.0%37.7%53.7%42.9%44.0%
IV Percentile73.9%64.3%83.7%73.0%71.8%
Term Structure-12.7%-28.9%13.9%13.9%-3.9%
VWIV164.6%149.7%190.7%150.2%183.7%
Skew 25d-26.1%-71.6%10.0%-39.5%-71.6%
Skew 10d-33.1%-109.6%49.2%24.2%-41.3%
Call IV 25d169.3%135.8%202.2%135.8%194.7%
Put IV 25d143.2%96.4%169.7%96.4%123.2%
Bid-Ask Spread %18.325.6325.845.6316.38
Gamma HHI0.270.220.320.250.26
Net GEX77.3K44.0K156.5K49.4K50.1K
Net DEX-5.5M-12.6M-727.0K-727.0K-6.0M
Net VEX-59.4K-70.5K-52.0K-55.0K-54.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.140.550.320.37
Total Volume166.859331911893
Total OI4,644.153,8465,3115,1384,223

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-07-01$101.60$160.00149.5%42.9%156.8%42.9%150.2%-39.5%13.9%49.4K-727.0K-55.0K0.325.63N/AN/A89293,6761,462
2022-07-05$115.20$120.00165.1%47.8%161.5%49.1%168.3%9.9%-26.8%94.6K-2.2M-57.0K0.3623.73N/AN/A108383,6891,462
2022-07-06$112.80$120.00140.0%46.7%159.8%39.2%162.1%10.0%-20.0%70.2K-1.3M-55.3K0.3622.21N/AN/A107393,7031,450
2022-07-07$122.40$120.00167.2%45.7%160.7%49.9%159.5%-18.1%-13.0%128.5K-4.1M-62.9K0.2316.42N/AN/A129303,7191,451
2022-07-08$126.40$120.00138.6%43.6%160.8%38.6%151.3%-14.2%-18.6%156.5K-4.8M-65.7K0.2018.22N/AN/A122253,7541,452
2022-07-11$115.20$120.00159.0%45.4%161.1%46.7%167.5%-9.2%-17.3%74.4K-2.6M-59.7K0.2925.84N/AN/A148433,7801,454
2022-07-12$112.80$120.00179.9%44.3%161.4%53.7%164.3%-15.0%-18.0%65.6K-3.1M-52.0K0.2621.79N/AN/A95253,8381,446
2022-07-13$121.60$120.00158.4%45.4%158.6%45.0%168.3%-20.0%-18.4%73.8K-4.9M-58.2K0.2416.87N/AN/A105263,8301,434
2022-07-14$119.20$120.00169.3%48.5%159.0%48.4%169.9%4.1%-18.1%57.6K-3.6M-59.3K0.2515.21N/AN/A114283,8431,433
2022-07-15$127.20$120.00158.8%45.5%156.7%44.1%169.5%-12.0%-9.1%44.0K-4.9M-58.6K0.1817.77N/AN/A148273,8741,437
2022-07-18$132.80$120.00159.6%45.7%151.9%44.4%157.3%-27.6%-12.7%61.3K-7.3M-61.0K0.2724.19N/AN/A117322,6921,154
2022-07-19$136.00$120.00143.3%41.1%151.8%37.7%160.1%-43.7%5.8%77.3K-7.7M-60.7K0.5517.82N/AN/A73402,7481,156
2022-07-20$145.60$120.00170.4%48.9%152.6%48.9%164.5%-0.0%-23.2%96.4K-9.8M-70.5K0.1618.33N/AN/A200322,7731,142
2022-07-21$157.60$120.00158.4%45.4%153.5%43.9%157.8%-17.6%-11.0%128.8K-12.6M-68.5K0.1717.42N/AN/A273462,8791,148
2022-07-22$130.40$120.00157.7%45.2%136.0%43.7%159.4%-24.8%-28.9%81.1K-8.2M-64.7K0.1519.81N/AN/A219332,9231,184
2022-07-25$130.40$120.00166.8%47.8%134.3%47.4%190.7%-61.4%-10.3%77.6K-8.5M-63.5K0.2322.30N/AN/A168392,9431,190
2022-07-26$119.20$120.00148.2%42.5%135.8%39.7%174.7%-71.0%9.7%44.8K-5.7M-52.3K0.1415.45N/AN/A202292,9321,206
2022-07-27$124.80$120.00164.3%47.1%121.0%46.4%163.0%-50.6%-19.3%58.9K-6.9M-54.1K0.2515.01N/AN/A107262,9901,206
2022-07-28$121.60$120.00161.9%46.4%116.1%45.4%149.7%-50.5%-14.7%55.3K-5.1M-55.6K0.2216.03N/AN/A109243,0001,207
2022-07-29$119.20$120.00158.5%45.5%116.6%44.0%183.7%-71.6%-3.9%50.1K-6.0M-54.5K0.3716.38N/AN/A68253,0151,208