VRM Options History — September 2022

In September 2022, VRM traded between $95.20 and $149.60. ATM implied volatility averaged 142.1%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 39.7%. IV traded above realized volatility by 31.6% (HV 20d: 110.5%). Max pain ranged from $120.00 to $240.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2022-09-08: Highest Volume — 1,042 contracts
  • 2022-09-23: Largest IV spike — 21.3% change
  • 2022-09-13: Highest IV Rank — 46.3%
  • 2022-09-01: Largest Expected Move — 43.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$123.12$95.20$149.60$130.40$95.20
Max Pain$224.76$120.00$240.00$120.00$200.00
ATM IV142.1%119.8%164.8%152.2%149.6%
Expected Move39.7%34.3%43.6%43.6%42.9%
HV 20d110.5%79.6%218.7%218.7%89.7%
HV 60d160.8%151.1%168.7%168.7%151.3%
IV Rank36.5%27.2%46.3%41.4%38.2%
IV Percentile54.1%36.9%73.0%65.1%61.9%
Term Structure20.4%-22.4%181.3%-22.4%-0.7%
VWIV143.9%120.7%228.4%146.2%150.5%
Skew 25d-1.2%-29.5%60.2%21.2%18.7%
Skew 10d13.7%-81.8%66.8%23.6%66.8%
Call IV 25d133.2%87.0%161.1%120.5%130.1%
Put IV 25d132.0%96.7%162.3%141.8%148.8%
Bid-Ask Spread %30.1114.4743.6214.4734.89
Gamma HHI0.210.130.260.200.24
Net GEX27.2K-15.1K119.8K86.0K-7.6K
Net DEX-2.4M-6.6M1.4M-5.7M-108.4K
Net VEX-70.9K-90.8K-51.6K-74.3K-63.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.057.041.060.70
Total Volume120.238101,0427858
Total OI5,027.6674,0106,1405,5334,336

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$130.40$120.00152.2%43.6%218.7%41.4%146.2%21.2%-22.4%86.0K-5.7M-74.3K1.0614.47N/AN/A38404,3361,197
2022-09-02$130.40$120.00148.1%42.5%200.2%39.3%148.1%5.5%-3.9%71.7K-3.4M-80.0K7.0416.48N/AN/A11794,3531,235
2022-09-06$127.20$240.00142.4%41.8%196.4%36.9%228.4%-6.6%4.3%26.0K-4.5M-66.8K2.5833.81N/AN/A37954,3571,312
2022-09-07$133.60$240.00135.7%39.0%125.3%34.1%162.2%-5.4%18.7%22.5K-2.9M-70.3K0.7031.20N/AN/A27194,3481,310
2022-09-08$144.80$240.00144.6%39.2%128.4%37.8%134.1%-9.8%5.9%62.3K-5.2M-79.6K2.7630.15N/AN/A2777654,3481,306
2022-09-09$142.40$240.00147.2%39.8%124.7%38.9%133.4%-27.5%17.0%112.3K-6.3M-90.8K0.2739.63N/AN/A1444,5861,503
2022-09-12$149.60$240.00161.0%39.7%108.1%44.7%142.5%10.5%8.8%119.8K-6.6M-88.9K0.5230.01N/AN/A57304,5941,515
2022-09-13$135.20$240.00164.8%35.7%106.3%46.3%147.9%-24.6%56.9%63.1K-4.5M-80.8K0.8943.62N/AN/A39344,6001,521
2022-09-14$141.60$240.00142.1%40.8%88.7%36.8%137.1%-11.9%5.8%19.3K-4.1M-81.8K1.0028.53N/AN/A18184,6061,522
2022-09-15$143.20$240.00127.9%36.7%89.0%30.9%130.9%-2.4%181.3%15.1K-4.0M-77.9K0.3536.63N/AN/A28104,6011,539
2022-09-16$132.00$240.00125.8%36.1%92.3%30.0%126.9%-25.2%19.1%10.6K-3.1M-78.0K0.5222.03N/AN/A46244,5891,530
2022-09-19$129.60$240.00126.8%36.3%79.6%30.4%129.2%-29.5%29.5%10.7K-2.1M-73.9K0.0523.36N/AN/A4022,6081,402
2022-09-20$121.60$240.00129.3%37.1%81.4%31.2%133.5%-17.4%23.1%6.2K-1.3M-69.7K0.5033.60N/AN/A23112,6391,404
2022-09-21$120.00$240.00132.3%37.9%81.4%32.4%127.1%-29.3%14.3%7.7K-949.4K-67.7K0.0832.29N/AN/A912,6451,412
2022-09-22$108.00$240.00119.8%34.3%84.8%27.2%120.7%-6.1%27.8%-4.2K-156.9K-64.6K0.0723.66N/AN/A6752,6501,411
2022-09-23$102.40$240.00145.2%41.6%82.3%37.9%145.8%60.2%2.5%-7.9K687.9K-59.4K0.6634.54N/AN/A20132,6311,406
2022-09-26$96.80$240.00142.7%40.9%82.5%36.8%128.4%30.3%32.3%-15.1K1.2M-54.5K0.6223.20N/AN/A55342,6291,405
2022-09-27$101.60$240.00149.3%42.8%86.1%39.1%149.7%5.5%7.8%-8.5K910.9K-56.0K0.5435.05N/AN/A51272,6431,404
2022-09-28$104.80$240.00150.7%43.2%84.4%38.8%152.2%1.2%-3.6%-7.2K552.3K-59.0K0.4535.28N/AN/A62282,6571,405
2022-09-29$95.20$200.00146.2%41.9%89.5%36.9%146.3%18.1%3.7%-10.9K1.4M-51.6K0.0929.88N/AN/A283262,6811,405
2022-09-30$95.20$200.00149.6%42.9%89.7%38.2%150.5%18.7%-0.7%-7.6K-108.4K-63.6K0.7034.89N/AN/A34242,9341,402