VRM Options History — October 2022

In October 2022, VRM traded between $80.00 and $101.60. ATM implied volatility averaged 133.8%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 40.9%. IV traded above realized volatility by 56.8% (HV 20d: 77.0%). Max pain ranged from $80.00 to $200.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2022-10-18: Highest Volume — 726 contracts
  • 2022-10-04: Largest IV spike — 76.3% change
  • 2022-10-20: Highest IV Rank — 44.0%
  • 2022-10-20: Largest Expected Move — 47.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.54$80.00$101.60$99.20$83.20
Max Pain$121.90$80.00$200.00$200.00$80.00
ATM IV133.8%69.5%166.0%74.0%165.6%
Expected Move40.9%21.2%47.6%21.2%47.5%
HV 20d77.0%61.5%92.6%91.8%61.5%
HV 60d145.3%129.9%151.4%151.4%129.9%
IV Rank30.3%3.5%44.0%5.7%43.8%
IV Percentile45.8%2.8%73.8%6.3%73.0%
Term Structure-1.8%-36.7%78.2%71.0%-11.2%
VWIV153.7%130.8%208.2%154.7%155.7%
Skew 25d-15.7%-50.9%46.7%-50.9%-10.2%
Skew 10d16.6%-83.6%87.6%34.2%37.0%
Call IV 25d157.4%114.1%182.0%128.2%179.2%
Put IV 25d141.6%77.3%171.9%77.3%169.0%
Bid-Ask Spread %22.7715.1540.8739.6518.25
Gamma HHI0.460.240.760.240.54
Net GEX-41.1K-148.8K22.7K-6.5K-48.4K
Net DEX-242.0K-2.6M2.1M-329.3K-931.2K
Net VEX-53.4K-64.7K-44.8K-64.7K-55.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.179.490.970.80
Total Volume132.714607267160
Total OI4,332.7144,0674,9394,3304,091

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$99.20$200.0074.0%21.2%91.8%5.7%154.7%-50.9%71.0%-6.5K-329.3K-64.7K0.9739.65N/AN/A36352,9351,395
2022-10-04$101.60$200.00130.5%37.4%92.6%29.7%144.9%46.7%-1.4%-9.4K-2.6M-53.8K0.5339.81N/AN/A60322,9361,325
2022-10-05$100.00$200.00107.1%30.7%89.8%19.6%150.1%-49.4%12.3%-9.3K274.6K-57.2K0.4140.87N/AN/A95392,9251,330
2022-10-06$96.00$120.00134.5%40.6%82.9%31.4%130.8%-11.5%-9.3%-16.4K55.6K-50.0K0.1715.84N/AN/A171292,9061,331
2022-10-07$89.60$120.0069.5%38.8%84.6%3.5%137.1%18.0%0.2%-33.1K-413.3K-59.9K0.4816.23N/AN/A60293,0381,330
2022-10-10$88.80$120.00112.8%46.7%80.4%22.1%151.0%-23.2%-25.2%22.7K-1.1M-57.8K0.6920.29N/AN/A42293,0511,316
2022-10-11$87.20$120.0084.4%42.4%75.4%8.2%156.6%-34.5%-7.8%-45.2K-699.7K-47.2K0.6029.77N/AN/A46283,0531,258
2022-10-12$93.60$120.00139.3%40.0%78.8%32.3%145.5%-13.4%78.2%-8.9K891.7K-54.1K0.6618.22N/AN/A41273,0561,254
2022-10-13$88.80$120.00138.8%39.8%78.6%32.0%144.4%-22.2%0.2%-33.7K958.3K-45.3K0.5620.68N/AN/A50283,0591,254
2022-10-14$81.60$120.00141.8%40.7%78.9%33.4%147.6%-27.3%-0.7%-29.3K-822.3K-50.8K0.4715.15N/AN/A61293,0601,253
2022-10-17$82.40$120.00125.1%35.9%79.8%26.0%138.0%-34.7%11.1%-45.9K-412.9K-48.4K0.5519.99N/AN/A76423,0711,253
2022-10-18$84.00$120.00159.8%45.8%79.6%41.3%159.5%-4.8%-22.2%-76.5K-388.5K-50.6K9.4920.24N/AN/A696573,0731,240
2022-10-19$82.40$120.00153.1%43.9%79.5%38.3%159.7%-30.2%-10.0%-92.0K1.6M-58.9K0.5020.89N/AN/A62313,0821,846
2022-10-20$82.40$120.00166.0%47.6%72.8%44.0%167.0%-2.4%-36.7%-148.8K2.1M-48.8K0.4218.87N/AN/A70303,0861,848
2022-10-21$81.60$120.00158.6%45.5%71.3%40.7%160.8%-30.9%-24.0%-31.1K56.0K-48.2K5.7917.71N/AN/A492843,1011,838
2022-10-24$80.00$120.00157.3%45.1%69.4%40.2%155.6%-9.0%-10.8%-44.4K-988.4K-44.8K0.6321.29N/AN/A48312,5941,473
2022-10-25$85.60$80.00141.8%40.7%71.8%33.4%147.0%-7.7%5.3%-52.4K-855.3K-61.6K0.7219.23N/AN/A38282,6051,474
2022-10-26$85.60$80.00155.9%44.7%70.4%39.6%154.6%2.0%-21.8%-46.9K-950.4K-57.7K0.9622.17N/AN/A42402,6131,463
2022-10-27$82.40$80.00151.1%43.3%63.7%37.4%158.2%-15.3%-17.3%-47.8K-431.1K-56.3K1.2018.93N/AN/A34412,6221,462
2022-10-28$82.40$80.00142.2%40.8%63.7%33.5%208.2%-19.9%-17.9%-60.2K-162.4K-48.5K0.9124.16N/AN/A46422,6241,463
2022-10-31$83.20$80.00165.6%47.5%61.5%43.8%155.7%-10.2%-11.2%-48.4K-931.2K-55.8K0.8018.25N/AN/A33272,6261,465