VRM Options History — November 2022

In November 2022, VRM traded between $68.80 and $104.00. ATM implied volatility averaged 128.5%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 34.6%. IV traded above realized volatility by 25.3% (HV 20d: 103.2%). Max pain ranged from $80.00 to $80.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2022-11-16: Highest Volume — 745 contracts
  • 2022-11-29: Largest IV spike — 90.5% change
  • 2022-11-07: Highest IV Rank — 65.3%
  • 2022-11-02: Largest Expected Move — 52.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.50$68.80$104.00$88.00$96.80
Max Pain$80.00$80.00$80.00$80.00$80.00
ATM IV128.5%65.6%214.6%161.1%98.0%
Expected Move34.6%18.8%52.5%46.2%28.1%
HV 20d103.2%64.7%121.4%64.7%121.4%
HV 60d94.6%86.6%129.0%129.0%94.8%
IV Rank27.3%0.0%65.3%41.8%14.2%
IV Percentile37.1%0.0%97.6%69.4%14.3%
Term Structure27.2%-57.7%115.2%1.8%27.8%
VWIV129.8%64.8%183.3%173.8%127.7%
Skew 25d5.9%-68.6%64.5%21.2%-4.6%
Skew 10d23.5%-128.3%86.2%58.2%22.7%
Call IV 25d147.7%62.9%327.7%167.0%75.8%
Put IV 25d153.6%71.2%311.6%188.1%71.2%
Bid-Ask Spread %54.6729.7987.5030.9855.70
Gamma HHI0.460.280.800.520.35
Net GEX-958-122.5K65.4K-48.3K65.4K
Net DEX-4.1M-10.4M1.1M-1.5M-7.0M
Net VEX-56.0K-71.5K-35.2K-60.8K-67.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.052.541.020.40
Total Volume103.1947457510
Total OI4,158.6193,9264,8844,0893,992

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$88.00$80.00161.1%46.2%64.7%41.8%173.8%21.2%1.8%-48.3K-1.5M-60.8K1.0230.98N/AN/A37382,6261,463
2022-11-02$76.80$80.00183.2%52.5%79.3%51.5%183.3%47.9%-57.7%-49.4K151.0K-42.9K1.2431.53N/AN/A38472,6351,461
2022-11-03$77.60$80.00173.5%40.2%79.0%47.3%157.0%-28.8%28.6%-53.6K27.5K-52.6K0.8560.95N/AN/A32282,6421,478
2022-11-04$69.60$80.00197.5%41.4%84.0%57.8%146.6%31.7%7.4%-44.3K792.9K-47.4K0.4573.76N/AN/A68312,6471,479
2022-11-07$68.80$80.00214.6%46.1%84.0%65.3%165.7%-68.6%-2.2%-43.3K672.7K-44.5K0.8654.92N/AN/A56482,6691,481
2022-11-08$78.40$80.00151.0%37.0%98.2%37.4%136.4%46.3%20.4%-87.5K1.1M-48.8K0.7153.54N/AN/A47342,6961,484
2022-11-09$74.40$80.00122.3%35.1%95.2%24.8%123.7%46.1%28.9%-59.9K-105.1K-35.2K0.7962.90N/AN/A35282,7021,479
2022-11-10$76.80$80.00132.2%37.9%95.0%29.1%131.6%47.1%-6.2%-122.5K30.6K-42.1K0.6534.87N/AN/A44282,7021,478
2022-11-11$88.00$80.00112.0%32.1%103.2%20.3%113.7%-16.1%35.6%21.4K-2.8M-50.2K0.6054.38N/AN/A49292,7091,478
2022-11-14$84.00$80.00123.6%35.4%104.7%25.4%128.2%-19.1%32.9%-101.5K-1.4M-54.1K0.7834.76N/AN/A37292,7171,479
2022-11-15$91.20$80.00108.9%31.2%108.4%18.9%124.5%-7.3%24.4%21.2K-3.6M-48.2K0.8168.42N/AN/A35292,7181,481
2022-11-16$93.60$80.00126.9%36.4%108.3%26.8%126.4%13.9%19.4%22.9K-5.9M-43.3K0.0545.10N/AN/A713322,7221,480
2022-11-17$101.60$80.00123.5%35.4%111.6%24.3%137.1%-4.3%-7.6%56.5K-10.4M-70.6K0.4564.12N/AN/A84383,3901,476
2022-11-18$104.00$80.00132.0%37.9%111.4%28.1%135.9%8.4%3.5%55.2K-9.5M-68.5K0.6868.65N/AN/A55383,4041,480
2022-11-21$92.00$80.0086.1%24.7%120.9%7.5%111.4%-14.2%85.5%54.1K-8.0M-63.0K0.3351.67N/AN/A103343,301625
2022-11-22$93.60$80.0087.0%24.9%118.8%7.9%86.4%-9.8%72.1%48.9K-7.2M-55.9K0.8765.10N/AN/A38333,306626
2022-11-23$100.00$80.0093.9%26.9%120.8%10.9%115.1%64.5%75.6%56.3K-6.8M-69.4K0.8967.50N/AN/A38333,308626
2022-11-25$100.00$80.0065.6%18.8%119.6%0.0%64.8%33.9%77.7%63.5K-8.8M-71.5K2.5487.50N/AN/A133,321629
2022-11-28$100.00$80.0071.1%20.4%119.6%2.4%104.5%-28.0%115.2%59.6K-7.9M-69.4K0.0651.85N/AN/A4833,322631
2022-11-29$103.20$80.00135.5%38.8%119.9%30.6%132.0%-37.0%-10.9%65.3K-8.7M-70.5K0.1629.79N/AN/A1423,358630
2022-11-30$96.80$80.0098.0%28.1%121.4%14.2%127.7%-4.6%27.8%65.4K-7.0M-67.7K0.4055.70N/AN/A733,361631