VRM Options History — December 2022

In December 2022, VRM traded between $70.40 and $95.20. ATM implied volatility averaged 110.2%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 32.6%. IV traded above realized volatility by 18.1% (HV 20d: 92.1%). Max pain ranged from $80.00 to $120.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2022-12-28: Highest Volume — 47 contracts
  • 2022-12-08: Largest IV spike — 37.7% change
  • 2022-12-08: Highest IV Rank — 42.7%
  • 2022-12-12: Largest Expected Move — 41.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.72$70.40$95.20$95.20$80.00
Max Pain$116.19$80.00$120.00$80.00$120.00
ATM IV110.2%81.6%162.9%90.3%102.9%
Expected Move32.6%23.4%41.8%25.9%29.5%
HV 20d92.1%78.1%111.1%109.9%87.5%
HV 60d92.4%90.3%94.1%94.1%93.0%
IV Rank19.6%7.0%42.7%10.8%16.4%
IV Percentile18.9%1.6%69.8%4.8%11.5%
Term Structure12.8%-22.7%51.4%13.3%15.4%
VWIV114.3%85.6%148.8%110.7%104.2%
Skew 25d14.2%-27.1%52.1%-5.2%33.0%
Skew 10d32.6%16.5%51.7%40.2%46.0%
Call IV 25d103.9%69.2%143.0%77.9%97.6%
Put IV 25d118.1%72.7%140.2%72.7%130.6%
Bid-Ask Spread %21.636.9366.7240.2425.32
Gamma HHI0.460.360.600.370.57
Net GEX39.9K27.2K64.1K64.1K36.0K
Net DEX-4.9M-8.1M-2.7M-8.1M-4.2M
Net VEX-47.3K-69.5K-28.5K-69.5K-42.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.103.451.140.48
Total Volume16647624
Total OI3,979.1433,9414,0143,9933,969

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$95.20$80.0090.3%25.9%109.9%10.8%110.7%-5.2%13.3%64.1K-8.1M-69.5K1.1440.24N/AN/A333,365628
2022-12-02$92.00$80.0081.6%23.4%111.1%7.0%98.2%12.8%49.9%57.7K-7.6M-68.1K0.4266.72N/AN/A733,365629
2022-12-05$84.80$120.0090.8%36.9%107.6%11.0%130.3%6.9%-22.7%45.2K-8.1M-51.3K0.9253.78N/AN/A433,367629
2022-12-06$83.20$120.00102.2%32.6%107.8%16.1%120.2%-21.9%7.3%46.3K-5.8M-56.2K0.5820.09N/AN/A743,368628
2022-12-07$76.80$120.00118.3%37.5%102.2%23.1%142.2%-27.1%4.4%39.7K-5.6M-52.1K0.6227.55N/AN/A1063,368627
2022-12-08$83.20$120.00162.9%36.3%104.2%42.7%134.4%-17.6%-7.9%44.5K-4.9M-52.8K1.249.63N/AN/A10123,367619
2022-12-09$83.20$120.00121.1%36.8%103.7%24.3%133.7%-18.4%1.9%44.6K-5.4M-52.7K1.2914.86N/AN/A673,370626
2022-12-12$80.00$120.00119.7%41.8%92.1%23.7%148.8%-8.1%-16.3%42.5K-5.1M-48.6K0.7727.99N/AN/A533,370630
2022-12-13$83.20$120.00116.0%38.4%92.0%22.1%97.1%45.9%3.6%41.8K-5.5M-49.9K0.1011.98N/AN/A1923,373631
2022-12-14$84.80$120.00114.9%32.9%87.1%21.6%94.7%30.5%7.8%39.6K-5.1M-50.3K0.2013.76N/AN/A923,379631
2022-12-15$83.20$120.00117.3%33.6%86.5%22.7%107.4%31.9%51.4%43.6K-4.6M-47.5K0.738.42N/AN/A543,384630
2022-12-16$86.40$120.00116.7%33.5%81.9%22.4%116.9%52.1%27.9%41.5K-4.3M-49.1K0.2210.69N/AN/A1233,381630
2022-12-19$76.00$120.0085.4%24.5%91.3%8.7%85.6%22.6%50.9%27.2K-4.2M-45.8K0.3521.70N/AN/A1143,327614
2022-12-20$76.00$120.0086.8%24.9%82.1%9.3%87.3%23.0%43.1%32.9K-3.8M-43.8K0.4325.53N/AN/A523,334608
2022-12-21$76.80$120.0088.0%25.2%81.9%9.8%87.8%23.8%43.1%33.7K-3.1M-35.4K2.6121.84N/AN/A4113,337605
2022-12-22$72.80$120.00111.0%31.8%78.1%19.9%110.9%16.3%-4.0%27.7K-4.2M-38.3K3.4522.04N/AN/A3113,337611
2022-12-23$74.40$120.00112.5%32.3%79.0%20.6%111.5%19.4%14.6%30.7K-2.7M-28.5K2.207.28N/AN/A253,337611
2022-12-27$70.40$120.00123.0%35.3%80.1%25.2%122.1%18.9%-5.6%30.4K-3.0M-33.4K2.008.59N/AN/A473,337614
2022-12-28$72.80$120.00124.6%35.7%80.3%25.9%124.4%18.9%-2.6%28.9K-3.6M-35.6K0.616.93N/AN/A29183,338608
2022-12-29$80.00$120.00128.3%36.8%87.4%27.5%132.4%41.0%-7.2%38.2K-3.6M-42.5K1.269.30N/AN/A21263,366614
2022-12-30$80.00$120.00102.9%29.5%87.5%16.4%104.2%33.0%15.4%36.0K-4.2M-42.1K0.4825.32N/AN/A1683,386583