VRM Options History — January 2023

In January 2023, VRM traded between $74.40 and $93.60. ATM implied volatility averaged 124.1%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 35.4%. IV traded above realized volatility by 33.9% (HV 20d: 90.2%). Max pain ranged from $80.00 to $120.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2023-01-30: Highest Volume — 1,208 contracts
  • 2023-01-13: Largest IV spike — 17.4% change
  • 2023-01-13: Highest IV Rank — 30.4%
  • 2023-01-13: Largest Expected Move — 38.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.56$74.40$93.60$76.80$90.40
Max Pain$84.00$80.00$120.00$120.00$80.00
ATM IV124.1%114.3%134.8%121.3%134.4%
Expected Move35.4%30.1%38.6%34.8%38.5%
HV 20d90.2%81.4%100.4%87.7%90.3%
HV 60d96.0%91.3%100.0%93.0%95.7%
IV Rank25.7%21.4%30.4%24.4%30.2%
IV Percentile25.3%12.7%35.7%24.2%34.5%
Term Structure17.6%-29.2%230.5%7.4%3.1%
VWIV129.8%114.3%157.5%121.3%135.4%
Skew 25d-0.2%-31.1%43.8%-25.7%20.5%
Skew 10d-12.5%-164.0%102.7%-40.1%30.9%
Call IV 25d146.4%124.2%194.9%140.6%132.4%
Put IV 25d146.2%115.0%194.2%115.0%152.9%
Bid-Ask Spread %49.0911.7898.6811.7830.36
Gamma HHI0.570.460.660.460.61
Net GEX43.5K34.1K60.1K38.9K60.1K
Net DEX-5.4M-7.3M-2.3M-4.5M-5.6M
Net VEX-43.8K-54.3K-28.7K-49.2K-41.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.017.262.520.02
Total Volume87.781,2081024
Total OI3,364.952,0404,0853,9832,040

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$76.80$120.00121.3%34.8%87.7%24.4%121.3%-25.7%7.4%38.9K-4.5M-49.2K2.5211.78N/AN/A373,399584
2023-01-04$84.80$120.00120.1%34.4%91.3%23.9%128.9%-6.9%10.6%42.3K-4.7M-48.1K0.7021.45N/AN/A16113,399585
2023-01-05$84.80$80.00117.5%30.1%91.0%22.7%116.7%-6.2%35.3%39.3K-3.7M-41.1K1.4882.15N/AN/A583,410586
2023-01-06$81.60$80.00119.6%32.2%87.2%23.7%133.9%-14.0%18.2%38.1K-5.2M-45.7K0.6798.68N/AN/A1173,411586
2023-01-09$83.20$80.00124.1%36.8%82.7%25.7%120.0%-15.1%-6.1%39.1K-5.1M-42.3K1.3473.35N/AN/A683,412587
2023-01-10$83.20$80.00124.0%36.1%82.7%25.6%126.3%-19.0%2.9%42.1K-6.6M-39.0K7.2669.35N/AN/A2133,412582
2023-01-11$83.20$80.00115.4%33.1%81.4%21.9%115.7%-23.2%10.5%42.0K-4.8M-46.8K0.3264.15N/AN/A37123,414583
2023-01-12$93.60$80.00114.8%32.9%90.4%21.6%130.8%-31.1%-24.1%45.9K-6.2M-54.3K0.1465.37N/AN/A93133,410586
2023-01-13$84.80$80.00134.8%38.6%97.5%30.4%149.9%-17.9%-29.2%45.0K-5.7M-53.0K0.0850.82N/AN/A5043,468595
2023-01-17$83.20$80.00121.8%34.9%97.5%24.7%157.5%8.5%13.5%52.4K-6.0M-41.2K0.2367.40N/AN/A1233,481597
2023-01-18$76.80$80.00128.2%36.8%100.4%27.5%153.0%10.2%-3.9%44.6K-5.4M-35.6K0.1869.07N/AN/A2543,486599
2023-01-19$74.40$80.00131.4%37.7%90.1%28.9%132.3%40.0%230.5%34.1K-2.3M-31.9K2.0047.88N/AN/A10203,493456
2023-01-20$75.20$80.00132.5%38.0%90.2%29.4%134.5%5.3%13.8%39.6K-6.1M-44.2K0.6128.36N/AN/A743,496458
2023-01-23$77.60$80.00129.6%37.1%90.9%28.1%129.9%13.9%13.2%39.1K-7.3M-28.7K0.2127.25N/AN/A4591,785368
2023-01-24$74.40$80.00125.6%36.0%90.0%26.3%125.6%43.8%-4.0%39.0K-5.9M-37.5K0.1342.46N/AN/A711,814376
2023-01-25$74.40$80.00124.4%35.7%89.7%25.8%124.6%6.8%7.8%42.2K-4.8M-45.2K0.2134.44N/AN/A1121,819376
2023-01-26$76.00$80.00114.3%32.8%87.6%21.4%114.3%-1.9%13.3%41.2K-5.2M-44.9K0.1735.57N/AN/A921,826378
2023-01-27$84.80$80.00116.8%33.5%94.8%22.4%117.1%-0.4%15.2%50.0K-6.4M-50.8K0.0334.69N/AN/A4411,828379
2023-01-30$88.00$80.00130.8%37.5%89.9%28.6%129.2%8.7%23.8%53.8K-7.1M-54.1K0.0127.32N/AN/A1,193151,855380
2023-01-31$90.40$80.00134.4%38.5%90.3%30.2%135.4%20.5%3.1%60.1K-5.6M-41.8K0.0230.36N/AN/A2311,648392