VRM Options History — February 2023

In February 2023, VRM traded between $80.00 and $109.60. ATM implied volatility averaged 174.2%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 49.5%. IV traded above realized volatility by 76.4% (HV 20d: 97.8%). Max pain ranged from $80.00 to $80.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.65.

Notable Days

  • 2023-02-02: Highest Volume — 232 contracts
  • 2023-02-02: Largest IV spike — 63.3% change
  • 2023-02-06: Highest IV Rank — 61.1%
  • 2023-02-13: Largest Expected Move — 55.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.16$80.00$109.60$101.60$83.20
Max Pain$80.00$80.00$80.00$80.00$80.00
ATM IV174.2%121.4%204.8%121.4%179.7%
Expected Move49.5%34.8%55.8%34.8%51.5%
HV 20d97.8%89.2%105.1%96.5%97.4%
HV 60d92.5%89.8%98.5%98.5%90.6%
IV Rank47.7%24.5%61.1%24.5%50.1%
IV Percentile72.2%19.8%96.4%19.8%76.6%
Term Structure-26.6%-55.9%4.5%0.7%-55.9%
VWIV180.3%142.1%201.5%142.1%191.2%
Skew 25d-20.8%-42.3%8.2%-0.8%-39.8%
Skew 10d-34.6%-80.9%26.3%26.3%-73.8%
Call IV 25d188.9%142.8%214.5%142.8%194.9%
Put IV 25d168.2%135.2%197.1%142.0%155.1%
Bid-Ask Spread %42.0020.4167.4936.9143.60
Gamma HHI0.360.310.410.340.41
Net GEX21.1K13.4K30.5K26.4K16.2K
Net DEX-3.8M-5.3M-1.9M-3.1M-1.9M
Net VEX-29.5K-37.2K-20.9K-33.9K-28.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.052.650.130.05
Total Volume43.789142324336
Total OI1,431.1051,3401,5091,3641,420

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-02-01$101.60$80.00121.4%34.8%96.5%24.5%142.1%-0.8%0.7%26.4K-3.1M-33.9K0.1336.91N/AN/A385972392
2023-02-02$109.60$80.00198.3%55.1%94.1%58.2%198.2%-2.2%-40.3%24.8K-4.4M-35.8K0.0725.85N/AN/A21715977394
2023-02-03$108.00$80.00182.3%53.0%94.5%51.2%190.9%-31.3%-25.1%30.5K-5.3M-37.2K0.1042.18N/AN/A4041,046404
2023-02-06$103.20$80.00204.8%51.7%95.0%61.1%197.2%-31.8%-16.1%30.4K-4.7M-36.2K0.0749.72N/AN/A2321,051407
2023-02-07$98.40$80.00187.3%52.2%97.3%53.4%194.9%-27.8%-20.6%28.3K-4.0M-35.7K0.1720.41N/AN/A2141,056408
2023-02-08$96.80$80.00182.0%52.2%97.6%51.0%178.7%-31.7%-33.1%27.5K-4.1M-35.0K0.1936.82N/AN/A2951,051411
2023-02-09$88.00$80.00176.3%50.5%104.3%48.5%199.5%-27.0%-24.6%24.0K-3.5M-30.4K1.2928.11N/AN/A11141,064405
2023-02-10$84.80$80.00178.5%51.2%95.8%49.5%182.3%-4.2%-26.0%23.2K-4.5M-25.3K1.7352.47N/AN/A7121,066407
2023-02-13$86.40$80.00194.5%55.8%89.4%56.6%201.5%-24.0%-55.1%23.8K-3.9M-27.4K0.3767.49N/AN/A30111,067410
2023-02-14$88.00$80.00187.8%53.8%89.2%53.6%186.0%8.2%-33.8%23.6K-4.6M-23.8K0.5951.69N/AN/A1691,065412
2023-02-15$98.40$80.00183.3%52.5%91.5%51.6%187.2%-7.9%-28.4%18.1K-4.7M-29.8K0.3848.53N/AN/A2491,068414
2023-02-16$88.00$80.00183.1%52.5%100.6%51.5%188.4%-25.9%-45.3%16.4K-5.1M-22.3K0.2549.30N/AN/A45111,081413
2023-02-17$88.00$80.00165.9%47.6%100.7%44.0%166.0%-25.4%-8.1%16.7K-3.2M-30.6K2.6548.90N/AN/A16421,092417
2023-02-21$81.60$80.00163.3%46.8%104.4%42.9%177.1%-34.3%4.5%13.4K-2.7M-27.4K1.0125.76N/AN/A1212918422
2023-02-22$84.80$80.00144.2%41.3%103.8%34.5%164.9%-41.2%-3.6%15.0K-2.7M-30.3K0.7444.69N/AN/A86927429
2023-02-23$83.20$80.00165.7%47.5%104.1%43.9%162.5%-42.3%-23.0%13.6K-3.2M-27.9K2.1435.27N/AN/A714933430
2023-02-24$80.00$80.00155.4%44.5%105.1%39.4%154.9%1.8%-26.2%14.8K-3.6M-20.9K0.2936.22N/AN/A4212934424
2023-02-27$80.00$80.00157.0%45.0%97.3%40.1%161.6%-6.9%-44.6%14.8K-3.8M-21.6K0.1754.15N/AN/A203968436
2023-02-28$83.20$80.00179.7%51.5%97.4%50.1%191.2%-39.8%-55.9%16.2K-1.9M-28.9K0.0543.60N/AN/A342981439