VRM Options History — March 2023

In March 2023, VRM traded between $64.00 and $81.60. ATM implied volatility averaged 109.4%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 28.7%. IV traded above realized volatility by 39.0% (HV 20d: 70.4%). Max pain ranged from $80.00 to $80.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 1.78.

Notable Days

  • 2023-03-13: Highest Volume — 72 contracts
  • 2023-03-15: Largest IV drop — 52.5% change
  • 2023-03-14: Highest IV Rank — 54.7%
  • 2023-03-01: Largest Expected Move — 40.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.34$64.00$81.60$81.60$71.20
Max Pain$80.00$80.00$80.00$80.00$80.00
ATM IV109.4%72.0%190.2%139.5%79.4%
Expected Move28.7%20.6%40.0%40.0%22.8%
HV 20d70.4%57.1%96.9%96.9%59.7%
HV 60d86.4%80.2%90.7%90.6%80.2%
IV Rank19.2%2.8%54.7%32.4%6.0%
IV Percentile16.9%1.2%86.5%34.5%2.0%
Term Structure15.1%-90.5%148.3%10.8%35.7%
VWIV117.7%72.0%390.8%139.4%72.0%
Skew 25d9.1%-120.1%71.2%-23.3%22.5%
Skew 10d6.8%-120.1%93.7%-20.1%43.2%
Call IV 25d121.9%74.3%274.9%153.2%80.5%
Put IV 25d130.9%93.6%193.5%129.9%103.0%
Bid-Ask Spread %48.3835.5676.7045.2040.25
Gamma HHI0.270.110.450.450.19
Net GEX7.1K1.9K16.2K16.2K4.5K
Net DEX-1.6M-3.6M-480.8K-3.6M-1.1M
Net VEX-20.9K-27.0K-12.8K-22.4K-22.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.095.730.130.48
Total Volume16.7833721725
Total OI1,402.4781,3061,4981,4471,340

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$81.60$80.00139.5%40.0%96.9%32.4%139.4%-23.3%10.8%16.2K-3.6M-22.4K0.1345.20N/AN/A1521,006441
2023-03-02$78.40$80.00125.3%35.9%86.1%26.2%127.6%-18.6%8.9%14.3K-2.1M-27.0K0.0950.08N/AN/A401,007441
2023-03-03$77.60$80.00116.8%33.5%79.5%22.5%116.8%-22.2%1.1%12.7K-2.2M-26.2K0.2547.51N/AN/A721,006441
2023-03-06$73.60$80.00117.3%34.0%80.5%22.7%120.1%-0.4%52.3%11.3K-3.1M-19.4K0.1440.05N/AN/A911,008439
2023-03-07$75.20$80.00116.1%34.1%81.1%22.1%125.5%-10.4%-33.6%12.5K-2.9M-19.8K0.4435.56N/AN/A211,012440
2023-03-08$76.00$80.00150.1%31.9%80.7%37.1%112.1%-14.3%-12.0%12.4K-1.6M-25.6K0.8236.35N/AN/A651,014440
2023-03-09$72.80$80.00124.4%27.5%81.4%25.8%103.9%19.9%-90.5%3.9K-2.8M-12.8K2.6740.55N/AN/A261,015434
2023-03-10$68.80$80.00106.2%24.4%77.3%17.8%79.4%-120.1%-38.3%1.9K-1.1M-21.8K2.6154.82N/AN/A371,017433
2023-03-13$67.20$80.00153.0%30.2%76.9%38.4%104.6%43.0%-8.9%8.2K-858.7K-21.7K5.1276.70N/AN/A12601,017433
2023-03-14$64.00$80.00190.2%30.2%77.1%54.7%118.0%26.4%15.7%6.0K-1.8M-18.0K0.8257.47N/AN/A861,018461
2023-03-15$66.40$80.0090.4%25.9%78.4%10.9%86.0%71.2%-39.2%5.5K-1.1M-21.8K1.1966.50N/AN/A12151,024457
2023-03-16$68.00$80.00114.4%32.8%64.8%21.4%114.0%56.6%45.7%6.8K-2.2M-14.5K0.5367.42N/AN/A1051,035460
2023-03-17$72.80$80.00120.6%34.6%61.8%24.1%128.3%-2.3%148.3%6.3K-480.8K-22.3K3.1538.68N/AN/A4121,038460
2023-03-20$69.60$80.0089.2%25.6%63.0%10.4%104.9%-2.1%45.3%3.3K-893.0K-21.9K0.8545.95N/AN/A1412902404
2023-03-21$72.00$80.0084.4%24.2%60.2%8.3%88.6%-8.9%8.2%4.5K-636.4K-22.6K0.8036.94N/AN/A87911406
2023-03-22$72.00$80.0092.4%26.5%57.9%11.8%97.1%0.6%43.9%6.0K-708.0K-22.3K0.8940.76N/AN/A65915407
2023-03-23$68.00$80.0090.2%25.9%60.4%10.8%76.9%-5.2%48.2%4.9K-594.3K-20.1K5.7351.28N/AN/A212918405
2023-03-24$68.80$80.0082.6%23.7%59.8%7.4%0.0%57.5%29.9%4.2K-757.3K-21.8K1.2166.02N/AN/A911919406
2023-03-27$68.00$80.0072.0%20.6%59.8%2.8%102.5%55.3%14.1%4.2K-2.5M-17.0K3.6054.58N/AN/A312925403
2023-03-28$67.20$80.0080.8%23.1%57.1%6.7%390.8%42.4%39.2%5.3K-2.3M-15.5K2.5039.43N/AN/A411927404
2023-03-29$69.60$80.0092.7%26.6%59.2%11.9%91.7%15.2%25.8%5.4K-1.4M-22.3K2.4843.32N/AN/A511929404
2023-03-30$72.00$80.0088.0%25.2%59.7%9.8%87.9%26.0%-4.0%4.0K-946.2K-22.2K4.3737.26N/AN/A211930405
2023-03-31$71.20$80.0079.4%22.8%59.7%6.0%72.0%22.5%35.7%4.5K-1.1M-22.6K0.4840.25N/AN/A178931409