VRM Options History — May 2023

In May 2023, VRM traded between $59.20 and $77.60. ATM implied volatility averaged 109.4%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 30.2%. IV traded above realized volatility by 24.3% (HV 20d: 85.1%). Max pain ranged from $40.00 to $80.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 5.20.

Notable Days

  • 2023-05-03: Highest Volume — 307 contracts
  • 2023-05-05: Largest IV spike — 52.6% change
  • 2023-05-09: Highest IV Rank — 64.5%
  • 2023-05-04: Largest Expected Move — 49.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.00$59.20$77.60$64.80$62.40
Max Pain$70.91$40.00$80.00$80.00$80.00
ATM IV109.4%78.9%212.7%126.4%89.0%
Expected Move30.2%22.6%49.9%36.2%25.5%
HV 20d85.1%46.8%97.7%46.8%96.5%
HV 60d69.9%63.1%77.0%63.1%69.4%
IV Rank20.4%6.7%64.5%26.7%11.8%
IV Percentile23.8%2.8%97.6%36.5%11.1%
Term Structure-8.7%-31.0%24.3%-11.4%-21.5%
VWIV116.6%69.1%186.0%123.2%150.4%
Skew 25d-7.4%-42.1%26.0%26.0%-7.6%
Skew 10d-9.5%-59.9%44.9%34.0%-3.3%
Call IV 25d106.2%80.2%138.0%113.9%80.9%
Put IV 25d98.8%60.3%139.9%139.9%73.3%
Bid-Ask Spread %40.1710.58105.4517.0159.79
Gamma HHI0.220.180.240.240.24
Net GEX8.6K2.7K16.0K4.3K8.0K
Net DEX-935.3K-2.1M40.2K-251.0K-685.4K
Net VEX-12.4K-18.5K-9.1K-18.5K-9.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.200.1825.921.435.42
Total Volume36.36483071515
Total OI927.7738391,1111,106863

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$64.80$80.00126.4%36.2%46.8%26.7%123.2%26.0%-11.4%4.3K-251.0K-18.5K1.4317.01N/AN/A69712394
2023-05-02$62.40$80.00108.2%31.0%48.2%18.7%120.3%-42.1%-1.8%2.7K-1.2M-17.0K3.8110.58N/AN/A29717394
2023-05-03$63.20$80.00111.5%32.0%48.3%20.1%99.7%-35.1%-14.0%3.6K40.2K-17.4K20.3827.41N/AN/A14293718393
2023-05-04$59.20$80.0096.9%49.9%49.5%13.7%0.0%-2.5%-22.7%7.6K-742.2K-11.4K1.1544.29N/AN/A56731174
2023-05-05$66.40$80.00147.8%38.8%63.4%36.0%112.5%-0.0%8.8%9.7K-975.7K-12.5K0.21105.45N/AN/A286733141
2023-05-08$77.60$80.00190.8%30.3%84.7%54.9%113.1%-1.9%-10.1%14.0K-2.1M-16.0K0.1899.91N/AN/A5510748138
2023-05-09$75.20$80.00212.7%41.1%84.8%64.5%143.5%17.7%-31.0%16.0K-2.0M-15.4K0.4646.61N/AN/A5927780138
2023-05-10$67.20$40.00112.5%32.2%93.2%20.6%122.8%19.0%-16.0%10.9K-1.3M-13.3K0.4258.55N/AN/A2410804140
2023-05-11$64.80$40.0091.4%26.2%93.9%13.0%100.5%0.6%-19.7%10.6K-1.1M-12.7K1.5341.53N/AN/A69804141
2023-05-12$60.80$40.00108.9%31.2%96.1%21.9%0.0%-11.8%-0.4%9.4K-1.0M-12.1K1.2652.28N/AN/A79803141
2023-05-15$63.20$40.00121.5%34.8%97.0%28.3%138.1%-30.5%24.3%10.2K-1.4M-12.4K17.4362.24N/AN/A236802114
2023-05-16$61.60$40.0091.3%26.2%97.2%13.0%88.1%5.9%3.0%8.2K-797.6K-10.4K3.3921.80N/AN/A39803138
2023-05-17$63.20$80.0084.5%24.2%97.5%9.6%186.0%5.6%5.9%9.4K-1.1M-12.9K4.4628.75N/AN/A211802139
2023-05-18$64.00$80.0085.7%24.6%95.7%10.2%105.9%-15.4%-0.2%8.3K-840.4K-10.4K0.8930.12N/AN/A1412802139
2023-05-19$60.80$80.0088.4%25.3%97.0%11.5%96.5%1.2%2.4%8.4K-749.5K-10.0K14.9625.60N/AN/A19808138
2023-05-22$62.40$80.0078.9%22.6%97.7%6.7%114.9%8.5%1.4%8.5K-867.5K-11.6K0.9224.51N/AN/A1413709130
2023-05-23$61.60$80.0081.3%23.3%97.0%7.9%109.4%-23.3%-6.4%8.4K-788.0K-11.3K1.3321.95N/AN/A68719134
2023-05-24$60.00$80.00103.0%29.5%97.3%18.9%69.1%-20.9%-21.3%7.5K-505.5K-9.1K0.3318.76N/AN/A72721133
2023-05-25$60.80$80.0095.2%27.3%96.6%14.9%0.0%-30.3%-19.7%8.1K-583.1K-9.5K25.9236.85N/AN/A08724131
2023-05-26$62.40$80.0085.9%24.6%96.7%10.3%104.0%-15.3%-13.3%7.8K-1.0M-10.4K5.7719.50N/AN/A315725133
2023-05-30$64.00$80.0095.1%27.3%97.0%14.9%150.4%-10.7%-27.7%8.1K-644.8K-9.4K2.7730.33N/AN/A412726134
2023-05-31$62.40$80.0089.0%25.5%96.5%11.8%0.0%-7.6%-21.5%8.0K-685.4K-9.8K5.4259.79N/AN/A213729134