VRM Options History — June 2023

In June 2023, VRM traded between $67.20 and $126.40. ATM implied volatility averaged 127.3%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 33.0%. IV traded above realized volatility by 37.7% (HV 20d: 89.6%). Max pain ranged from $80.00 to $80.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2023-06-12: Highest Volume — 205 contracts
  • 2023-06-12: Largest IV spike — 69.4% change
  • 2023-06-13: Highest IV Rank — 94.1%
  • 2023-06-29: Largest Expected Move — 41.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.47$67.20$126.40$67.20$113.60
Max Pain$80.00$80.00$80.00$80.00$80.00
ATM IV127.3%75.5%251.9%96.5%134.8%
Expected Move33.0%21.7%41.0%27.7%38.7%
HV 20d89.6%70.0%104.8%100.0%104.8%
HV 60d80.2%70.5%89.4%71.0%89.4%
IV Rank31.2%5.0%94.1%15.6%35.0%
IV Percentile41.8%2.0%99.6%17.1%57.1%
Term Structure2.3%-23.4%28.9%-16.4%11.3%
VWIV119.5%67.5%149.4%125.6%143.5%
Skew 25d-5.1%-27.3%49.5%7.4%-19.6%
Skew 10d-20.2%-55.0%76.9%19.8%-48.4%
Call IV 25d124.7%65.9%160.7%82.0%153.0%
Put IV 25d119.6%76.1%147.4%89.4%133.4%
Bid-Ask Spread %26.8610.2447.4133.3010.24
Gamma HHI0.230.200.290.220.21
Net GEX24.5K10.4K37.3K10.4K34.5K
Net DEX-3.1M-5.6M-818.6K-1.2M-4.7M
Net VEX-19.1K-25.9K-11.0K-12.0K-24.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.171.310.870.59
Total Volume68.476182052863
Total OI1,015.5718641,1378641,128

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$67.20$80.0096.5%27.7%100.0%15.6%125.6%7.4%-16.4%10.4K-1.2M-12.0K0.8733.30N/AN/A1513730134
2023-06-02$69.60$80.0075.5%21.7%97.2%5.0%67.5%-0.4%-1.2%11.6K-818.6K-11.0K1.3132.99N/AN/A810736134
2023-06-05$71.20$80.0099.9%25.3%88.9%17.3%90.3%42.3%16.2%12.6K-932.3K-11.4K0.9535.41N/AN/A1615742134
2023-06-06$74.40$80.0085.3%22.1%70.4%10.0%77.1%49.5%14.1%15.8K-1.3M-13.7K0.8340.82N/AN/A1210750134
2023-06-07$76.00$80.0083.6%24.9%70.0%9.1%86.8%-14.2%7.5%18.2K-1.5M-14.6K0.6547.41N/AN/A2114756135
2023-06-08$90.40$80.00134.2%36.8%81.4%34.6%135.5%-27.3%24.0%20.8K-2.6M-18.3K0.2222.61N/AN/A14532765133
2023-06-09$83.20$80.00129.8%33.3%86.8%32.4%119.1%-13.9%0.9%20.2K-1.8M-15.3K0.2841.76N/AN/A5515837151
2023-06-12$93.60$80.00220.0%36.6%89.5%77.9%130.3%-18.4%-5.3%27.1K-2.9M-20.1K0.1723.65N/AN/A17629860157
2023-06-13$96.80$80.00251.9%35.6%89.4%94.1%124.2%-6.2%28.9%32.9K-3.4M-21.0K0.2725.74N/AN/A7220941162
2023-06-14$95.20$80.00130.5%37.4%88.9%32.8%131.6%-15.8%-14.8%21.9K-3.3M-19.1K0.5221.85N/AN/A2714953164
2023-06-15$100.00$80.00124.2%35.6%89.4%29.6%126.9%-7.6%-23.4%24.1K-3.7M-21.1K0.6636.34N/AN/A4731950163
2023-06-16$100.00$80.00122.5%35.1%89.7%28.7%125.3%-11.7%5.7%24.9K-3.6M-21.1K0.5021.01N/AN/A3618965172
2023-06-20$96.80$80.00114.7%32.9%87.9%24.8%119.6%-7.7%7.1%24.4K-2.9M-19.6K0.7521.99N/AN/A2317856161
2023-06-21$101.60$80.00116.8%33.5%88.3%25.9%129.9%-20.0%-9.2%26.8K-3.6M-21.5K0.8833.13N/AN/A2925868162
2023-06-22$110.40$80.00127.2%36.5%89.5%31.1%131.3%-3.0%1.4%28.2K-4.5M-22.0K0.5716.60N/AN/A3520874164
2023-06-23$103.20$80.0098.6%28.3%94.0%16.7%98.4%-6.0%-10.4%29.0K-3.9M-22.2K0.8133.48N/AN/A2621888167
2023-06-26$106.40$80.00128.1%36.7%93.8%31.6%127.8%-11.7%3.7%30.0K-3.7M-21.7K0.3917.30N/AN/A3414889174
2023-06-27$110.40$80.00127.7%36.6%93.9%31.4%135.7%-11.3%7.8%29.6K-4.1M-22.3K0.6518.59N/AN/A2315887174
2023-06-28$118.40$80.00129.6%37.2%95.0%32.3%133.2%2.5%-4.5%33.7K-4.7M-23.2K0.4214.90N/AN/A6628895174
2023-06-29$126.40$80.00142.9%41.0%93.4%39.0%149.4%-13.3%5.6%37.3K-5.6M-25.9K0.4914.84N/AN/A9949930178
2023-06-30$113.60$80.00134.8%38.7%104.8%35.0%143.5%-19.6%11.3%34.5K-4.7M-24.1K0.5910.24N/AN/A4023954174