VRM Options History — July 2023

In July 2023, VRM traded between $121.60 and $216.80. ATM implied volatility averaged 160.3%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 46.8%. IV traded above realized volatility by 13.7% (HV 20d: 146.6%). Max pain ranged from $80.00 to $160.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2023-07-19: Highest Volume — 678 contracts
  • 2023-07-07: Largest IV spike — 11.3% change
  • 2023-07-19: Highest IV Rank — 61.4%
  • 2023-07-31: Largest Expected Move — 54.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$166.80$121.60$216.80$123.20$184.80
Max Pain$140.00$80.00$160.00$80.00$160.00
ATM IV160.3%126.9%187.1%140.5%162.6%
Expected Move46.8%37.1%54.7%40.3%54.7%
HV 20d146.6%106.5%179.7%106.5%174.9%
HV 60d113.3%89.6%130.0%89.6%130.0%
IV Rank47.8%30.9%61.4%37.8%49.0%
IV Percentile78.9%46.8%93.3%61.1%82.1%
Term Structure-19.9%-42.7%7.3%6.2%-8.2%
VWIV166.4%132.2%195.5%136.9%195.5%
Skew 25d-13.2%-21.4%3.0%3.0%-15.7%
Skew 10d-21.4%-79.5%-4.0%-7.0%-38.8%
Call IV 25d175.4%145.8%202.3%147.5%202.3%
Put IV 25d162.2%134.2%186.6%150.6%186.6%
Bid-Ask Spread %7.553.0817.8112.974.94
Gamma HHI0.180.120.240.210.16
Net GEX50.8K37.1K83.4K38.5K53.1K
Net DEX-9.2M-16.1M-5.2M-5.5M-9.9M
Net VEX-36.1K-43.8K-25.7K-25.9K-42.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.111.340.310.63
Total Volume177.454367843111
Total OI1,434.251,1441,7741,1441,527

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$123.20$80.00140.5%40.3%106.5%37.8%136.9%3.0%6.2%38.5K-5.5M-25.9K0.3112.97N/AN/A3310963181
2023-07-05$133.60$80.00129.4%37.1%108.1%32.2%132.2%-11.6%0.8%45.5K-6.5M-27.9K1.3017.81N/AN/A5166983180
2023-07-06$121.60$120.00126.9%39.9%116.8%30.9%141.3%-10.0%-19.8%37.1K-5.2M-25.7K1.3410.03N/AN/A2331998227
2023-07-07$143.20$120.00141.2%40.9%126.7%38.2%142.0%-8.4%-22.4%42.6K-7.2M-27.9K0.5415.08N/AN/A72381,003245
2023-07-10$160.00$120.00148.7%42.7%119.2%41.9%150.3%-10.0%-23.7%49.2K-8.9M-32.5K0.269.63N/AN/A166421,012266
2023-07-11$173.60$120.00154.4%44.1%112.9%44.8%154.5%-8.1%-19.1%54.7K-10.4M-33.6K0.187.71N/AN/A201371,045280
2023-07-12$196.00$120.00165.4%47.4%113.2%50.4%167.4%-12.7%-35.9%61.3K-12.8M-36.8K0.118.92N/AN/A311351,079299
2023-07-13$176.00$120.00158.4%45.4%124.3%46.9%162.0%-13.8%-24.3%65.7K-10.6M-35.8K0.617.11N/AN/A125761,127315
2023-07-14$148.00$160.00162.3%46.5%143.1%48.8%163.2%-14.5%-28.6%42.6K-7.1M-32.5K0.256.38N/AN/A185461,141369
2023-07-17$166.40$160.00162.9%46.7%146.8%49.1%169.2%-13.0%-27.5%58.0K-9.5M-37.0K0.256.47N/AN/A96241,198379
2023-07-18$178.40$160.00169.8%48.7%147.3%52.6%176.5%-12.7%-32.8%65.9K-10.9M-38.6K0.427.72N/AN/A99421,203383
2023-07-19$216.80$160.00187.1%53.7%156.5%61.4%190.1%-12.6%-42.7%83.4K-16.1M-43.8K0.213.90N/AN/A5621161,221399
2023-07-20$180.00$160.00177.8%51.0%175.9%56.7%183.9%-20.3%-24.6%46.3K-10.9M-40.5K0.475.57N/AN/A2251051,307465
2023-07-21$172.80$160.00170.6%48.9%176.3%53.0%178.8%-16.3%-19.8%44.3K-10.3M-39.5K0.383.08N/AN/A127481,342432
2023-07-24$170.40$160.00172.3%49.4%173.7%53.9%174.9%-16.2%-25.2%45.1K-8.4M-39.2K0.624.20N/AN/A93581,060284
2023-07-25$183.20$160.00178.4%51.1%174.5%57.0%178.1%-18.0%-27.0%49.4K-9.7M-42.1K0.255.65N/AN/A62161,092322
2023-07-26$176.80$160.00173.6%49.8%175.8%54.5%175.7%-13.5%-24.9%48.7K-9.1M-41.0K0.685.39N/AN/A37251,113326
2023-07-27$160.80$160.00163.7%48.5%179.7%49.5%176.0%-21.4%7.3%41.4K-7.4M-38.9K0.534.26N/AN/A37201,109341
2023-07-28$170.40$160.00159.8%49.4%179.5%47.6%180.0%-17.8%-5.4%43.5K-8.3M-40.0K0.364.22N/AN/A72261,113356
2023-07-31$184.80$160.00162.6%54.7%174.9%49.0%195.5%-15.7%-8.2%53.1K-9.9M-42.4K0.634.94N/AN/A68431,149378