VRM Options History — September 2023

In September 2023, VRM traded between $83.20 and $106.40. ATM implied volatility averaged 107.5%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 31.9%. IV traded above realized volatility by 11.0% (HV 20d: 96.5%). Max pain ranged from $120.00 to $120.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2023-09-05: Highest Volume — 113 contracts
  • 2023-09-05: Largest IV spike — 22.0% change
  • 2023-09-26: Highest IV Rank — 32.5%
  • 2023-09-26: Largest Expected Move — 35.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.84$83.20$106.40$106.40$90.40
Max Pain$120.00$120.00$120.00$120.00$120.00
ATM IV107.5%90.5%126.1%90.5%113.5%
Expected Move31.9%28.3%35.2%33.1%33.3%
HV 20d96.5%67.4%156.2%156.0%68.6%
HV 60d145.8%140.3%151.6%151.6%140.3%
IV Rank22.5%13.4%32.5%13.4%25.7%
IV Percentile28.6%14.7%57.1%14.7%34.9%
Term Structure2.8%-11.3%24.6%16.2%-11.3%
VWIV110.4%87.6%124.3%114.4%87.6%
Skew 25d-7.7%-22.5%13.9%-8.2%-2.6%
Skew 10d-29.8%-62.5%26.8%-26.5%26.8%
Call IV 25d119.1%96.8%135.6%126.8%122.0%
Put IV 25d111.4%95.9%122.8%118.6%119.4%
Bid-Ask Spread %6.332.9711.305.159.03
Gamma HHI0.210.170.350.180.19
Net GEX25.1K17.6K42.0K30.1K20.2K
Net DEX-2.1M-2.8M-1.5M-2.8M-1.9M
Net VEX-20.5K-25.0K-17.8K-25.0K-19.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.064.310.354.31
Total Volume225113115
Total OI1,488.851,3891,5911,4991,399

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$106.40$120.0090.5%33.1%156.0%13.4%114.4%-8.2%16.2%30.1K-2.8M-25.0K0.355.15N/AN/A831,205294
2023-09-05$101.60$120.00110.4%33.2%156.2%24.1%118.1%13.9%-9.3%22.3K-2.7M-22.7K0.065.78N/AN/A10761,167263
2023-09-06$100.00$120.00105.3%33.3%155.7%21.3%113.2%9.1%11.1%42.0K-2.8M-23.1K0.156.91N/AN/A1931,287265
2023-09-07$92.00$120.00103.6%30.3%90.3%20.4%109.0%-17.1%3.4%30.0K-2.2M-21.0K1.633.19N/AN/A361,291266
2023-09-08$88.00$120.00103.5%30.9%90.7%20.3%110.3%-11.8%-0.6%22.5K-1.9M-20.0K0.495.67N/AN/A1151,291267
2023-09-11$96.80$120.00109.6%31.8%98.1%23.6%107.1%-3.3%2.7%31.4K-2.3M-20.9K0.302.97N/AN/A1851,270261
2023-09-12$98.40$120.00107.7%30.5%98.5%22.6%109.5%-5.3%-4.4%33.7K-2.4M-21.4K0.293.72N/AN/A44131,279264
2023-09-13$96.80$120.0095.5%28.4%98.2%16.0%105.1%-10.2%-1.9%26.0K-2.2M-21.2K0.394.68N/AN/A521,316267
2023-09-14$103.20$120.0097.0%31.4%96.9%16.9%110.0%-3.0%24.6%29.0K-2.7M-22.9K0.1210.05N/AN/A3341,318268
2023-09-15$100.00$120.00106.1%31.1%94.6%21.7%108.8%-10.2%4.9%27.4K-2.5M-22.1K1.126.36N/AN/A551,323268
2023-09-18$96.80$120.00100.9%29.2%94.6%19.0%111.9%-19.0%6.8%24.2K-2.3M-21.3K0.066.47N/AN/A3321,192258
2023-09-19$93.60$120.00113.4%32.7%94.6%25.7%113.2%-6.0%-6.3%24.1K-2.1M-20.3K0.274.58N/AN/A1131,216258
2023-09-20$90.40$120.0098.5%28.3%88.6%17.7%100.8%-14.4%7.9%21.4K-1.9M-18.8K0.228.23N/AN/A611,222261
2023-09-21$88.00$120.00109.8%31.5%81.7%23.7%109.5%-12.1%0.3%20.9K-1.8M-19.3K0.195.21N/AN/A1121,226259
2023-09-22$86.40$120.00115.1%33.4%77.1%26.6%115.5%-2.6%-3.6%20.8K-1.8M-19.2K0.879.23N/AN/A871,224258
2023-09-25$83.20$120.00114.8%32.0%77.4%26.4%111.8%-22.5%4.6%17.6K-1.5M-17.8K0.777.64N/AN/A641,130259
2023-09-26$86.40$120.00126.1%35.2%71.8%32.5%124.3%-13.7%-7.3%19.1K-1.5M-18.1K0.4711.30N/AN/A1151,131260
2023-09-27$90.40$120.00114.7%34.4%73.8%26.3%122.6%-10.3%11.2%20.1K-1.9M-18.8K1.486.49N/AN/A681,138258
2023-09-28$88.00$120.00114.6%34.5%67.4%26.3%105.9%-4.7%6.4%19.5K-1.7M-18.3K2.133.88N/AN/A241,139259
2023-09-29$90.40$120.00113.5%33.3%68.6%25.7%87.6%-2.6%-11.3%20.2K-1.9M-19.0K4.319.03N/AN/A141,140259