VRM Options History — October 2023

In October 2023, VRM traded between $64.80 and $89.60. ATM implied volatility averaged 126.3%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 37.0%. IV traded above realized volatility by 63.1% (HV 20d: 63.1%). Max pain ranged from $80.00 to $120.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.42.

Notable Days

  • 2023-10-13: Highest Volume — 43 contracts
  • 2023-10-09: Largest IV spike — 14.8% change
  • 2023-10-10: Highest IV Rank — 42.0%
  • 2023-10-09: Largest Expected Move — 40.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.09$64.80$89.60$86.40$64.80
Max Pain$94.55$80.00$120.00$120.00$80.00
ATM IV126.3%105.7%143.8%105.7%127.0%
Expected Move37.0%31.6%40.7%31.8%39.3%
HV 20d63.1%57.6%71.4%69.8%57.6%
HV 60d114.8%102.9%136.1%136.1%102.9%
IV Rank32.6%21.6%42.0%21.6%33.0%
IV Percentile58.1%25.8%75.0%25.8%62.7%
Term Structure2.3%-8.6%17.9%17.9%-5.1%
VWIV127.7%92.6%143.7%110.7%134.4%
Skew 25d-3.3%-35.8%88.4%-15.1%-34.2%
Skew 10d-9.9%-78.7%104.6%-8.3%-78.7%
Call IV 25d135.4%113.6%149.8%126.7%149.8%
Put IV 25d132.1%110.9%227.5%111.5%115.6%
Bid-Ask Spread %9.354.5714.4714.477.20
Gamma HHI0.240.180.360.180.29
Net GEX15.2K12.3K18.5K17.8K13.4K
Net DEX-1.1M-1.9M-452.2K-1.7M-592.1K
Net VEX-14.4K-18.3K-9.6K-17.9K-10.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.155.470.461.31
Total Volume26.09111431927
Total OI1,330.1361,2351,3941,3541,263

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$86.40$120.00105.7%31.8%69.8%21.6%110.7%-15.1%17.9%17.8K-1.7M-17.9K0.4614.47N/AN/A1361,103251
2023-10-03$81.60$120.00120.1%34.7%70.6%29.3%120.3%-3.8%11.8%15.3K-1.2M-15.6K1.876.23N/AN/A7141,110250
2023-10-04$83.20$120.00124.0%31.6%71.4%31.4%109.3%-4.4%13.5%15.2K-1.5M-16.9K0.2410.32N/AN/A2051,111255
2023-10-05$83.20$120.00123.7%37.7%65.8%31.2%92.6%32.1%11.7%15.5K-1.5M-16.9K5.4713.62N/AN/A291,124250
2023-10-06$88.00$120.00121.6%37.6%67.5%30.1%137.9%17.4%10.3%18.2K-1.9M-18.3K0.7210.82N/AN/A1291,124250
2023-10-09$84.80$120.00139.6%40.7%58.5%39.7%141.3%-13.0%-4.7%16.7K-1.6M-17.3K3.487.24N/AN/A391,101250
2023-10-10$89.60$120.00143.8%40.3%62.0%42.0%143.7%-8.7%-1.6%18.5K-1.7M-17.5K0.298.70N/AN/A2261,100255
2023-10-11$84.80$120.00130.4%37.6%64.4%34.8%133.4%-22.6%6.8%15.5K-1.5M-17.1K0.1514.22N/AN/A2641,111258
2023-10-12$81.60$80.00135.7%37.0%59.6%37.6%129.0%-13.0%-6.4%13.1K-1.3M-15.5K0.599.28N/AN/A19111,102252
2023-10-13$78.40$80.00126.8%36.6%60.1%32.8%127.3%-8.6%2.4%13.2K-1.0M-15.0K0.429.72N/AN/A30131,118254
2023-10-16$80.00$80.00131.9%37.3%60.6%35.6%131.1%-0.9%2.3%14.0K-1.4M-15.7K1.578.69N/AN/A8131,133247
2023-10-17$81.60$80.00126.8%36.1%60.8%32.8%128.2%36.8%-6.5%13.9K-1.4M-15.4K0.9113.17N/AN/A1091,137244
2023-10-18$76.80$80.00127.4%36.5%63.0%33.2%0.0%-20.8%-1.4%12.3K-945.8K-14.3K0.4011.03N/AN/A2081,141242
2023-10-19$72.80$80.00121.4%34.4%64.7%30.0%118.6%-25.6%8.8%17.9K-771.5K-13.3K3.126.76N/AN/A7231,146243
2023-10-20$73.60$80.00127.3%37.3%65.0%33.1%130.1%-32.1%-8.6%16.0K-465.0K-11.8K1.3410.28N/AN/A14191,151243
2023-10-23$71.20$80.00127.2%37.9%64.8%33.1%133.2%-35.8%-6.3%16.9K-908.2K-12.7K0.627.50N/AN/A16101,036199
2023-10-24$68.80$80.00128.6%39.9%63.1%33.8%139.2%-11.4%0.1%17.2K-779.1K-12.2K0.974.57N/AN/A15141,038197
2023-10-25$65.60$80.00123.3%40.5%60.6%31.0%139.0%47.9%5.6%13.6K-683.2K-11.3K1.746.06N/AN/A7121,044199
2023-10-26$65.60$80.00123.1%38.5%60.7%30.9%134.4%88.4%-2.7%13.4K-566.9K-10.6K1.356.06N/AN/A18241,047189
2023-10-27$66.40$80.00117.8%33.9%59.6%28.0%0.0%-13.9%3.1%14.1K-617.1K-10.9K1.8412.26N/AN/A10191,055191
2023-10-30$67.20$80.00124.8%36.8%59.2%31.8%0.0%-31.4%0.1%12.4K-452.2K-9.6K2.487.47N/AN/A9221,054195
2023-10-31$64.80$80.00127.0%39.3%57.6%33.0%0.0%-34.2%-5.1%13.4K-592.1K-10.4K1.317.20N/AN/A12151,059204