VRM Options History — November 2023

In November 2023, VRM traded between $49.60 and $86.40. ATM implied volatility averaged 105.0%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 31.3%. IV traded below realized volatility by 17.1% (HV 20d: 122.1%). Max pain ranged from $80.00 to $120.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.02.

Notable Days

  • 2023-11-08: Highest Volume — 106 contracts
  • 2023-11-22: Largest IV drop — 31.1% change
  • 2023-11-07: Highest IV Rank — 35.9%
  • 2023-11-01: Largest Expected Move — 40.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.74$49.60$86.40$64.00$52.80
Max Pain$81.90$80.00$120.00$80.00$80.00
ATM IV105.0%63.5%132.4%125.0%112.2%
Expected Move31.3%22.4%40.7%40.7%36.6%
HV 20d122.1%56.4%141.0%56.4%141.0%
HV 60d93.8%77.5%102.8%102.8%95.3%
IV Rank21.4%0.0%35.9%31.9%25.9%
IV Percentile32.2%0.0%73.4%59.1%34.1%
Term Structure9.5%-38.0%86.9%-5.9%-12.4%
VWIV107.5%50.2%191.0%141.2%146.9%
Skew 25d-8.8%-66.1%44.4%18.3%-37.3%
Skew 10d-4.7%-85.2%79.4%-14.4%-37.3%
Call IV 25d124.3%86.0%148.9%137.3%146.2%
Put IV 25d115.5%75.4%164.8%155.6%108.9%
Bid-Ask Spread %11.211.6560.066.813.53
Gamma HHI0.300.250.340.340.31
Net GEX11.9K5.3K24.5K10.6K7.8K
Net DEX-513.8K-2.0M-41.2K-283.2K-250.5K
Net VEX-9.6K-15.1K-6.8K-8.9K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.384.851.093.84
Total Volume40.333161062527
Total OI1,306.9521,2651,3531,2651,314

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$64.00$80.00125.0%40.7%56.4%31.9%141.2%18.3%-5.9%10.6K-283.2K-8.9K1.096.81N/AN/A12131,060205
2023-11-02$73.60$80.00122.9%34.7%78.3%30.8%119.4%-30.3%2.4%18.5K-985.5K-12.6K0.473.32N/AN/A35161,069205
2023-11-03$83.20$80.00128.8%37.5%88.2%33.9%125.9%-2.9%-1.5%23.6K-2.0M-15.1K0.383.30N/AN/A55211,083204
2023-11-06$83.20$120.00127.0%36.8%87.3%33.0%129.5%37.0%6.9%23.0K-1.5M-14.3K0.5159.36N/AN/A30151,062213
2023-11-07$86.40$80.00132.4%40.4%86.0%35.9%71.4%36.6%14.4%24.5K-1.8M-14.7K0.8159.73N/AN/A39311,077213
2023-11-08$64.80$80.00107.0%31.8%132.3%22.2%112.5%23.3%3.5%13.0K-352.4K-10.3K0.8260.06N/AN/A58481,106229
2023-11-09$61.60$80.00114.6%32.6%132.7%26.3%112.4%44.4%-1.9%10.6K-236.7K-9.2K3.052.22N/AN/A7221,117229
2023-11-10$59.20$80.00120.9%31.7%132.7%29.7%99.4%9.6%-10.0%9.3K-79.6K-8.5K1.592.09N/AN/A16261,120233
2023-11-13$59.20$80.00103.7%30.7%132.2%20.5%0.0%-27.9%62.4%8.9K-141.7K-8.1K1.981.90N/AN/A9171,077220
2023-11-14$63.20$80.00111.5%32.3%134.7%24.7%191.0%-12.5%-8.3%11.0K-357.7K-9.2K1.092.10N/AN/A23251,084212
2023-11-15$65.60$80.00109.5%31.4%134.6%23.6%108.8%-3.7%-4.2%12.8K-522.0K-9.7K2.532.07N/AN/A9221,105218
2023-11-16$61.60$80.00116.9%34.2%135.1%27.5%101.6%27.6%-14.9%13.1K-669.8K-9.6K1.712.57N/AN/A12201,111218
2023-11-17$59.20$80.00109.4%34.4%135.3%23.5%119.4%-45.8%-38.0%9.5K-240.9K-8.9K3.921.65N/AN/A5181,121219
2023-11-20$59.20$80.0095.3%26.6%135.1%16.0%50.2%13.4%47.7%10.0K-442.5K-9.2K1.221.89N/AN/A21251,079210
2023-11-21$56.00$80.00100.6%26.8%135.8%18.8%90.0%-46.7%3.3%8.0K-176.1K-7.9K4.652.33N/AN/A7331,093211
2023-11-22$53.60$80.0069.3%22.4%135.7%2.0%62.4%-42.2%-5.0%7.3K-175.0K-7.8K1.809.81N/AN/A14241,098211
2023-11-24$54.40$80.0063.5%25.6%135.9%0.0%90.2%-28.0%-13.2%7.7K-219.1K-7.9K2.992.75N/AN/A4121,101212
2023-11-27$53.60$80.0065.3%25.3%135.7%1.0%83.9%-45.1%43.3%6.7K-64.1K-7.2K4.851.94N/AN/A3141,089212
2023-11-28$49.60$80.0078.2%22.5%137.4%7.8%77.6%-66.1%86.9%5.3K-41.2K-6.8K2.102.53N/AN/A9191,092211
2023-11-29$53.60$80.0091.3%22.9%141.0%14.8%116.1%-6.0%44.0%7.5K-244.3K-7.4K1.053.50N/AN/A15161,099204
2023-11-30$52.80$80.00112.2%36.6%141.0%25.9%146.9%-37.3%-12.4%7.8K-250.5K-7.5K3.843.53N/AN/A6211,110204