VRM Options History — December 2023

In December 2023, VRM traded between $48.80 and $65.60. ATM implied volatility averaged 116.4%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 33.6%. IV traded above realized volatility by 30.5% (HV 20d: 86.0%). Max pain ranged from $80.00 to $80.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2023-12-18: Highest Volume — 129 contracts
  • 2023-12-13: Largest IV spike — 62.8% change
  • 2023-12-26: Highest IV Rank — 49.6%
  • 2023-12-26: Largest Expected Move — 43.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.24$48.80$65.60$54.40$48.80
Max Pain$80.00$80.00$80.00$80.00$80.00
ATM IV116.4%69.3%156.9%108.4%100.7%
Expected Move33.6%19.6%43.7%19.6%40.3%
HV 20d86.0%61.8%130.6%130.6%89.1%
HV 60d95.0%90.7%100.8%94.4%100.1%
IV Rank28.1%3.1%49.6%23.8%19.8%
IV Percentile47.7%0.8%84.5%28.2%20.2%
Term Structure-15.0%-167.4%50.0%50.0%-23.7%
VWIV114.4%69.1%142.6%69.1%139.2%
Skew 25d-3.7%-21.0%19.0%9.9%2.5%
Skew 10d-11.8%-35.4%43.9%5.3%2.5%
Call IV 25d127.2%67.1%158.4%67.1%139.2%
Put IV 25d123.5%77.0%152.9%77.0%141.7%
Bid-Ask Spread %6.631.5028.944.172.47
Gamma HHI0.360.220.440.330.22
Net GEX9.4K4.6K15.3K7.9K5.0K
Net DEX-450.0K-991.4K-202.2K-239.7K-417.7K
Net VEX-8.7K-10.3K-7.2K-7.6K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.054.130.080.38
Total Volume42.75121296526
Total OI1,357.71,2001,4671,3241,340

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$54.40$80.00108.4%19.6%130.6%23.8%69.1%9.9%50.0%7.9K-239.7K-7.6K0.084.17N/AN/A6051,113211
2023-12-04$55.20$80.00118.9%29.4%120.7%29.4%101.3%-7.5%4.5%8.5K-259.2K-7.4K0.192.28N/AN/A4591,140203
2023-12-05$53.60$80.00111.8%27.4%120.5%25.6%86.6%-14.6%-12.7%9.9K-286.7K-7.6K0.089.50N/AN/A1311,166207
2023-12-06$53.60$80.0069.3%32.7%118.8%3.1%112.3%-0.8%-12.5%8.9K-202.2K-7.2K0.402.67N/AN/A1771,172207
2023-12-07$54.40$80.0084.2%34.8%66.9%11.0%120.9%0.6%-13.2%9.6K-327.8K-8.1K4.131.53N/AN/A5221,182209
2023-12-08$55.20$80.00121.8%33.2%65.4%31.0%114.5%-7.6%-5.5%9.9K-325.1K-8.4K3.331.90N/AN/A4141,180229
2023-12-11$52.80$80.00114.9%31.6%65.8%27.3%109.1%-16.1%-13.7%8.5K-243.5K-7.8K1.441.66N/AN/A17241,172233
2023-12-12$52.00$80.0077.0%34.9%65.8%7.2%0.0%1.3%6.0%7.6K-206.9K-8.0K1.945.84N/AN/A6121,172252
2023-12-13$53.60$80.00125.4%31.2%61.8%32.9%101.7%-9.1%-19.6%7.9K-238.5K-8.3K0.2023.82N/AN/A1741,176254
2023-12-14$59.20$80.00133.3%29.4%71.1%37.0%80.7%-6.8%-46.6%11.0K-534.3K-9.1K0.052.17N/AN/A5131,189254
2023-12-15$59.20$80.00131.3%31.2%67.7%36.0%104.9%-1.2%-39.3%11.5K-515.8K-9.6K0.052.25N/AN/A1111,213254
2023-12-18$65.60$80.00122.3%34.9%75.6%31.2%119.1%12.0%-1.7%15.3K-991.4K-10.3K0.1210.19N/AN/A11613992208
2023-12-19$63.20$80.00127.2%36.0%77.1%33.8%122.3%-4.8%8.3%14.0K-859.0K-10.0K0.072.16N/AN/A10471,065217
2023-12-20$57.60$80.00127.9%36.7%81.9%34.2%124.9%-1.9%0.6%11.9K-674.2K-10.0K0.181.50N/AN/A2441,116221
2023-12-21$59.20$80.00126.0%34.8%80.5%33.2%124.2%19.0%30.0%12.1K-763.1K-10.0K0.7423.98N/AN/A15111,121218
2023-12-22$58.40$80.00117.7%31.2%80.7%28.8%142.6%3.2%46.0%11.8K-695.1K-10.0K2.0728.94N/AN/A13271,125219
2023-12-26$50.40$80.00156.9%43.7%96.8%49.6%131.9%-12.7%-167.4%4.6K-343.8K-8.0K0.131.60N/AN/A89121,056219
2023-12-27$48.80$80.00135.3%38.8%93.5%38.1%127.6%-17.8%1.8%7.9K-459.1K-8.8K0.182.11N/AN/A1831,103218
2023-12-28$49.60$80.00118.3%40.8%89.1%29.1%141.2%-21.0%-90.5%5.0K-417.0K-8.6K0.141.77N/AN/A2231,109219
2023-12-29$48.80$80.00100.7%40.3%89.1%19.8%139.2%2.5%-23.7%5.0K-417.7K-8.7K0.382.47N/AN/A1971,119221