VRM Options History — January 2024

In January 2024, VRM traded between $18.40 and $48.80. ATM implied volatility averaged 161.9%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 44.0%. IV traded above realized volatility by 28.9% (HV 20d: 133.0%). Max pain ranged from $40.00 to $80.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2024-01-23: Highest Volume — 141 contracts
  • 2024-01-24: Largest IV spike — 93.6% change
  • 2024-01-24: Highest IV Rank — 100.0%
  • 2024-01-25: Largest Expected Move — 73.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.52$18.40$48.80$48.80$20.00
Max Pain$43.81$40.00$80.00$80.00$40.00
ATM IV161.9%111.1%356.6%132.8%153.0%
Expected Move44.0%32.7%73.5%39.4%57.9%
HV 20d133.0%80.4%216.0%88.2%216.0%
HV 60d119.4%99.8%156.2%100.1%154.1%
IV Rank44.1%25.3%100.0%36.8%30.5%
IV Percentile75.9%30.6%100.0%74.6%78.6%
Term Structure33.2%-161.1%234.6%-94.2%48.1%
VWIV149.5%114.1%270.6%136.1%270.6%
Skew 25d-7.2%-56.7%187.0%-31.3%-50.9%
Skew 10d-20.2%-93.0%187.0%-39.9%-50.9%
Call IV 25d142.6%101.8%177.4%169.5%150.5%
Put IV 25d135.4%99.6%364.5%138.2%99.6%
Bid-Ask Spread %21.261.8875.2510.1924.48
Gamma HHI0.240.190.310.310.19
Net GEX3.2K7007.3K7.3K934
Net DEX-202.8K-544.5K-13.3K-463.7K-265.6K
Net VEX-5.6K-9.1K-2.5K-9.1K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.021.720.260.94
Total Volume30.814141364
Total OI1,086.9526261,3321,312758

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$48.80$80.00132.8%39.4%88.2%36.8%136.1%-31.3%-94.2%7.3K-463.7K-9.1K0.2610.19N/AN/A2971,101211
2024-01-03$45.60$80.00125.1%36.2%90.6%32.7%126.5%25.4%-47.7%5.8K-373.3K-8.5K0.071.88N/AN/A2221,115213
2024-01-04$44.80$40.00127.4%33.3%90.3%33.9%117.0%3.7%-8.1%5.4K-426.1K-7.5K0.097.75N/AN/A811,125207
2024-01-05$40.80$40.00126.1%32.9%95.1%33.3%114.5%-16.4%-19.6%3.8K-277.8K-7.4K0.1012.65N/AN/A3331,126205
2024-01-08$41.60$40.00129.4%33.4%95.2%35.0%114.8%-8.2%-4.2%4.5K-366.8K-6.5K0.323.06N/AN/A721,112198
2024-01-09$43.20$40.00126.9%37.4%96.5%33.7%128.5%-5.7%1.6%5.1K-317.5K-7.6K0.1513.00N/AN/A911,115199
2024-01-10$40.00$40.00123.4%36.5%98.6%31.8%127.1%-8.8%1.7%4.3K-237.4K-7.1K0.224.48N/AN/A1331,114199
2024-01-11$38.40$40.00111.1%32.8%99.1%25.3%114.4%-17.1%27.2%3.2K-173.9K-6.9K0.2617.69N/AN/A2261,113200
2024-01-12$35.20$40.00124.6%32.7%100.7%32.4%114.1%-15.9%-15.1%3.2K-73.7K-6.1K0.2012.89N/AN/A1841,116197
2024-01-16$33.60$40.00130.4%37.5%90.3%35.5%130.6%-18.1%88.7%3.0K-45.5K-5.8K1.0514.09N/AN/A11111,096195
2024-01-17$34.40$40.00127.6%36.6%91.7%34.0%127.1%-20.0%142.5%3.4K-100.1K-5.8K0.2824.07N/AN/A1851,101183
2024-01-18$35.20$40.00178.9%35.9%80.4%61.3%125.3%-11.1%143.2%3.3K-75.2K-5.8K1.7211.12N/AN/A6111,113184
2024-01-19$36.00$40.00211.3%32.8%82.5%78.4%114.5%-5.8%234.6%3.3K-103.8K-6.1K0.9475.25N/AN/A15141,114189
2024-01-22$42.40$40.00153.9%38.3%103.4%48.0%126.9%4.2%-22.8%4.6K-544.5K-7.2K0.0229.79N/AN/A822502124
2024-01-23$24.80$40.00184.2%45.9%210.6%64.0%153.5%-16.3%176.0%1.7K-94.9K-3.8K0.1413.46N/AN/A12318543125
2024-01-24$20.80$40.00356.6%68.0%215.4%100.0%234.7%187.0%-161.1%1.2K-80.5K-2.9K0.5930.30N/AN/A4124600116
2024-01-25$20.80$40.00190.3%73.5%213.0%43.3%228.1%-41.7%-15.6%1.1K-89.6K-3.3K1.1434.43N/AN/A1416621126
2024-01-26$20.00$40.00238.1%65.3%213.0%59.6%192.6%-3.5%150.6%884-86.9K-2.9K0.0433.64N/AN/A151632136
2024-01-29$19.20$40.00157.4%46.7%211.8%32.0%193.9%-56.7%49.3%1.0K-48.3K-2.7K0.0738.39N/AN/A101613135
2024-01-30$18.40$40.00191.5%70.0%211.5%43.7%0.0%-44.1%22.0%700-13.3K-2.5K0.0233.86N/AN/A150619135
2024-01-31$20.00$40.00153.0%57.9%216.0%30.5%270.6%-50.9%48.1%934-265.6K-3.3K0.9424.48N/AN/A22625133