VRM Options History — February 2024

In February 2024, VRM traded between $8.37 and $19.20. ATM implied volatility averaged 348.8%, placing in the 76.0% IV rank vs the trailing year. The 30-day expected move averaged 69.9%. IV traded above realized volatility by 145.9% (HV 20d: 202.9%). Max pain ranged from $0.50 to $40.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2024-02-21: Highest Volume — 351 contracts
  • 2024-02-14: Largest IV spike — 74.3% change
  • 2024-02-14: Highest IV Rank — 100.0%
  • 2024-02-12: Largest Expected Move — 77.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.80$8.37$19.20$19.20$11.77
Max Pain$19.21$0.50$40.00$40.00$0.50
ATM IV348.8%177.3%486.2%189.5%486.2%
Expected Move69.9%58.0%77.2%58.0%71.1%
HV 20d202.9%121.6%227.7%215.9%195.4%
HV 60d154.1%145.1%175.2%151.2%174.6%
IV Rank76.0%38.8%100.0%43.0%100.0%
IV Percentile97.9%88.9%100.0%94.8%100.0%
Term Structure20.2%-68.2%68.1%1.7%-68.2%
Skew 25d1.1%-51.5%69.5%-43.7%52.3%
Skew 10d1.8%-51.5%76.7%-43.7%52.3%
Call IV 25d187.3%119.2%225.8%163.3%217.2%
Put IV 25d188.4%119.6%269.4%119.6%269.4%
Bid-Ask Spread %105.4333.57180.3035.60164.96
Gamma HHI0.360.200.610.220.57
Net GEX83105.1K1.1K964
Net DEX-25.7M-64.9M-47.5K-110.2K-51.0M
Net VEX-1.4K-2.9K0-2.9K-412
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.006.042.100.00
Total Volume69.255351623
Total OI26,858.8513057,77675750,679

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-02-01$19.20$40.00189.5%58.0%215.9%43.0%0.0%-43.7%1.7%1.1K-110.2K-2.9K2.1035.60N/AN/A24626131
2024-02-02$17.60$40.00217.0%74.4%216.2%52.4%0.0%-13.9%32.9%786-90.9K-2.6K0.9450.41N/AN/A43624128
2024-02-05$15.20$40.00207.5%74.3%218.5%49.1%0.0%6.4%29.2%639-71.9K-2.3K0.0484.83N/AN/A110600123
2024-02-06$16.80$40.00203.3%72.2%223.7%47.7%0.0%69.5%13.8%882-123.1K-2.7K0.0454.30N/AN/A50623120
2024-02-07$16.00$40.00177.3%66.2%221.5%38.8%0.0%-28.4%68.1%952-174.6K-2.9K0.1246.55N/AN/A111625120
2024-02-08$16.00$40.00190.9%67.5%222.0%43.5%0.0%56.8%67.4%1.0K-78.6K-2.1K6.0451.04N/AN/A16631119
2024-02-09$16.00$40.00202.7%67.8%222.5%47.5%0.0%-38.1%58.9%721-47.5K-2.3K0.0639.67N/AN/A111631112
2024-02-12$16.80$40.00252.4%77.2%224.3%64.5%0.0%-51.5%-21.8%819-85.9K-2.6K0.0833.57N/AN/A101614108
2024-02-13$15.20$40.00247.3%71.1%225.4%62.7%0.0%52.3%-68.2%731-226.2K-2.6K0.10133.93N/AN/A162618107
2024-02-14$14.32$0.00431.1%0.0%224.2%100.0%0.0%0.0%0.0%0-186.2K00.02180.30N/AN/A5311300
2024-02-15$13.01$0.50421.3%0.0%223.5%97.3%0.0%0.0%0.0%819-64.9M-3930.10122.87N/AN/A67749,9207,856
2024-02-16$10.67$0.50478.8%0.0%227.7%100.0%0.0%0.0%0.0%59-53.2M-1123.40120.32N/AN/A51749,8957,843
2024-02-20$10.38$0.50475.1%0.0%212.3%99.1%0.0%0.0%0.0%66-47.3M-1090.0883.76N/AN/A66545,5947,418
2024-02-21$10.04$0.50465.3%0.0%121.6%96.8%0.0%0.0%0.0%53-45.7M-990.05157.28N/AN/A3351645,5287,413
2024-02-22$8.37$0.50485.2%0.0%122.5%100.0%0.0%0.0%0.0%5.1K-38.1M-2.0K0.00132.28N/AN/A329045,5837,423
2024-02-23$10.06$0.50459.1%0.0%146.6%93.8%0.0%0.0%0.0%52-45.8M-990.11179.69N/AN/A19245,5687,359
2024-02-26$14.03$0.50478.7%0.0%196.5%98.5%0.0%0.0%0.0%347-60.9M-1880.04135.18N/AN/A57243,3797,342
2024-02-27$12.56$0.50472.5%0.0%199.2%97.0%0.0%0.0%0.0%679-54.5M-3370.00165.60N/AN/A137043,4347,344
2024-02-28$11.96$0.50435.6%0.0%199.3%88.2%0.0%0.0%0.0%887-52.0M-4090.01136.50N/AN/A154143,4667,343
2024-02-29$11.77$0.50486.2%0.0%195.4%100.0%0.0%0.0%0.0%964-51.0M-4120.00164.96N/AN/A23043,3367,343