VRM Options History — June 2024

In June 2024, VRM traded between $9.50 and $11.09. ATM implied volatility averaged 223.9%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 64.2%. IV traded above realized volatility by 176.4% (HV 20d: 47.5%). Max pain ranged from $0.50 to $0.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days.

Notable Days

  • 2024-06-27: Largest IV drop — 27.7% change
  • 2024-06-26: Highest IV Rank — 37.0%
  • 2024-06-26: Largest Expected Move — 82.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.21$9.50$11.09$11.09$9.51
Max Pain$0.50$0.50$0.50$0.50$0.50
ATM IV223.9%152.4%287.1%153.3%210.8%
Expected Move64.2%43.7%82.3%43.9%60.4%
HV 20d47.5%29.4%99.4%98.5%36.2%
HV 60d98.2%72.8%160.8%160.6%72.8%
IV Rank26.5%14.7%37.0%14.9%24.4%
IV Percentile74.2%56.0%84.9%56.7%69.8%
Term Structure-26.8%-120.7%91.0%89.9%32.8%
Skew 25d-195.6%-216.9%-0.9%-213.7%-216.9%
Skew 10d-194.8%-216.9%-0.9%-213.7%-216.9%
Call IV 25d243.2%243.0%243.5%243.1%243.5%
Put IV 25d47.7%26.6%242.4%29.4%26.6%
Bid-Ask Spread %0.540.490.590.490.59
Gamma HHI0.160.160.160.160.16
Net GEX8.3K7.8K8.9K7.8K8.1K
Net DEX-30.3M-33.0M-28.1M-33.0M-28.1M
Net VEX-16.0K-16.5K-15.6K-16.4K-15.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI36,619.47436,61136,65536,65536,615

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-06-03$11.09$0.50153.3%43.9%98.5%14.9%0.0%-213.7%89.9%7.8K-33.0M-16.4K0.000.49N/AN/A0030,5326,123
2024-06-04$10.55$0.50152.4%43.7%99.4%14.7%0.0%-0.9%91.0%8.4K-31.3M-16.5K0.000.52N/AN/A0030,5326,111
2024-06-05$10.45$0.50191.9%55.0%77.4%21.2%0.0%-215.3%13.1%7.8K-31.0M-16.1K0.000.53N/AN/A0030,5076,111
2024-06-06$10.50$0.50199.3%57.1%56.2%22.5%0.0%-195.4%0.4%8.5K-31.2M-16.3K0.000.53N/AN/A0030,5066,111
2024-06-07$10.34$0.50202.5%58.1%53.6%23.0%0.0%-215.4%-5.2%7.8K-30.7M-16.1K0.000.53N/AN/A0030,5066,111
2024-06-10$10.35$0.50213.8%61.3%49.1%24.9%0.0%-195.4%-21.6%8.4K-30.7M-15.8K0.000.53N/AN/A0030,5066,111
2024-06-11$10.35$0.50217.4%62.3%45.9%25.5%0.0%-215.1%-27.0%7.8K-30.7M-15.6K0.000.53N/AN/A0030,5066,111
2024-06-12$10.58$0.50222.9%63.9%47.1%26.4%0.0%-195.2%-34.3%8.6K-31.4M-16.3K0.000.52N/AN/A0030,5106,111
2024-06-13$10.20$0.50223.8%64.1%37.6%26.5%0.0%-215.4%-36.0%8.0K-30.2M-16.0K0.000.54N/AN/A0030,5106,111
2024-06-14$10.25$0.50228.0%65.4%36.9%27.2%0.0%-195.4%-41.6%8.6K-30.4M-16.2K0.000.54N/AN/A0030,5106,111
2024-06-17$10.15$0.50239.4%68.6%36.8%29.1%0.0%-215.3%-57.5%8.0K-30.1M-15.8K0.000.55N/AN/A0030,5106,111
2024-06-18$9.96$0.50242.0%69.4%37.0%29.5%0.0%-195.4%-61.0%8.7K-29.5M-16.1K0.000.56N/AN/A0030,5106,102
2024-06-20$10.04$0.50252.1%72.3%36.1%31.2%0.0%-215.6%-74.4%8.0K-29.8M-15.7K0.000.55N/AN/A0030,5106,102
2024-06-21$9.87$0.50255.5%73.3%29.8%31.8%0.0%-195.2%-79.5%8.8K-29.2M-15.9K0.000.56N/AN/A0030,5096,102
2024-06-24$10.10$0.50274.1%78.6%29.6%34.8%0.0%-215.1%-103.8%8.0K-29.9M-15.6K0.000.55N/AN/A0030,5096,102
2024-06-25$10.13$0.50280.5%80.4%29.4%35.9%0.0%-194.9%-112.3%8.9K-30.0M-16.0K0.000.55N/AN/A0030,5096,102
2024-06-26$10.14$0.50287.1%82.3%29.4%37.0%0.0%-215.2%-120.7%8.3K-30.1M-15.7K0.000.55N/AN/A0030,5136,102
2024-06-27$9.50$0.50207.7%59.5%36.3%23.8%0.0%-195.1%37.6%8.9K-28.1M-15.6K0.000.59N/AN/A0030,5136,102
2024-06-28$9.51$0.50210.8%60.4%36.2%24.4%0.0%-216.9%32.8%8.1K-28.1M-15.7K0.000.59N/AN/A0030,5136,102