VRM Options History — July 2024

In July 2024, VRM traded between $9.03 and $9.63. ATM implied volatility averaged 212.4%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 55.9%. IV traded above realized volatility by 179.9% (HV 20d: 32.4%). Max pain ranged from $0.50 to $0.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days.

Notable Days

  • 2024-07-05: Highest Volume — 1 contracts
  • 2024-07-16: Largest IV drop — 71.8% change
  • 2024-07-15: Highest IV Rank — 69.1%
  • 2024-07-12: Largest Expected Move — 104.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.37$9.03$9.63$9.63$9.03
Max Pain$0.50$0.50$0.50$0.50$0.50
ATM IV212.4%135.2%481.0%229.2%135.2%
Expected Move55.9%38.7%104.1%65.7%38.8%
HV 20d32.4%27.6%35.5%35.4%28.5%
HV 60d67.1%61.7%72.6%72.6%61.7%
IV Rank24.6%11.9%69.1%27.4%11.9%
IV Percentile61.6%43.3%96.0%73.0%43.3%
Term Structure-35.1%-119.5%14.2%14.2%-27.2%
Skew 25d-215.9%-217.4%-214.4%-216.3%-215.9%
Skew 10d-215.0%-216.7%-212.4%-216.3%-212.4%
Call IV 25d243.3%243.0%243.6%243.5%243.1%
Put IV 25d27.4%26.1%28.5%27.2%27.3%
Bid-Ask Spread %9.090.5879.570.589.15
Gamma HHI0.180.160.640.160.16
Net GEX8.3K1.6K9.1K8.3K9.1K
Net DEX-26.9M-28.7M-24.4M-28.5M-24.4M
Net VEX-14.4K-15.5K-440-15.4K-14.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume0.0450100
Total OI35,619.95533,74536,70336,61533,745

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-07-01$9.63$0.50229.2%65.7%35.4%27.4%0.0%-216.3%14.2%8.3K-28.5M-15.4K0.000.58N/AN/A0030,5136,102
2024-07-02$9.50$0.50234.9%67.3%35.4%28.4%0.0%-216.6%8.6%8.2K-28.1M-15.5K0.000.59N/AN/A0030,5136,102
2024-07-03$9.50$0.50241.4%69.2%31.7%29.4%0.0%-216.3%1.8%8.3K-28.1M-15.5K0.000.59N/AN/A0030,5136,102
2024-07-05$9.41$0.50231.6%0.0%31.7%27.8%0.0%0.0%0.0%1.6K-28.7M-4400.0079.57N/AN/A0130,5136,102
2024-07-08$9.51$0.50293.4%84.1%32.0%38.0%0.0%-216.4%-49.8%8.4K-28.1M-15.2K0.000.59N/AN/A0030,5136,101
2024-07-09$9.30$0.50305.7%87.6%32.4%40.1%0.0%-216.7%-62.4%8.2K-27.5M-15.2K0.000.60N/AN/A0030,5136,101
2024-07-10$9.40$0.50323.7%92.8%32.9%43.0%0.0%-216.2%-80.6%8.4K-27.8M-15.1K0.000.59N/AN/A0030,5136,101
2024-07-11$9.25$0.50341.6%97.9%33.0%46.0%0.0%-216.8%-98.2%8.4K-27.3M-15.2K0.000.61N/AN/A0030,5136,101
2024-07-12$9.10$0.50363.0%104.1%31.6%49.5%0.0%-217.4%-119.5%8.5K-26.9M-15.2K0.000.62N/AN/A0030,5136,101
2024-07-15$9.10$0.50481.0%38.7%29.7%69.1%0.0%-217.1%-27.0%8.5K-26.9M-15.1K0.009.22N/AN/A0030,5136,101
2024-07-16$9.50$0.50135.6%38.9%34.3%11.9%0.0%-215.7%-27.5%8.7K-28.2M-15.3K0.008.77N/AN/A0030,6026,101
2024-07-17$9.40$0.50135.4%38.8%34.3%11.9%0.0%-215.8%-27.6%8.5K-27.9M-15.0K0.008.88N/AN/A0030,6026,101
2024-07-18$9.40$0.50135.3%38.8%33.8%11.9%0.0%-215.6%-27.2%8.7K-27.9M-15.1K0.008.86N/AN/A0030,6026,101
2024-07-19$9.62$0.50135.9%39.0%34.9%12.0%0.0%-215.0%-27.7%8.7K-28.5M-15.2K0.008.66N/AN/A0030,6026,101
2024-07-22$9.38$0.50135.5%38.9%35.5%11.9%0.0%-215.4%-26.6%8.9K-25.4M-15.0K0.008.87N/AN/A0028,0756,003
2024-07-23$9.38$0.50135.5%38.9%34.2%11.9%0.0%-215.2%-26.3%8.8K-25.4M-14.9K0.008.84N/AN/A0028,0755,853
2024-07-24$9.38$0.50135.5%38.8%34.1%11.9%0.0%-215.0%-27.1%9.0K-25.4M-15.1K0.008.84N/AN/A0028,0755,853
2024-07-25$9.25$0.50135.5%38.9%34.2%11.9%0.0%-215.8%-26.6%8.9K-25.1M-14.9K0.008.96N/AN/A0028,0755,676
2024-07-26$9.50$0.50135.7%38.9%27.6%12.0%0.0%-214.4%-26.2%8.8K-25.8M-15.0K0.008.71N/AN/A0028,0755,676
2024-07-29$9.35$0.50135.8%38.9%28.1%12.0%0.0%-215.1%-26.4%9.1K-25.3M-14.7K0.008.80N/AN/A0028,0755,676
2024-07-30$9.18$0.50135.6%38.9%28.3%11.9%0.0%-215.6%-27.0%9.1K-24.9M-14.7K0.008.99N/AN/A0028,0755,676
2024-07-31$9.03$0.50135.2%38.8%28.5%11.9%0.0%-215.9%-27.2%9.1K-24.4M-14.6K0.009.15N/AN/A0028,0755,670