VRM Options History — August 2024

In August 2024, VRM traded between $6.05 and $9.83. ATM implied volatility averaged 139.8%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 40.1%. IV traded above realized volatility by 18.6% (HV 20d: 121.2%). 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 0 of 22 days.

Notable Days

  • 2024-08-13: Largest IV spike — 23.3% change
  • 2024-08-19: Highest IV Rank — 17.0%
  • 2024-08-19: Largest Expected Move — 47.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.42$6.05$9.83$9.19$8.54
Max Pain$0.50$0.50$0.50$0.50$0.50
ATM IV139.8%128.4%166.2%135.6%135.7%
Expected Move40.1%36.8%47.7%38.9%38.9%
HV 20d121.2%29.2%174.3%29.4%174.3%
HV 60d78.9%44.8%101.9%61.8%101.9%
IV Rank12.6%10.7%17.0%11.9%11.9%
IV Percentile47.7%38.1%57.1%46.8%44.8%
Term Structure-37.3%-85.7%-26.1%-26.4%-26.5%
Skew 25d-228.5%-286.8%-211.5%-215.3%-215.8%
Skew 10d-220.2%-270.3%-207.3%-212.5%-207.3%
Call IV 25d254.0%242.9%302.3%243.2%243.6%
Put IV 25d25.6%13.1%31.8%27.9%27.8%
Bid-Ask Spread %9.768.0513.818.969.32
Gamma HHI0.160.160.160.160.16
Net GEX9.5K8.3K10.1K9.1K9.9K
Net DEX-22.7M-26.8M-16.0M-24.9M-23.2M
Net VEX-14.1K-14.7K-13.3K-14.7K-13.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI33,794.04533,70333,90833,74533,896

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-08-01$9.19$0.50135.6%38.9%29.4%11.9%0.0%-215.3%-26.4%9.1K-24.9M-14.7K0.008.96N/AN/A0028,0755,670
2024-08-02$9.15$0.50135.5%38.8%29.2%11.9%0.0%-215.3%-26.1%9.2K-24.8M-14.7K0.009.03N/AN/A0028,0755,670
2024-08-05$8.12$0.50133.7%38.3%50.7%11.6%0.0%-219.4%-26.5%9.3K-21.9M-14.7K0.0010.19N/AN/A0028,0755,670
2024-08-06$8.58$0.50134.7%38.6%55.0%11.8%0.0%-217.6%-26.7%9.4K-23.1M-14.4K0.009.59N/AN/A0028,0695,655
2024-08-07$8.40$0.50134.2%38.5%55.1%11.7%0.0%-217.9%-27.1%9.4K-22.6M-14.4K0.009.80N/AN/A0028,0395,668
2024-08-08$8.34$0.50134.2%38.5%54.9%11.7%0.0%-218.2%-27.2%9.4K-22.4M-14.4K0.009.88N/AN/A0028,0395,668
2024-08-09$8.21$0.50133.8%38.4%54.9%11.6%0.0%-218.3%-26.1%9.3K-22.1M-14.5K0.0010.03N/AN/A0028,0395,668
2024-08-12$6.05$0.50128.4%36.8%119.8%10.7%0.0%-230.5%-26.4%9.0K-16.0M-13.5K0.0013.81N/AN/A0028,0385,668
2024-08-13$6.30$0.50158.2%45.4%119.6%15.7%0.0%-286.8%-85.3%8.3K-16.7M-13.3K0.0012.07N/AN/A0028,0365,668
2024-08-14$6.68$0.50130.2%37.3%122.8%11.0%0.0%-225.9%-26.7%9.1K-17.8M-13.8K0.0012.40N/AN/A0028,0355,668
2024-08-15$6.55$0.50159.3%45.7%122.7%15.8%0.0%-285.6%-85.0%9.0K-17.4M-13.7K0.0012.14N/AN/A0028,0355,679
2024-08-16$6.84$0.50160.2%45.9%123.8%16.0%0.0%-283.8%-85.7%8.7K-18.2M-13.6K0.0011.61N/AN/A0028,0355,679
2024-08-19$9.38$0.50166.2%47.7%171.0%17.0%0.0%-272.2%-85.5%9.1K-25.4M-14.0K0.008.21N/AN/A0028,0335,679
2024-08-20$9.83$0.50137.5%39.4%171.8%12.2%0.0%-211.5%-26.9%10.0K-26.8M-14.1K0.008.05N/AN/A0028,2295,679
2024-08-21$9.32$0.50136.7%39.2%172.9%12.1%0.0%-213.3%-26.2%9.9K-25.4M-14.1K0.008.57N/AN/A0028,2295,679
2024-08-22$9.33$0.50136.8%39.2%172.8%12.1%0.0%-213.2%-27.2%10.0K-25.4M-14.1K0.008.55N/AN/A0028,2295,679
2024-08-23$9.25$0.50136.9%39.3%172.6%12.1%0.0%-213.8%-27.7%9.9K-25.2M-13.9K0.008.61N/AN/A0028,2295,679
2024-08-26$9.62$0.50137.5%39.4%173.1%12.2%0.0%-211.8%-26.4%10.1K-26.2M-13.9K0.008.17N/AN/A0028,2295,679
2024-08-27$9.55$0.50137.3%39.4%173.0%12.2%0.0%-211.6%-26.1%10.0K-26.0M-13.8K0.008.22N/AN/A0028,2295,679
2024-08-28$9.20$0.50137.0%39.3%173.4%12.2%0.0%-213.4%-26.5%9.9K-25.0M-13.8K0.008.56N/AN/A0028,2295,667
2024-08-29$8.78$0.50136.1%39.0%174.1%12.0%0.0%-214.8%-26.7%10.0K-23.8M-13.9K0.009.05N/AN/A0028,2295,667
2024-08-30$8.54$0.50135.7%38.9%174.3%11.9%0.0%-215.8%-26.5%9.9K-23.2M-13.9K0.009.32N/AN/A0028,2295,667