VRM Options History — September 2024

In September 2024, VRM traded between $6.83 and $8.93. ATM implied volatility averaged 134.6%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 38.6%. IV traded above realized volatility by 3.6% (HV 20d: 131.0%). Max pain ranged from $0.50 to $0.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days.

Notable Days

  • 2024-09-16: Largest IV spike — 2.4% change
  • 2024-09-27: Highest IV Rank — 12.3%
  • 2024-09-27: Largest Expected Move — 39.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.79$6.83$8.93$8.71$8.43
Max Pain$0.50$0.50$0.50$0.50$0.50
ATM IV134.6%131.7%138.1%136.0%137.1%
Expected Move38.6%37.8%39.6%39.0%39.3%
HV 20d131.0%95.1%176.3%169.0%115.7%
HV 60d111.3%102.0%119.9%102.0%119.9%
IV Rank11.8%11.3%12.3%12.0%12.2%
IV Percentile40.1%32.9%49.6%46.4%47.6%
Term Structure-26.8%-27.6%-25.7%-26.8%-26.9%
Skew 25d-218.0%-223.5%-211.6%-214.2%-213.0%
Skew 10d-202.4%-206.0%-199.6%-205.6%-199.6%
Call IV 25d243.6%243.1%244.1%243.1%243.6%
Put IV 25d25.6%19.9%32.3%28.9%30.6%
Bid-Ask Spread %10.148.3311.859.068.75
Gamma HHI0.160.160.160.160.16
Net GEX10.8K10.1K11.4K10.3K11.4K
Net DEX-21.0M-24.3M-18.3M-23.6M-22.9M
Net VEX-13.1K-13.6K-12.4K-13.6K-12.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI33,901.833,89633,91433,89633,909

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$8.71$0.50136.0%39.0%169.0%12.0%0.0%-214.2%-26.8%10.3K-23.6M-13.6K0.009.06N/AN/A0028,2295,667
2024-09-04$7.98$0.50134.5%38.6%170.8%11.7%0.0%-217.7%-26.8%10.1K-21.6M-13.6K0.0010.00N/AN/A0028,2295,667
2024-09-05$8.34$0.50135.6%38.9%171.4%11.9%0.0%-216.5%-27.5%10.2K-22.6M-13.6K0.009.48N/AN/A0028,2295,667
2024-09-06$7.49$0.50133.4%38.3%175.6%11.6%0.0%-220.3%-26.4%10.3K-20.2M-13.3K0.0010.76N/AN/A0028,2295,667
2024-09-09$7.12$0.50132.5%38.0%176.3%11.4%0.0%-222.1%-26.4%10.5K-19.1M-13.3K0.0011.33N/AN/A0028,2295,667
2024-09-10$6.95$0.50132.0%37.9%137.2%11.3%0.0%-223.1%-25.8%10.5K-18.6M-13.3K0.0011.62N/AN/A0028,2295,667
2024-09-11$6.94$0.50131.9%37.8%136.6%11.3%0.0%-222.9%-26.7%10.5K-18.6M-13.2K0.0011.62N/AN/A0028,2295,672
2024-09-12$6.88$0.50131.8%37.8%135.2%11.3%0.0%-223.2%-26.8%10.5K-18.4M-13.2K0.0011.72N/AN/A0028,2295,672
2024-09-13$6.83$0.50131.7%37.8%135.0%11.3%0.0%-223.5%-25.7%10.5K-18.3M-13.1K0.0011.85N/AN/A0028,2295,672
2024-09-16$7.85$0.50134.9%38.7%142.9%11.8%0.0%-217.6%-27.3%10.8K-21.2M-13.1K0.0010.01N/AN/A0028,2295,672
2024-09-17$6.87$0.50132.1%37.9%95.1%11.4%0.0%-223.3%-26.1%10.7K-18.4M-13.0K0.0011.73N/AN/A0028,2295,672
2024-09-18$7.60$0.50134.2%38.5%101.5%11.7%0.0%-218.6%-26.7%11.0K-20.5M-13.0K0.0010.32N/AN/A0028,2295,668
2024-09-19$7.81$0.50134.8%38.6%101.3%11.8%0.0%-217.2%-26.6%10.9K-21.1M-13.0K0.009.95N/AN/A0028,2295,668
2024-09-20$7.90$0.50135.3%38.8%101.5%11.9%0.0%-217.1%-27.5%11.0K-21.3M-13.1K0.009.82N/AN/A0028,2295,668
2024-09-23$7.84$0.50135.2%38.8%101.5%11.9%0.0%-217.0%-26.9%11.1K-21.2M-12.7K0.009.84N/AN/A0028,2465,668
2024-09-24$8.93$0.50138.1%39.6%111.8%12.3%0.0%-211.6%-27.5%11.2K-24.3M-12.8K0.008.33N/AN/A0028,2465,668
2024-09-25$8.36$0.50136.8%39.2%113.9%12.1%0.0%-214.3%-26.3%11.2K-22.6M-12.7K0.009.02N/AN/A0028,2465,663
2024-09-26$8.23$0.50136.4%39.1%113.4%12.1%0.0%-214.6%-26.6%11.2K-22.3M-12.7K0.009.17N/AN/A0028,2465,663
2024-09-27$8.80$0.50138.1%39.6%115.1%12.3%0.0%-212.0%-27.6%11.3K-23.9M-12.5K0.008.35N/AN/A0028,2465,663
2024-09-30$8.43$0.50137.1%39.3%115.7%12.2%0.0%-213.0%-26.9%11.4K-22.9M-12.4K0.008.75N/AN/A0028,2465,663