VRM Options History — October 2024

In October 2024, VRM traded between $8.85 and $10.39. ATM implied volatility averaged 154.3%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 44.2%. IV traded above realized volatility by 58.0% (HV 20d: 96.3%). Max pain ranged from $0.50 to $0.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 0 of 23 days.

Notable Days

  • 2024-10-07: Largest IV spike — 72.3% change
  • 2024-10-09: Highest IV Rank — 29.8%
  • 2024-10-09: Largest Expected Move — 69.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.42$8.85$10.39$9.25$9.38
Max Pain$0.50$0.50$0.50$0.50$0.50
ATM IV154.3%139.2%243.6%139.2%142.7%
Expected Move44.2%39.9%69.8%39.9%40.9%
HV 20d96.3%56.0%121.7%120.3%56.0%
HV 60d125.0%121.4%126.5%121.4%123.8%
IV Rank15.0%12.5%29.8%12.5%13.1%
IV Percentile50.9%45.6%72.6%49.6%49.2%
Term Structure-27.3%-27.9%-26.6%-26.7%-27.8%
Skew 25d-177.0%-209.0%-0.8%-209.0%-181.4%
Skew 10d-169.6%-201.0%-0.8%-200.1%-181.4%
Call IV 25d241.4%216.2%244.0%243.6%216.2%
Put IV 25d64.4%33.3%243.2%34.7%34.8%
Bid-Ask Spread %12.026.4045.457.746.40
Gamma HHI0.160.160.160.160.16
Net GEX11.9K11.3K12.5K11.4K12.3K
Net DEX-25.7M-28.5M-24.1M-25.2M-25.6M
Net VEX-11.1K-12.2K-9.8K-12.2K-9.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI33,47032,64533,91033,90932,645

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-10-01$9.25$0.50139.2%39.9%120.3%12.5%0.0%-209.0%-26.7%11.4K-25.2M-12.2K0.007.74N/AN/A0028,2465,663
2024-10-02$10.39$0.50141.7%40.6%121.7%12.9%0.0%-204.4%-26.6%11.3K-28.5M-12.1K0.006.54N/AN/A0028,2465,663
2024-10-03$10.20$0.50243.5%69.8%121.6%29.8%0.0%-1.0%-27.3%11.6K-28.0M-11.6K0.0045.42N/AN/A0028,2465,663
2024-10-04$10.11$0.50141.3%40.5%113.7%12.9%0.0%-204.9%-27.2%11.4K-27.7M-12.0K0.006.74N/AN/A0028,2465,663
2024-10-07$10.21$0.50243.4%69.8%111.1%29.8%0.0%-1.1%-27.6%11.6K-28.0M-11.4K0.0045.45N/AN/A0028,2465,663
2024-10-08$10.12$0.50141.7%40.6%110.4%12.9%0.0%-204.1%-27.5%11.5K-27.7M-11.9K0.006.61N/AN/A0028,2465,663
2024-10-09$9.30$0.50243.6%69.8%116.2%29.8%0.0%-0.8%-27.6%12.0K-25.4M-11.3K0.0044.47N/AN/A0028,2465,663
2024-10-10$9.58$0.50140.8%40.4%116.0%12.8%0.0%-206.3%-27.3%11.7K-26.2M-11.7K0.007.10N/AN/A0028,2465,663
2024-10-11$9.00$0.50139.6%40.0%119.1%12.6%0.0%-208.8%-27.3%11.7K-24.5M-11.8K0.007.67N/AN/A0028,2465,663
2024-10-14$9.50$0.50141.1%40.4%110.8%12.8%0.0%-206.0%-27.9%11.8K-25.9M-11.6K0.007.01N/AN/A0028,2465,663
2024-10-15$9.50$0.50141.0%40.4%97.3%12.8%0.0%-205.5%-27.4%11.8K-25.9M-11.5K0.006.99N/AN/A0028,2465,664
2024-10-16$9.15$0.50140.3%40.2%93.6%12.7%0.0%-207.1%-27.6%11.9K-24.9M-11.3K0.007.35N/AN/A0028,2465,664
2024-10-17$9.30$0.50140.6%40.3%93.4%12.8%0.0%-205.8%-27.4%11.9K-25.4M-11.3K0.007.13N/AN/A0028,2465,664
2024-10-18$8.88$0.50139.8%40.1%95.4%12.6%0.0%-183.4%-27.1%11.9K-24.2M-11.1K0.007.58N/AN/A0028,2465,664
2024-10-21$8.85$0.50140.1%40.2%95.3%12.7%0.0%-207.5%-27.7%12.2K-24.1M-11.0K0.007.53N/AN/A0028,2465,664
2024-10-22$9.09$0.50140.5%40.3%83.8%12.7%0.0%-205.4%-27.0%12.3K-24.8M-10.7K0.007.19N/AN/A0028,2464,401
2024-10-23$9.23$0.50141.0%40.4%80.1%12.8%0.0%-204.6%-27.4%12.3K-25.2M-10.5K0.006.96N/AN/A0028,2464,401
2024-10-24$9.32$0.50141.3%40.5%79.8%12.9%0.0%-204.0%-26.8%12.3K-25.5M-10.3K0.006.82N/AN/A0028,2464,401
2024-10-25$8.95$0.50140.6%40.3%78.0%12.8%0.0%-205.8%-27.2%12.4K-24.4M-10.5K0.007.22N/AN/A0028,2464,401
2024-10-28$8.85$0.50140.8%40.4%76.5%12.8%0.0%-206.0%-27.2%12.5K-24.1M-10.3K0.007.19N/AN/A0028,2464,401
2024-10-29$8.99$0.50141.1%40.5%68.9%12.8%0.0%-204.7%-27.1%12.5K-24.5M-10.1K0.006.99N/AN/A0028,2444,401
2024-10-30$9.40$0.50142.5%40.8%56.2%13.1%0.0%-202.6%-27.7%12.4K-25.7M-9.8K0.006.45N/AN/A0028,2444,401
2024-10-31$9.38$0.50142.7%40.9%56.0%13.1%0.0%-181.4%-27.8%12.3K-25.6M-9.8K0.006.40N/AN/A0028,2444,401