VMBS options

Options Snapshot

VMBS's at the money implied volatility is 15.1 percent on 6 Oct 2026.

From the option chain at the close on 6 Oct 2026. Current on every plan.

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Expected Move

On 6 Oct 2026, the option prices for VMBS implied an expected move of 41.95 to 46.65 by 20 Nov 2026. That is 5.3 percent down and 5.3 percent up.

The range is one standard deviation either side of the close of 44.30, as the option prices imply it.

An expected move restates option prices at the close and says nothing certain about where the price goes.

Thin quote; neighbouring expiries stand in.

From the option chain at the close on 6 Oct 2026. Current on every plan.

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Gamma Map

On 6 Oct 2026, VMBS's call wall is the 47 strike and its put wall is the 45 strike.

Gamma exposure (GEX) is dollar gamma, stated for a one percent move in the price.

Net is calls minus puts under the standard convention, not a record of who holds the contracts.

Zero gamma is where calls minus puts gamma would change sign if the price moved there, holding tonight's contracts fixed. It assumes hedgers hold the calls and sold the puts, which the chain cannot show. On our August to October 2026 captures, names below it moved no more than names above it.

From the option chain at the close on 6 Oct 2026. Current on every plan.

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Volatility History

On 6 Oct 2026, VMBS's at the money IV is 15.1 percent against 20 day realized volatility of 6.4 percent.

Realized volatility is worked out from the daily closes the desk holds, not from the option chain.

From the option chain at the close on 6 Oct 2026. Current on every plan.

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Volatility Weather

On 6 Oct 2026, VMBS's at the money IV runs from 15.1 percent at 45 days to 8.9 percent at 136 days.

Near expiries price more volatility than far ones, an inverted term structure.

From the option chain at the close on 6 Oct 2026. Current on every plan.

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Volatility Surface

On 6 Oct 2026, VMBS's surface spans 2 expiries out to 136 days, with IV from 8.7 to 21.3 percent near the price.

From the option chain at the close on 6 Oct 2026. Current on every plan.

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Expiry Ladder

On 6 Oct 2026, VMBS has 2 captured expiries, from 20 Nov 2026 to 19 Feb 2027.

Open interest is summed over the strikes captured near the price on each expiry.

From the option chain at the close on 6 Oct 2026. Current on every plan.

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Strike Table

On 6 Oct 2026, VMBS's largest open interest sits at the 45 strike, with 10 contracts across the captured expiries.

From the option chain at the close on 6 Oct 2026. Current on every plan.

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Changed Hands

On 6 Oct 2026, 35 VMBS option contracts traded.

Traded volume and open interest are shown side by side and never combined. Open interest changes cannot identify buyers or sellers.

From the option chain at the close on 6 Oct 2026. Current on every plan.

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Price Chart

VMBS closed at 44.30 on 6 Oct 2026.

Worked out from the desk's own daily bars, adjusted for share splits.

From the daily bars through 6 Oct 2026. Current on every plan.

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Seasonality

In the 16 Octobers on record, VMBS's average change was minus 0.4 percent, and it rose in 31.2 percent of them.

Each figure is a month end to month end change in past years. A past month says nothing certain about the next one.

Monthly history through 6 Oct 2026. Current on every plan.

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