You probably don't have to file, but you might want to file. You are reporting a net gain of $0, so there is nothing to tax in Virginia. However, if there was VA tax withheld, you definitely will want to file to get back the tax withheld. Even if VA tax is not withheld, you could choose to file a VA return so that they don't ask questions about why you didn't account for the income reported to you.
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