VERS Options History — July 2022 In July 2022, VERS traded between $32.42 and $37.70. ATM implied volatility averaged 47.8%. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 0.7% (HV 20d: 47.1%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 9 of 18 trading days. Term structure was in contango for 6 of 18 days. Put/call ratio averaged 0.00.
Notable Days 2022-07-01 : Highest Volume — 1 contracts2022-07-05 : Largest IV spike — 52.8% change2022-07-05 : Largest Expected Move — 15.5%Monthly Statistics Metric Avg Min Max Open Close Price $34.94 $32.42 $37.70 $32.82 $36.67 Max Pain $35.00 $35.00 $35.00 $35.00 $35.00 ATM IV 47.8% 36.0% 72.4% 47.4% 36.0% Expected Move 12.6% 10.3% 15.5% 13.6% 10.3% HV 20d 47.1% 39.9% 54.8% 50.8% 44.5% Term Structure -1.2% -11.1% 4.9% -0.5% 2.0% VWIV 44.2% 37.5% 58.9% 58.9% 40.1% Skew 25d 5.6% 3.0% 12.6% 8.8% 4.1% Skew 10d 10.3% 2.8% 19.8% 2.8% 14.4% Call IV 25d 37.1% 33.2% 43.7% 43.7% 38.3% Put IV 25d 42.7% 37.4% 52.5% 52.5% 42.5% Bid-Ask Spread % 121.92 111.99 131.85 130.85 127.33 Gamma HHI 0.72 0.50 1.00 0.56 1.00 Net GEX 113 -133 433 169 -119 Net DEX -499 -2.8K 1.7K -971 1.1K Net VEX -2 -4 0 -3 -3 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.833 0 1 1 1 Total OI 1.333 0 2 2 1
Daily Data (18 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2022-07-01 $32.82 $35.00 47.4% 13.6% 0.0% 0.0% 58.9% 8.8% -0.5% 169 -971 -3 0.00 130.85 N/A N/A 1 0 2 0 2022-07-05 $32.42 $0.00 72.4% 15.5% 50.8% 0.0% 0.0% 12.6% -11.1% 136 -1.9K -4 0.00 115.79 N/A N/A 1 0 2 0 2022-07-06 $34.34 $0.00 46.9% 13.0% 54.8% 0.0% 0.0% 7.3% -2.9% 316 -1.6K -3 0.00 114.04 N/A N/A 1 0 2 0 2022-07-07 $34.12 $0.00 62.5% 12.5% 53.1% 0.0% 0.0% 5.5% 1.2% 199 -2.5K -4 0.00 120.14 N/A N/A 1 0 2 0 2022-07-08 $35.26 $0.00 41.1% 13.1% 52.9% 0.0% 0.0% 3.1% -2.4% 433 -2.8K -3 0.00 117.07 N/A N/A 1 0 2 0 2022-07-11 $34.35 $0.00 59.3% 13.2% 52.5% 0.0% 0.0% 3.0% -3.3% 369 -1.3K -2 0.00 115.69 N/A N/A 1 0 2 0 2022-07-12 $34.28 $0.00 69.6% 13.0% 51.1% 0.0% 0.0% 6.8% -3.0% 362 -1.1K -1 0.00 118.97 N/A N/A 1 0 2 0 2022-07-13 $33.90 $0.00 47.2% 13.5% 46.9% 0.0% 0.0% 12.5% -3.2% 285 -1.1K -1 0.00 111.99 N/A N/A 1 0 2 0 2022-07-14 $33.87 $0.00 46.1% 13.2% 46.9% 0.0% 0.0% 6.3% -1.9% 280 -1.2K -1 0.00 120.64 N/A N/A 1 0 2 0 2022-07-15 $34.08 $0.00 45.3% 13.0% 45.2% 0.0% 0.0% 3.3% -1.3% 0 0 0 0.00 131.85 N/A N/A 1 0 2 0 2022-07-19 $35.42 $0.00 44.7% 12.8% 40.4% 0.0% 0.0% 3.6% -1.6% 0 0 0 0.00 121.90 N/A N/A 0 0 0 0 2022-07-20 $36.90 $0.00 42.2% 12.1% 42.3% 0.0% 0.0% 4.3% -1.4% 0 0 0 0.00 122.94 N/A N/A 0 0 0 0 2022-07-21 $37.70 $0.00 39.9% 11.5% 39.9% 0.0% 0.0% 4.4% 1.0% 0 0 0 0.00 124.82 N/A N/A 0 0 0 0 2022-07-22 $35.75 $0.00 38.0% 10.9% 45.1% 0.0% 42.1% 3.5% 4.9% 0 0 0 0.00 122.30 N/A N/A 0 1 0 0 2022-07-26 $35.00 $35.00 42.0% 12.0% 45.6% 0.0% 43.9% 4.1% 1.5% -133 1.7K -4 0.00 128.90 N/A N/A 0 1 0 1 2022-07-27 $35.96 $35.00 40.5% 11.6% 44.4% 0.0% 42.6% 4.0% 0.7% -123 1.4K -3 0.00 123.38 N/A N/A 0 1 0 1 2022-07-28 $36.14 $35.00 39.9% 11.4% 44.3% 0.0% 37.5% 4.1% -0.3% -133 1.4K -3 0.00 125.96 N/A N/A 0 1 0 1 2022-07-29 $36.67 $35.00 36.0% 10.3% 44.5% 0.0% 40.1% 4.1% 2.0% -119 1.1K -3 0.00 127.33 N/A N/A 0 1 0 1
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