VERS Options History — September 2022 In September 2022, VERS traded between $29.99 and $42.01. ATM implied volatility averaged 49.6%. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 84.4% (HV 20d: 134.0%). Max pain ranged from $35.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.05.
Notable Days 2022-09-16 : Highest Volume — 3 contracts2022-09-16 : Largest IV drop — 48.6% change2022-09-15 : Largest Expected Move — 22.9%Monthly Statistics Metric Avg Min Max Open Close Price $33.78 $29.99 $42.01 $34.25 $29.99 Max Pain $39.76 $35.00 $43.00 $37.00 $35.00 ATM IV 49.6% 39.5% 79.9% 41.3% 46.9% Expected Move 13.1% 10.7% 22.9% 11.9% 13.5% HV 20d 134.0% 114.0% 147.7% 125.4% 114.0% HV 60d 91.4% 79.4% 100.0% 83.0% 99.5% Term Structure -0.9% -13.0% 3.4% 0.8% -4.4% VWIV 38.3% 38.3% 38.3% 38.3% 38.3% Skew 25d 7.5% -0.3% 54.3% 2.5% 1.8% Skew 10d 5.7% -2.9% 40.9% 2.6% -2.9% Call IV 25d 37.7% 13.4% 49.8% 43.8% 48.0% Put IV 25d 45.1% 36.7% 71.7% 46.4% 49.8% Bid-Ask Spread % 126.56 118.49 135.80 126.13 125.84 Gamma HHI 0.73 0.45 1.00 0.75 0.45 Net GEX 189 4 500 246 164 Net DEX -2.1K -8.0K -16 -1.5K -1.8K Net VEX -6 -14 0 -6 -11 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.05 0.00 0.50 0.00 0.00 Total Volume 1.095 0 3 0 2 Total OI 3.19 1 5 3 5
Daily Data (21 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 2022-09-01 $34.25 $37.00 41.3% 11.9% 125.4% 0.0% 0.0% 2.5% 0.8% 246 -1.5K -6 0.00 126.13 N/A N/A 0 0 3 0 2022-09-02 $33.86 $37.00 45.3% 13.0% 125.3% 0.0% 0.0% -0.3% -13.0% 229 -1.8K -6 0.00 126.22 N/A N/A 0 0 3 0 2022-09-06 $33.30 $43.00 53.0% 12.4% 125.2% 0.0% 0.0% 1.0% -4.7% 189 -1.1K -4 0.00 129.36 N/A N/A 2 0 3 0 2022-09-07 $33.56 $43.00 47.7% 12.1% 125.1% 0.0% 0.0% 2.9% -1.8% 197 -1.0K -4 0.00 121.00 N/A N/A 2 0 3 0 2022-09-08 $34.77 $43.00 47.2% 11.3% 124.2% 0.0% 0.0% 3.0% -0.1% 312 -1.7K -5 0.00 121.79 N/A N/A 0 0 3 0 2022-09-09 $36.19 $43.00 48.2% 10.8% 125.3% 0.0% 0.0% 4.8% 0.5% 464 -3.2K -6 0.00 127.35 N/A N/A 0 0 3 0 2022-09-12 $36.57 $43.00 61.5% 10.7% 124.8% 0.0% 0.0% 3.5% 1.1% 500 -3.7K -6 0.00 128.31 N/A N/A 0 0 3 0 2022-09-13 $34.70 $43.00 65.6% 11.5% 125.9% 0.0% 0.0% 3.7% -1.3% 301 -1.2K -3 0.00 128.72 N/A N/A 2 0 3 0 2022-09-14 $42.00 $43.00 79.0% 22.7% 144.4% 0.0% 0.0% 54.3% -2.6% 129 -8.0K -8 0.00 128.53 N/A N/A 0 0 3 0 2022-09-15 $42.01 $43.00 79.9% 22.9% 136.2% 0.0% 0.0% 49.6% 1.9% 129 -8.0K -7 0.00 123.78 N/A N/A 0 0 3 0 2022-09-16 $33.44 $43.00 41.0% 11.8% 147.7% 0.0% 0.0% 3.1% 1.0% 17 -91 -1 0.50 129.94 N/A N/A 2 1 3 0 2022-09-19 $33.52 $43.00 39.5% 11.3% 147.0% 0.0% 0.0% 3.1% 0.9% 14 -71 -1 0.00 135.80 N/A N/A 0 0 1 0 2022-09-20 $32.95 $43.00 41.6% 11.9% 146.6% 0.0% 0.0% 2.9% 0.5% 14 -78 -1 0.00 129.23 N/A N/A 0 0 1 0 2022-09-21 $32.43 $43.00 42.8% 12.3% 146.7% 0.0% 38.3% 0.1% -10.5% 4 -16 0 0.00 124.53 N/A N/A 2 0 1 0 2022-09-22 $31.62 $35.00 41.5% 11.9% 146.7% 0.0% 0.0% 1.0% 1.3% 157 -1.3K -5 0.00 118.49 N/A N/A 0 0 3 0 2022-09-23 $30.80 $35.00 43.0% 12.3% 146.4% 0.0% 0.0% 4.5% 1.3% 130 -1.3K -5 0.00 131.88 N/A N/A 2 0 3 0 2022-09-26 $30.75 $35.00 44.7% 12.8% 145.7% 0.0% 0.0% 4.8% 1.1% 200 -2.3K -14 0.00 125.33 N/A N/A 2 0 5 0 2022-09-27 $31.13 $35.00 44.5% 12.7% 145.9% 0.0% 0.0% 5.1% 3.1% 199 -1.9K -11 0.00 124.65 N/A N/A 2 0 5 0 2022-09-28 $31.42 $35.00 42.4% 12.2% 130.5% 0.0% 0.0% 2.4% 3.4% 203 -1.9K -11 0.00 124.83 N/A N/A 2 0 5 0 2022-09-29 $30.02 $35.00 44.6% 12.8% 114.1% 0.0% 0.0% 3.1% 2.3% 172 -1.7K -11 0.00 126.11 N/A N/A 2 0 5 0 2022-09-30 $29.99 $35.00 46.9% 13.5% 114.0% 0.0% 0.0% 1.8% -4.4% 164 -1.8K -11 0.00 125.84 N/A N/A 2 0 5 0
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