VERS Options History — November 2022 In November 2022, VERS traded between $27.05 and $31.90. ATM implied volatility averaged 44.0%. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 1.8% (HV 20d: 45.8%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2022-11-01 : Highest Volume — 2 contracts2022-11-10 : Largest IV spike — 35.1% change2022-11-10 : Largest Expected Move — 16.8%Monthly Statistics Metric Avg Min Max Open Close Price $29.80 $27.05 $31.90 $29.77 $31.24 ATM IV 44.0% 35.6% 58.7% 43.6% 43.5% Expected Move 12.0% 10.2% 16.8% 12.5% 12.5% HV 20d 45.8% 25.1% 59.1% 33.0% 59.1% HV 60d 90.8% 75.6% 98.6% 98.6% 76.2% Term Structure -2.5% -15.4% 2.2% -4.5% 2.2% Skew 25d 3.3% -0.8% 8.9% 2.2% 4.6% Skew 10d 6.1% 3.5% 13.7% 3.5% 6.4% Call IV 25d 42.0% 32.0% 52.8% 47.4% 46.5% Put IV 25d 45.3% 39.8% 52.0% 49.6% 51.1% Bid-Ask Spread % 129.84 115.59 136.31 131.43 131.79 Gamma HHI 0.57 0.45 0.75 0.52 0.57 Net GEX 133 95 170 136 153 Net DEX -2.8K -3.9K -1.7K -2.9K -3.0K Net VEX -18 -21 -14 -20 -18 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 1.619 0 2 2 0 Total OI 4 4 4 4 4
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 2022-11-01 $29.77 $0.00 43.6% 12.5% 33.0% 0.0% 0.0% 2.2% -4.5% 136 -2.9K -20 0.00 131.43 N/A N/A 2 0 4 0 2022-11-02 $29.47 $0.00 42.3% 12.1% 31.9% 0.0% 0.0% 4.3% 0.6% 125 -2.5K -18 0.00 131.28 N/A N/A 2 0 4 0 2022-11-03 $27.99 $0.00 46.4% 10.9% 33.8% 0.0% 0.0% 2.7% 0.3% 97 -1.9K -15 0.00 128.33 N/A N/A 2 0 4 0 2022-11-04 $28.21 $0.00 46.6% 11.1% 30.0% 0.0% 0.0% 1.8% -0.5% 96 -1.9K -15 0.00 127.25 N/A N/A 2 0 4 0 2022-11-07 $28.46 $0.00 52.2% 10.9% 27.4% 0.0% 0.0% 4.3% 1.8% 102 -2.0K -15 0.00 129.30 N/A N/A 2 0 4 0 2022-11-08 $28.42 $0.00 52.1% 11.3% 25.1% 0.0% 0.0% 2.8% -2.6% 102 -2.1K -16 0.00 124.46 N/A N/A 2 0 4 0 2022-11-09 $27.35 $0.00 43.5% 12.5% 27.8% 0.0% 0.0% 6.2% 0.5% 95 -1.7K -14 0.00 130.73 N/A N/A 2 0 4 0 2022-11-10 $27.05 $0.00 58.7% 16.8% 25.5% 0.0% 0.0% -0.8% -15.4% 123 -3.1K -19 0.00 130.51 N/A N/A 2 0 4 0 2022-11-11 $30.73 $0.00 40.2% 11.5% 53.5% 0.0% 0.0% 8.9% 0.6% 148 -3.2K -20 0.00 115.59 N/A N/A 2 0 4 0 2022-11-14 $31.10 $0.00 42.1% 12.1% 53.6% 0.0% 0.0% 4.1% -3.7% 143 -3.2K -19 0.00 129.52 N/A N/A 2 0 4 0 2022-11-15 $31.90 $0.00 41.4% 11.9% 54.3% 0.0% 0.0% 3.7% -1.7% 170 -3.9K -21 0.00 126.16 N/A N/A 2 0 4 0 2022-11-16 $30.88 $0.00 40.3% 11.6% 55.7% 0.0% 0.0% 2.8% -2.6% 157 -3.4K -20 0.00 129.04 N/A N/A 2 0 4 0 2022-11-17 $30.59 $0.00 41.9% 12.0% 55.9% 0.0% 0.0% 3.6% -2.3% 147 -3.3K -19 0.00 133.36 N/A N/A 2 0 4 0 2022-11-18 $30.50 $0.00 41.8% 12.0% 55.8% 0.0% 0.0% 3.1% -3.2% 145 -3.2K -19 0.00 133.17 N/A N/A 2 0 4 0 2022-11-21 $30.06 $0.00 41.5% 11.9% 56.1% 0.0% 0.0% 2.9% -1.7% 140 -2.9K -18 0.00 131.94 N/A N/A 2 0 4 0 2022-11-22 $30.30 $0.00 35.6% 10.2% 55.9% 0.0% 0.0% 4.4% -1.4% 144 -2.8K -18 0.00 131.90 N/A N/A 2 0 4 0 2022-11-23 $31.11 $0.00 39.4% 11.3% 56.4% 0.0% 0.0% 3.9% 0.9% 157 -3.4K -20 0.00 131.31 N/A N/A 2 0 4 0 2022-11-25 $30.82 $0.00 41.3% 11.8% 56.5% 0.0% 0.0% 2.2% -3.5% 156 -3.4K -19 0.00 134.99 N/A N/A 0 0 4 0 2022-11-28 $29.90 $0.00 43.5% 12.5% 57.3% 0.0% 0.0% -0.5% -9.5% 130 -2.8K -17 0.00 128.28 N/A N/A 0 0 4 0 2022-11-29 $29.94 $0.00 46.6% 13.3% 57.2% 0.0% 0.0% 2.8% -7.8% 132 -2.7K -16 0.00 136.31 N/A N/A 0 0 4 0 2022-11-30 $31.24 $0.00 43.5% 12.5% 59.1% 0.0% 0.0% 4.6% 2.2% 153 -3.0K -18 0.00 131.79 N/A N/A 0 0 4 0
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