VERS Options History — February 2023 In February 2023, VERS traded between $32.01 and $36.23. ATM implied volatility averaged 36.2%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 0.7% (HV 20d: 35.4%). Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days.
Notable Days 2023-02-08 : Largest IV drop — 18.2% change2023-02-07 : Highest IV Rank — 16.6%2023-02-23 : Largest Expected Move — 11.0%Monthly Statistics Metric Avg Min Max Open Close Price $34.04 $32.01 $36.23 $34.80 $32.23 ATM IV 36.2% 31.3% 42.9% 31.3% 36.1% Expected Move 10.1% 9.0% 11.0% 9.0% 10.4% HV 20d 35.4% 30.6% 37.9% 30.6% 35.0% HV 60d 37.3% 34.0% 43.5% 42.4% 34.0% IV Rank 8.1% 1.9% 16.6% 1.9% 8.0% IV Percentile 16.1% 1.3% 53.4% 1.3% 15.8% Term Structure -1.4% -8.8% 9.0% 4.8% -2.1% Skew 25d 2.3% 1.1% 4.3% 4.3% 2.0% Skew 10d 3.6% 1.6% 4.8% 2.8% 3.8% Call IV 25d 32.5% 26.4% 38.4% 35.7% 38.0% Put IV 25d 34.8% 28.5% 40.2% 40.0% 40.0% Bid-Ask Spread % 120.00 115.50 125.69 121.80 125.69 Gamma HHI 0.61 0.58 0.64 0.60 0.59 Net GEX 682 601 773 697 773 Net DEX -25.1K -31.4K -19.5K -26.1K -20.0K Net VEX -81 -87 -76 -87 -80 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 11 11 11 11 11
Daily Data (19 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 2023-02-01 $34.80 $0.00 31.3% 9.0% 30.6% 1.9% 0.0% 4.3% 4.8% 697 -26.1K -87 0.00 121.80 N/A N/A 0 0 11 0 2023-02-02 $36.23 $0.00 34.8% 9.5% 32.3% 6.4% 0.0% 2.2% -1.0% 601 -31.4K -76 0.00 115.74 N/A N/A 0 0 11 0 2023-02-03 $35.52 $0.00 35.7% 9.8% 32.8% 7.6% 0.0% 3.1% 0.2% 613 -29.4K -80 0.00 115.75 N/A N/A 0 0 11 0 2023-02-06 $35.13 $0.00 40.6% 10.4% 33.3% 13.7% 0.0% 2.1% -2.8% 647 -28.5K -79 0.00 119.19 N/A N/A 0 0 11 0 2023-02-07 $35.73 $0.00 42.9% 9.9% 32.9% 16.6% 0.0% 2.5% -0.6% 630 -28.5K -82 0.00 115.50 N/A N/A 0 0 11 0 2023-02-08 $34.95 $0.00 35.1% 10.1% 34.7% 6.8% 0.0% 1.8% -1.5% 643 -28.5K -77 0.00 117.64 N/A N/A 0 0 11 0 2023-02-09 $34.23 $0.00 31.6% 9.1% 35.7% 2.3% 0.0% 1.2% 9.0% 656 -26.8K -79 0.00 118.52 N/A N/A 0 0 11 0 2023-02-10 $33.52 $0.00 36.6% 10.5% 36.8% 8.6% 0.0% 2.4% -0.9% 668 -23.8K -84 0.00 119.96 N/A N/A 0 0 11 0 2023-02-13 $33.98 $0.00 37.2% 10.7% 36.8% 9.4% 0.0% 2.9% -2.3% 684 -24.8K -83 0.00 119.25 N/A N/A 0 0 11 0 2023-02-14 $34.45 $0.00 35.9% 10.3% 36.8% 7.8% 0.0% 2.3% -1.1% 686 -25.3K -82 0.00 116.55 N/A N/A 0 0 11 0 2023-02-15 $35.22 $0.00 32.5% 9.3% 37.0% 3.5% 0.0% 1.2% 1.1% 652 -27.4K -79 0.00 119.52 N/A N/A 0 0 11 0 2023-02-16 $34.55 $0.00 34.2% 9.8% 36.9% 5.7% 0.0% 3.1% 0.3% 666 -26.9K -79 0.00 119.56 N/A N/A 0 0 11 0 2023-02-17 $33.80 $0.00 35.9% 10.3% 37.0% 7.8% 0.0% 2.5% -0.8% 686 -24.6K -82 0.00 120.77 N/A N/A 0 0 11 0 2023-02-21 $32.70 $0.00 38.1% 10.9% 36.8% 10.5% 0.0% 1.1% -8.8% 720 -22.1K -81 0.00 118.81 N/A N/A 0 0 11 0 2023-02-22 $32.63 $0.00 35.8% 10.3% 36.5% 7.6% 0.0% 2.1% -8.4% 736 -21.4K -82 0.00 125.01 N/A N/A 0 0 11 0 2023-02-23 $33.05 $0.00 38.3% 11.0% 36.8% 10.7% 0.0% 2.1% -7.1% 714 -21.7K -82 0.00 120.11 N/A N/A 0 0 11 0 2023-02-24 $32.01 $0.00 37.7% 10.8% 37.9% 10.1% 0.0% 3.0% -1.0% 742 -19.5K -81 0.00 125.42 N/A N/A 0 0 11 0 2023-02-27 $32.09 $0.00 36.6% 10.5% 36.6% 8.7% 0.0% 1.9% -4.3% 752 -20.0K -80 0.00 125.20 N/A N/A 0 0 11 0 2023-02-28 $32.23 $0.00 36.1% 10.4% 35.0% 8.0% 0.0% 2.0% -2.1% 773 -20.0K -80 0.00 125.69 N/A N/A 0 0 11 0
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