VERS Options History — July 2023 In July 2023, VERS traded between $38.36 and $42.30. ATM implied volatility averaged 23.9%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 1.7% (HV 20d: 25.6%). Max pain ranged from $32.00 to $39.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2023-07-13 : Highest Volume — 6 contracts2023-07-12 : Largest IV drop — 21.8% change2023-07-10 : Highest IV Rank — 10.4%2023-07-05 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $40.53 $38.36 $42.30 $39.52 $41.63 Max Pain $37.92 $32.00 $39.00 $32.00 $39.00 ATM IV 23.9% 20.7% 28.0% 25.4% 24.6% Expected Move 6.5% 5.9% 7.5% 7.3% 7.0% HV 20d 25.6% 21.1% 29.2% 21.1% 29.2% HV 60d 23.7% 21.8% 25.1% 21.8% 25.0% IV Rank 5.9% 2.3% 10.4% 7.5% 6.6% IV Percentile 8.2% 0.4% 15.9% 11.1% 14.3% Term Structure -0.4% -5.7% 2.6% -4.8% -1.4% VWIV 27.3% 27.3% 27.3% 27.3% 27.3% Skew 25d 1.1% -1.9% 2.3% 0.8% 1.7% Skew 10d 1.6% 0.7% 2.4% 1.4% 2.2% Call IV 25d 24.1% 21.1% 28.8% 27.3% 26.3% Put IV 25d 25.2% 22.5% 30.0% 28.2% 27.9% Bid-Ask Spread % 125.04 120.38 129.11 123.93 127.23 Gamma HHI 0.27 0.21 0.33 0.30 0.25 Net GEX 749 344 1.1K 667 869 Net DEX -62.7K -85.7K -39.6K -74.4K -44.5K Net VEX -45 -59 -28 -42 -46 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 0.95 0 6 0 0 Total OI 17.3 13 21 20 13
Daily Data (20 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 2023-07-03 $39.52 $32.00 25.4% 7.3% 21.1% 7.5% 0.0% 0.8% -4.8% 667 -74.4K -42 0.00 123.93 N/A N/A 0 0 20 0 2023-07-05 $39.24 $32.00 26.3% 7.5% 21.4% 8.5% 0.0% 1.2% -5.7% 709 -73.6K -42 0.00 125.35 N/A N/A 0 0 20 0 2023-07-06 $38.36 $0.00 26.1% 6.1% 22.0% 8.3% 0.0% 1.8% 1.7% 925 -69.6K -52 0.00 125.35 N/A N/A 2 0 20 0 2023-07-07 $38.80 $0.00 26.3% 5.9% 22.2% 8.5% 0.0% 1.6% 1.8% 839 -74.7K -55 0.00 125.87 N/A N/A 0 0 21 0 2023-07-10 $39.26 $0.00 28.0% 6.2% 21.7% 10.4% 0.0% 1.7% 1.8% 782 -76.2K -52 0.00 124.23 N/A N/A 0 0 21 0 2023-07-11 $40.20 $0.00 27.3% 6.4% 23.0% 9.6% 0.0% 2.3% 1.7% 633 -80.1K -40 0.00 120.38 N/A N/A 0 0 21 0 2023-07-12 $41.48 $0.00 21.3% 6.1% 25.1% 3.0% 0.0% 0.7% 2.0% 344 -84.4K -28 0.00 122.72 N/A N/A 0 0 21 0 2023-07-13 $42.30 $0.00 20.7% 5.9% 25.2% 2.3% 0.0% 1.7% 2.3% 353 -85.7K -32 0.00 126.36 N/A N/A 6 0 21 0 2023-07-14 $41.41 $0.00 23.6% 6.8% 26.4% 5.5% 27.3% 0.1% -5.5% 410 -62.5K -37 0.00 122.83 N/A N/A 1 0 16 0 2023-07-17 $42.27 $39.00 21.8% 6.3% 26.9% 3.6% 0.0% 1.7% 2.6% 462 -68.6K -32 0.00 123.46 N/A N/A 0 0 17 0 2023-07-18 $42.02 $39.00 22.0% 6.3% 26.8% 3.8% 0.0% 0.5% 1.0% 450 -68.1K -30 0.00 126.37 N/A N/A 5 0 17 0 2023-07-19 $42.03 $39.00 22.7% 6.5% 26.1% 4.6% 0.0% 0.2% -1.9% 508 -67.7K -33 0.00 122.11 N/A N/A 4 0 17 0 2023-07-20 $40.59 $39.00 22.3% 6.4% 28.0% 4.1% 0.0% 0.3% -0.9% 947 -62.0K -57 0.00 123.95 N/A N/A 1 0 18 0 2023-07-21 $40.36 $39.00 22.9% 6.6% 28.1% 4.8% 0.0% 1.0% 0.6% 1.0K -61.0K -57 0.00 125.76 N/A N/A 0 0 18 0 2023-07-24 $40.02 $39.00 23.9% 6.9% 27.7% 5.9% 0.0% 1.5% -1.4% 1.0K -39.6K -59 0.00 128.94 N/A N/A 0 0 13 0 2023-07-25 $40.37 $39.00 24.5% 7.0% 27.7% 6.5% 0.0% 0.3% -2.1% 995 -40.8K -55 0.00 129.11 N/A N/A 0 0 13 0 2023-07-26 $40.23 $39.00 22.9% 6.6% 26.5% 4.8% 0.0% 1.7% 1.9% 1.1K -39.7K -55 0.00 125.01 N/A N/A 0 0 13 0 2023-07-27 $39.65 $39.00 22.4% 6.4% 27.1% 4.2% 0.0% -1.9% -1.6% 1.0K -39.6K -54 0.00 124.87 N/A N/A 0 0 13 0 2023-07-28 $40.90 $39.00 22.9% 6.6% 29.1% 4.8% 0.0% 2.3% 0.7% 980 -41.7K -51 0.00 126.96 N/A N/A 0 0 13 0 2023-07-31 $41.63 $39.00 24.6% 7.0% 29.2% 6.6% 0.0% 1.7% -1.4% 869 -44.5K -46 0.00 127.23 N/A N/A 0 0 13 0
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