VERS Options History — August 2023

In August 2023, VERS traded between $35.73 and $41.53. ATM implied volatility averaged 25.5%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 1.5% (HV 20d: 26.9%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2023-08-16: Highest Volume — 3 contracts
  • 2023-08-09: Largest IV drop — 20.1% change
  • 2023-08-08: Highest IV Rank — 13.4%
  • 2023-08-28: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.72$35.73$41.53$41.53$37.59
Max Pain$37.31$37.00$39.00$39.00$37.00
ATM IV25.5%22.9%30.7%24.6%26.1%
Expected Move7.1%6.6%7.6%7.0%7.5%
HV 20d26.9%23.8%31.7%29.2%24.0%
HV 60d25.8%24.8%26.5%24.8%25.6%
IV Rank7.6%4.8%13.4%6.6%8.3%
IV Percentile18.3%6.3%31.0%14.7%24.6%
Term Structure-1.2%-6.2%2.9%-0.6%-6.2%
VWIV29.5%29.5%29.5%29.5%29.5%
Skew 25d1.2%-1.2%3.1%1.2%0.1%
Skew 10d1.8%0.4%2.9%2.2%0.8%
Call IV 25d26.3%22.4%30.3%27.1%30.3%
Put IV 25d27.5%23.6%31.6%28.3%30.4%
Bid-Ask Spread %125.54118.58132.74124.58131.49
Gamma HHI0.220.180.250.240.25
Net GEX1.5K8801.8K8801.6K
Net DEX-32.8K-44.1K-25.1K-44.1K-34.8K
Net VEX-63-76-46-46-55
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.3040300
Total OI15.26113181315

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$41.53$39.0024.6%7.0%29.2%6.6%0.0%1.2%-0.6%880-44.1K-460.00124.58N/AN/A00130
2023-08-02$40.17$39.0026.1%7.5%31.7%8.2%0.0%0.9%-2.9%1.0K-40.1K-530.00128.32N/AN/A00130
2023-08-03$39.94$0.0027.0%7.1%30.6%9.3%0.0%2.3%-1.2%1.1K-39.3K-530.00120.62N/AN/A00130
2023-08-04$39.95$0.0028.2%7.0%30.4%10.7%0.0%1.2%-0.2%1.0K-39.9K-520.00118.58N/AN/A00130
2023-08-07$39.69$0.0029.3%7.1%30.3%11.9%0.0%0.9%-1.1%1.1K-38.4K-530.00120.25N/AN/A20130
2023-08-08$39.38$0.0030.7%7.1%29.1%13.4%0.0%0.9%-0.5%1.7K-38.2K-590.00121.21N/AN/A00150
2023-08-09$38.06$0.0024.5%7.0%28.7%6.6%0.0%0.3%-4.1%1.4K-33.4K-590.00121.11N/AN/A20150
2023-08-10$37.76$0.0022.9%6.6%27.3%4.8%0.0%1.1%-2.1%1.7K-36.0K-680.00122.67N/AN/A00170
2023-08-11$37.72$0.0022.9%6.6%26.7%4.8%0.0%1.5%0.9%1.7K-33.7K-720.00125.24N/AN/A00170
2023-08-14$37.97$0.0024.2%6.9%25.4%6.2%0.0%3.1%2.9%1.8K-34.1K-700.00123.46N/AN/A00170
2023-08-15$37.31$0.0024.4%7.0%25.8%6.5%0.0%-0.7%-5.1%1.6K-33.0K-670.00123.19N/AN/A00170
2023-08-16$36.49$0.0025.1%7.2%26.3%7.2%29.5%1.0%-0.1%1.5K-27.8K-720.00123.82N/AN/A30170
2023-08-17$35.73$37.0025.1%7.2%24.8%7.2%0.0%-0.6%-2.4%1.5K-26.1K-760.00121.84N/AN/A00180
2023-08-18$35.86$37.0024.5%7.0%25.0%6.6%0.0%3.1%1.0%1.6K-25.1K-720.00124.15N/AN/A00180
2023-08-21$36.19$37.0025.1%7.2%25.6%7.2%0.0%2.4%1.0%1.6K-26.5K-700.00128.77N/AN/A00150
2023-08-22$35.97$37.0025.1%7.2%25.1%7.2%0.0%0.5%-2.0%1.6K-27.1K-690.00129.56N/AN/A00150
2023-08-23$36.77$37.0024.0%6.9%26.9%6.0%0.0%2.6%1.3%1.7K-29.1K-650.00127.94N/AN/A00150
2023-08-24$35.91$37.0025.4%7.3%27.6%7.5%0.0%-1.2%-5.1%1.5K-27.2K-700.00129.05N/AN/A00150
2023-08-25$36.23$37.0024.5%7.0%24.7%6.5%0.0%2.8%2.4%1.6K-26.3K-670.00126.51N/AN/A00150
2023-08-28$36.59$37.0026.4%7.6%23.8%8.6%0.0%1.7%-1.9%1.6K-28.4K-660.00131.32N/AN/A00150
2023-08-29$37.45$37.0023.5%6.7%26.1%5.5%0.0%1.4%2.2%1.8K-33.2K-550.00132.74N/AN/A00150
2023-08-30$37.41$37.0025.5%7.3%23.9%7.7%0.0%0.4%-4.4%1.6K-33.8K-560.00131.00N/AN/A00150
2023-08-31$37.59$37.0026.1%7.5%24.0%8.3%0.0%0.1%-6.2%1.6K-34.8K-550.00131.49N/AN/A00150