VERS Options History — September 2023 In September 2023, VERS traded between $34.22 and $38.16. ATM implied volatility averaged 26.5%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.3% (HV 20d: 20.3%). Max pain ranged from $33.00 to $37.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2023-09-21 : Highest Volume — 8 contracts2023-09-26 : Largest IV spike — 48.6% change2023-09-12 : Highest IV Rank — 39.7%2023-09-27 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $36.02 $34.22 $38.16 $37.80 $35.11 Max Pain $33.20 $33.00 $37.00 $37.00 $33.00 ATM IV 26.5% 16.3% 45.7% 26.5% 20.9% Expected Move 6.4% 4.7% 7.6% 7.6% 6.0% HV 20d 20.3% 15.2% 25.1% 24.2% 16.5% HV 60d 24.9% 24.3% 25.6% 25.6% 24.3% IV Rank 12.9% 0.0% 39.7% 11.7% 6.5% IV Percentile 24.5% 0.0% 86.9% 27.4% 2.4% Term Structure -1.2% -11.4% 3.7% -5.9% 1.2% VWIV 24.2% 24.2% 24.2% 24.2% 24.2% Skew 25d -2.7% -10.4% 7.5% 0.2% -9.7% Skew 10d -1.1% -7.7% 2.5% 1.0% 0.6% Call IV 25d 25.5% 21.6% 31.3% 31.3% 27.6% Put IV 25d 22.8% 14.1% 34.0% 31.6% 17.8% Bid-Ask Spread % 127.27 122.55 132.58 132.58 126.01 Gamma HHI 0.25 0.22 0.32 0.25 0.30 Net GEX 1.8K 1.6K 2.3K 1.6K 2.3K Net DEX -28.4K -36.9K -18.0K -36.1K -32.5K Net VEX -67 -122 -47 -54 -122 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 0.75 0 8 0 0 Total OI 16.45 15 22 15 22
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 2023-09-01 $37.80 $37.00 26.5% 7.6% 24.2% 11.7% 0.0% 0.2% -5.9% 1.6K -36.1K -54 0.00 132.58 N/A N/A 0 0 15 0 2023-09-05 $38.16 $33.00 29.2% 6.1% 24.5% 15.6% 0.0% 1.7% 2.0% 1.6K -36.9K -50 0.00 128.03 N/A N/A 0 0 15 0 2023-09-06 $37.48 $33.00 32.3% 6.1% 25.1% 20.1% 0.0% -1.0% 2.1% 1.7K -34.1K -53 0.00 125.42 N/A N/A 0 0 15 0 2023-09-07 $37.28 $33.00 34.0% 6.5% 22.2% 22.6% 0.0% -1.2% 3.7% 1.7K -33.0K -53 0.00 131.39 N/A N/A 0 0 15 0 2023-09-08 $36.98 $33.00 34.2% 6.5% 22.2% 22.9% 0.0% -5.2% -0.5% 1.7K -31.5K -54 0.00 128.59 N/A N/A 0 0 15 0 2023-09-11 $36.94 $33.00 41.2% 6.2% 22.2% 33.1% 0.0% -5.4% -2.9% 1.8K -31.4K -50 0.00 127.07 N/A N/A 1 0 15 0 2023-09-12 $36.69 $33.00 45.7% 6.1% 22.1% 39.7% 0.0% -8.6% -1.8% 1.9K -31.3K -63 0.00 128.53 N/A N/A 0 0 16 0 2023-09-13 $36.45 $33.00 26.3% 7.5% 21.4% 11.3% 0.0% -9.3% -11.4% 1.9K -29.6K -63 0.00 126.74 N/A N/A 0 0 16 0 2023-09-14 $36.80 $33.00 24.5% 7.0% 20.2% 8.7% 0.0% -4.5% 1.0% 1.9K -32.8K -56 0.00 126.89 N/A N/A 0 0 16 0 2023-09-15 $36.19 $33.00 21.8% 6.3% 19.6% 4.7% 0.0% -10.4% 0.8% 1.9K -28.2K -62 0.00 125.31 N/A N/A 0 0 16 0 2023-09-18 $36.02 $33.00 23.2% 6.7% 19.7% 6.8% 0.0% -9.5% -2.2% 1.7K -26.7K -51 0.00 130.73 N/A N/A 0 0 15 0 2023-09-19 $35.98 $33.00 22.4% 6.4% 19.4% 5.6% 0.0% -3.1% 0.2% 1.7K -26.3K -50 0.00 125.34 N/A N/A 0 0 15 0 2023-09-20 $35.33 $33.00 16.3% 4.7% 20.4% 0.0% 0.0% -10.3% 2.4% 1.8K -23.0K -47 0.00 126.95 N/A N/A 0 0 15 0 2023-09-21 $34.53 $33.00 21.9% 6.3% 19.9% 7.9% 24.2% 7.5% -1.8% 1.8K -18.0K -48 0.00 125.17 N/A N/A 8 0 15 0 2023-09-22 $34.55 $33.00 18.6% 5.3% 18.4% 3.3% 0.0% 1.8% -2.6% 1.7K -20.8K -79 0.00 127.69 N/A N/A 0 0 17 0 2023-09-25 $34.63 $33.00 17.8% 5.1% 18.0% 2.2% 0.0% 6.7% 1.8% 1.8K -21.3K -74 0.00 127.59 N/A N/A 0 0 17 0 2023-09-26 $34.22 $33.00 26.5% 7.6% 17.7% 14.4% 0.0% 0.4% -6.9% 1.8K -19.6K -76 0.00 127.45 N/A N/A 4 0 17 0 2023-09-27 $34.45 $33.00 26.6% 7.6% 15.2% 14.6% 0.0% 2.1% -6.1% 2.0K -25.8K -115 0.00 125.35 N/A N/A 0 0 21 0 2023-09-28 $34.91 $33.00 20.7% 5.9% 16.4% 6.2% 0.0% 3.4% 3.1% 2.2K -29.4K -112 0.00 122.55 N/A N/A 2 0 21 0 2023-09-29 $35.11 $33.00 20.9% 6.0% 16.5% 6.5% 0.0% -9.7% 1.2% 2.3K -32.5K -122 0.00 126.01 N/A N/A 0 0 22 0
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