VERS Options History — October 2023

In October 2023, VERS traded between $32.86 and $35.91. ATM implied volatility averaged 25.1%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 3.6% (HV 20d: 21.5%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2023-10-30: Highest Volume — 2 contracts
2023-10-10: Largest IV spike — 61.7% change
2023-10-10: Highest IV Rank — 20.9%
2023-10-30: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.52	$32.86	$35.91	$35.02	$33.60
Max Pain	$33.00	$33.00	$33.00	$33.00	$33.00
ATM IV	25.1%	18.4%	31.1%	18.4%	29.9%
Expected Move	7.2%	5.3%	8.9%	5.3%	8.6%
HV 20d	21.5%	16.1%	25.9%	16.1%	25.1%
HV 60d	22.7%	21.8%	24.4%	24.2%	22.2%
IV Rank	12.5%	3.0%	20.9%	3.0%	19.3%
IV Percentile	26.3%	0.8%	51.6%	0.8%	48.4%
Term Structure	-1.8%	-7.7%	3.4%	3.4%	-1.6%
Skew 25d	1.2%	-1.4%	3.2%	-0.8%	2.7%
Skew 10d	2.0%	-1.4%	3.9%	1.4%	2.9%
Call IV 25d	28.1%	23.8%	34.0%	29.7%	33.7%
Put IV 25d	29.4%	25.2%	36.8%	28.9%	36.4%
Bid-Ask Spread %	128.96	126.93	131.14	128.62	130.68
Gamma HHI	0.34	0.25	0.46	0.32	0.37
Net GEX	1.9K	893	2.8K	2.3K	1.1K
Net DEX	-26.1K	-37.4K	-12.9K	-31.8K	-16.0K
Net VEX	-105	-120	-85	-120	-103
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	0.091	0	2	0	0
Total OI	18.909	12	22	22	14

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call Vol	Call OI
2023-10-02	$35.02	$33.00	18.4%	5.3%	16.1%	3.0%	0.0%	-0.8%	3.4%	2.3K	-31.8K	-120	128.62	N/A	N/A	0	22
2023-10-03	$34.23	$33.00	28.5%	8.2%	16.7%	17.3%	0.0%	1.2%	-4.1%	2.0K	-26.1K	-118	127.64	N/A	N/A	0	22
2023-10-04	$34.74	$33.00	20.8%	6.0%	17.4%	6.3%	0.0%	3.2%	0.3%	2.2K	-29.2K	-117	127.32	N/A	N/A	0	22
2023-10-05	$34.69	$0.00	21.2%	6.6%	17.5%	6.9%	0.0%	2.3%	1.5%	2.3K	-28.8K	-116	130.12	N/A	N/A	0	22
2023-10-06	$35.27	$0.00	19.0%	6.7%	18.8%	3.9%	0.0%	1.1%	1.9%	2.3K	-33.0K	-116	129.76	N/A	N/A	0	22
2023-10-09	$35.06	$0.00	19.2%	6.9%	18.8%	4.1%	0.0%	1.8%	-3.5%	2.6K	-31.7K	-111	128.79	N/A	N/A	0	22
2023-10-10	$35.69	$0.00	31.1%	6.5%	20.1%	20.9%	0.0%	2.5%	-1.1%	2.3K	-36.0K	-114	128.65	N/A	N/A	0	22
2023-10-11	$35.91	$0.00	23.3%	6.7%	20.1%	9.9%	0.0%	1.4%	-1.8%	2.2K	-37.4K	-115	131.14	N/A	N/A	0	22
2023-10-12	$35.53	$0.00	22.5%	6.5%	20.0%	8.8%	0.0%	0.5%	-0.2%	2.3K	-35.0K	-112	128.11	N/A	N/A	0	22
2023-10-13	$34.70	$0.00	24.3%	7.0%	20.9%	11.4%	0.0%	0.1%	-7.7%	2.8K	-29.4K	-108	127.08	N/A	N/A	0	22
2023-10-16	$35.47	$0.00	24.4%	7.0%	22.5%	11.5%	0.0%	2.8%	-2.1%	2.3K	-34.8K	-109	130.46	N/A	N/A	0	22
2023-10-17	$35.63	$0.00	22.8%	6.5%	22.6%	9.1%	0.0%	2.3%	-1.1%	2.3K	-35.7K	-107	127.86	N/A	N/A	0	22
2023-10-18	$34.69	$0.00	24.8%	7.1%	23.6%	12.0%	0.0%	-1.0%	-4.1%	2.6K	-29.2K	-105	129.38	N/A	N/A	0	22
2023-10-19	$34.45	$0.00	26.4%	7.6%	22.3%	14.3%	0.0%	-0.6%	1.0%	2.4K	-27.7K	-101	127.64	N/A	N/A	0	22
2023-10-20	$34.02	$0.00	25.9%	7.4%	22.7%	13.6%	0.0%	0.8%	-2.7%	2.4K	-25.1K	-98	129.62	N/A	N/A	0	22
2023-10-23	$33.88	$0.00	25.7%	7.4%	22.7%	13.3%	0.0%	1.3%	-0.5%	1.0K	-15.4K	-92	126.93	N/A	N/A	0	12
2023-10-24	$34.45	$0.00	26.6%	7.6%	23.2%	14.5%	0.0%	2.4%	-3.6%	1.1K	-17.0K	-96	130.17	N/A	N/A	0	12
2023-10-25	$33.37	$0.00	28.0%	8.0%	25.7%	16.6%	0.0%	-1.4%	-3.3%	992	-14.6K	-89	129.03	N/A	N/A	0	12
2023-10-26	$32.90	$0.00	28.2%	8.1%	25.4%	16.8%	0.0%	0.7%	-2.0%	903	-12.9K	-85	127.43	N/A	N/A	0	12
2023-10-27	$32.86	$0.00	30.2%	8.7%	25.2%	19.7%	0.0%	0.6%	-5.0%	893	-13.5K	-86	130.67	N/A	N/A	0	12
2023-10-30	$33.30	$0.00	30.9%	8.9%	25.9%	20.7%	0.0%	2.8%	-3.0%	904	-13.3K	-85	129.99	N/A	N/A	2	12
2023-10-31	$33.60	$0.00	29.9%	8.6%	25.1%	19.3%	0.0%	2.7%	-1.6%	1.1K	-16.0K	-103	130.68	N/A	N/A	0	14