VERS Options History — November 2023 In November 2023, VERS traded between $33.97 and $38.42. ATM implied volatility averaged 25.7%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 2.7% (HV 20d: 28.4%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2023-11-16 : Highest Volume — 3 contracts2023-11-08 : Largest IV drop — 26.8% change2023-11-07 : Highest IV Rank — 22.3%2023-11-01 : Largest Expected Move — 8.6%Monthly Statistics Metric Avg Min Max Open Close Price $37.05 $33.97 $38.42 $33.97 $38.22 ATM IV 25.7% 21.2% 32.0% 29.9% 27.1% Expected Move 7.0% 6.1% 8.6% 8.6% 7.8% HV 20d 28.4% 24.8% 31.9% 24.8% 26.1% HV 60d 23.8% 22.4% 24.9% 22.4% 23.6% IV Rank 13.3% 7.0% 22.3% 19.2% 15.2% IV Percentile 31.0% 5.2% 57.9% 48.4% 45.2% Term Structure -3.4% -6.1% 4.1% -2.9% -4.0% Skew 25d 1.1% -1.0% 3.1% 2.8% -1.0% Skew 10d 1.8% 0.6% 3.3% 2.2% 0.9% Call IV 25d 26.2% 22.7% 33.2% 33.2% 31.3% Put IV 25d 27.3% 24.3% 36.0% 36.0% 30.4% Bid-Ask Spread % 131.47 127.90 135.33 132.29 131.01 Gamma HHI 0.36 0.33 0.38 0.37 0.33 Net GEX 1.6K 1.2K 1.9K 1.2K 1.8K Net DEX -34.5K -45.5K -16.9K -16.9K -45.0K Net VEX -118 -131 -104 -104 -120 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 0.143 0 3 0 0 Total OI 15.286 14 17 14 17
Daily Data (21 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 2023-11-01 $33.97 $0.00 29.9% 8.6% 24.8% 19.2% 0.0% 2.8% -2.9% 1.2K -16.9K -104 0.00 132.29 N/A N/A 0 0 14 0 2023-11-02 $35.22 $0.00 28.5% 6.5% 28.1% 17.2% 0.0% 1.4% -2.9% 1.5K -22.0K -113 0.00 131.31 N/A N/A 0 0 14 0 2023-11-03 $36.28 $0.00 27.7% 6.4% 29.4% 16.1% 0.0% 1.7% -3.2% 1.5K -27.1K -117 0.00 127.90 N/A N/A 0 0 14 0 2023-11-06 $35.92 $0.00 30.6% 6.6% 29.6% 20.2% 0.0% 1.2% -1.6% 1.5K -26.2K -116 0.00 128.30 N/A N/A 0 0 14 0 2023-11-07 $36.48 $0.00 32.0% 6.5% 29.4% 22.3% 0.0% 3.1% -1.9% 1.5K -27.4K -116 0.00 128.96 N/A N/A 0 0 14 0 2023-11-08 $36.45 $0.00 23.5% 6.7% 29.4% 10.1% 0.0% 0.9% 1.0% 1.5K -27.7K -116 0.00 131.55 N/A N/A 0 0 14 0 2023-11-09 $35.71 $0.00 24.1% 6.9% 30.1% 11.1% 0.0% -0.5% -3.5% 1.5K -25.2K -113 0.00 129.05 N/A N/A 0 0 14 0 2023-11-10 $36.25 $0.00 23.1% 6.6% 29.1% 9.7% 0.0% 1.6% -2.9% 1.5K -26.5K -114 0.00 133.12 N/A N/A 0 0 14 0 2023-11-13 $35.87 $0.00 24.4% 7.0% 28.5% 11.5% 0.0% 0.9% -4.7% 1.5K -25.1K -112 0.00 134.05 N/A N/A 0 0 14 0 2023-11-14 $37.38 $0.00 21.2% 6.1% 31.9% 7.0% 0.0% 2.5% 4.1% 1.6K -31.7K -111 0.00 131.63 N/A N/A 0 0 14 0 2023-11-15 $37.80 $0.00 21.9% 6.3% 30.1% 8.0% 0.0% 0.4% -4.7% 1.5K -35.2K -106 0.00 129.20 N/A N/A 0 0 14 0 2023-11-16 $37.56 $0.00 23.5% 6.7% 30.1% 10.2% 0.0% 0.8% -3.2% 1.5K -33.3K -109 0.00 132.55 N/A N/A 3 0 14 0 2023-11-17 $37.92 $0.00 22.9% 6.6% 29.4% 9.4% 0.0% 1.0% -3.9% 1.8K -43.0K -131 0.00 132.34 N/A N/A 0 0 17 0 2023-11-20 $38.42 $0.00 23.6% 6.8% 29.3% 10.4% 0.0% 1.4% -3.5% 1.8K -45.5K -127 0.00 131.42 N/A N/A 0 0 17 0 2023-11-21 $37.77 $0.00 23.2% 6.6% 30.2% 9.7% 0.0% 0.7% -4.2% 1.9K -43.0K -127 0.00 130.90 N/A N/A 0 0 17 0 2023-11-22 $38.02 $0.00 24.6% 7.1% 26.9% 11.8% 0.0% 0.6% -5.9% 1.8K -44.2K -127 0.00 133.27 N/A N/A 0 0 17 0 2023-11-24 $38.03 $0.00 26.0% 7.5% 25.9% 13.8% 0.0% 1.3% -5.8% 1.9K -44.0K -127 0.00 135.33 N/A N/A 0 0 17 0 2023-11-27 $38.16 $0.00 26.2% 7.5% 25.8% 14.1% 0.0% 1.8% -5.5% 1.9K -44.5K -122 0.00 133.37 N/A N/A 0 0 17 0 2023-11-28 $38.17 $0.00 26.6% 7.6% 25.8% 14.6% 0.0% 1.2% -6.1% 1.9K -44.7K -121 0.00 132.84 N/A N/A 0 0 17 0 2023-11-29 $38.40 $0.00 28.4% 8.1% 25.8% 17.2% 0.0% -0.6% -6.1% 1.8K -45.4K -121 0.00 130.47 N/A N/A 0 0 17 0 2023-11-30 $38.22 $0.00 27.1% 7.8% 26.1% 15.2% 0.0% -1.0% -4.0% 1.8K -45.0K -120 0.00 131.01 N/A N/A 0 0 17 0
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