VERS Options History — January 2024 In January 2024, VERS traded between $39.69 and $42.52. ATM implied volatility averaged 24.3%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.3% (HV 20d: 22.9%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2024-01-04 : Highest Volume — 3 contracts2024-01-10 : Largest IV drop — 22.9% change2024-01-09 : Highest IV Rank — 18.1%2024-01-30 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $41.12 $39.69 $42.52 $41.29 $40.82 Max Pain $39.09 $35.00 $40.00 $35.00 $40.00 ATM IV 24.3% 22.0% 29.1% 24.9% 25.1% Expected Move 6.7% 6.3% 7.3% 7.1% 7.2% HV 20d 22.9% 21.3% 24.7% 21.3% 22.7% HV 60d 23.7% 22.4% 25.0% 24.3% 22.5% IV Rank 11.3% 8.0% 18.1% 12.2% 12.4% IV Percentile 30.0% 9.9% 59.5% 36.9% 43.7% Term Structure -1.5% -10.1% 3.3% -1.8% -10.1% VWIV 19.7% 19.7% 19.7% 19.7% 19.7% Skew 25d 0.1% -13.8% 2.4% -0.7% -1.2% Skew 10d 0.8% -8.7% 2.4% -8.7% 0.8% Call IV 25d 24.7% 22.3% 29.2% 27.6% 29.2% Put IV 25d 24.8% 15.3% 28.5% 26.9% 28.1% Bid-Ask Spread % 129.12 121.66 133.16 121.66 133.16 Gamma HHI 0.23 0.18 0.26 0.24 0.23 Net GEX 1.7K 1.3K 2.0K 1.3K 1.7K Net DEX -55.7K -62.1K -48.7K -56.1K -48.7K Net VEX -88 -109 -71 -79 -82 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 0.286 0 3 0 0 Total OI 18.952 17 21 17 19
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 2024-01-02 $41.29 $35.00 24.9% 7.1% 21.3% 12.2% 0.0% -0.7% -1.8% 1.3K -56.1K -79 0.00 121.66 N/A N/A 0 0 17 0 2024-01-03 $40.27 $35.00 25.6% 7.3% 23.5% 13.2% 0.0% -13.8% -2.5% 1.6K -51.4K -87 0.00 123.09 N/A N/A 0 0 17 0 2024-01-04 $40.37 $0.00 26.8% 6.7% 23.3% 14.8% 0.0% 1.3% 0.0% 1.6K -51.5K -86 0.00 128.66 N/A N/A 3 0 17 0 2024-01-05 $40.24 $0.00 26.6% 6.5% 23.4% 14.6% 0.0% 1.0% -0.8% 1.9K -56.7K -109 0.00 128.85 N/A N/A 0 0 20 0 2024-01-08 $41.30 $0.00 28.4% 6.8% 24.7% 17.1% 0.0% 1.4% -0.2% 1.6K -61.3K -99 0.00 128.38 N/A N/A 0 0 20 0 2024-01-09 $40.99 $0.00 29.1% 6.4% 24.6% 18.1% 0.0% 0.5% 0.7% 1.7K -60.7K -100 0.00 129.70 N/A N/A 0 0 20 0 2024-01-10 $41.05 $0.00 22.4% 6.4% 24.6% 8.6% 0.0% 0.6% -1.0% 1.7K -61.0K -97 0.00 131.46 N/A N/A 0 0 20 0 2024-01-11 $40.92 $0.00 23.3% 6.7% 24.6% 9.9% 0.0% 1.3% -0.1% 1.7K -60.8K -92 0.00 125.78 N/A N/A 0 0 20 0 2024-01-12 $40.68 $0.00 22.3% 6.4% 22.9% 8.5% 0.0% 1.0% -0.8% 1.8K -59.8K -98 0.00 128.50 N/A N/A 0 0 20 0 2024-01-16 $40.27 $0.00 22.7% 6.5% 21.6% 9.0% 0.0% 1.0% 0.3% 1.9K -57.0K -94 0.00 130.71 N/A N/A 0 0 20 0 2024-01-17 $39.69 $0.00 23.5% 6.8% 22.0% 10.3% 0.0% 2.3% 0.1% 2.0K -53.1K -98 0.00 132.91 N/A N/A 0 0 20 0 2024-01-18 $40.34 $0.00 22.0% 6.3% 23.0% 8.0% 19.7% 2.3% 3.3% 1.9K -56.4K -95 0.00 127.76 N/A N/A 1 0 20 0 2024-01-19 $41.12 $40.00 22.5% 6.4% 23.5% 8.7% 0.0% 0.1% 0.7% 1.9K -62.1K -96 0.00 127.95 N/A N/A 0 1 21 0 2024-01-22 $41.80 $40.00 22.5% 6.5% 22.8% 8.8% 0.0% 2.2% -0.7% 1.5K -51.6K -85 0.00 130.86 N/A N/A 0 0 17 1 2024-01-23 $42.00 $40.00 23.0% 6.6% 22.2% 9.4% 0.0% 0.9% -0.4% 1.5K -52.3K -84 0.00 132.33 N/A N/A 0 0 17 1 2024-01-24 $42.02 $40.00 22.6% 6.5% 22.1% 8.8% 0.0% 0.0% -2.7% 1.5K -53.2K -82 0.00 129.00 N/A N/A 0 0 17 1 2024-01-25 $42.27 $40.00 22.9% 6.6% 21.6% 9.3% 0.0% -0.5% -2.1% 1.5K -54.5K -77 0.00 130.39 N/A N/A 0 0 17 1 2024-01-26 $41.86 $40.00 23.7% 6.8% 21.9% 10.4% 0.0% 0.4% -4.7% 1.5K -53.6K -73 0.00 132.76 N/A N/A 0 0 17 1 2024-01-29 $42.52 $40.00 24.3% 7.0% 22.7% 11.3% 0.0% 2.4% -1.5% 1.4K -55.3K -71 0.00 129.26 N/A N/A 0 1 17 1 2024-01-30 $41.76 $40.00 25.6% 7.3% 23.0% 13.2% 0.0% 0.1% -6.3% 1.5K -52.9K -73 0.00 128.39 N/A N/A 0 0 17 2 2024-01-31 $40.82 $40.00 25.1% 7.2% 22.7% 12.4% 0.0% -1.2% -10.1% 1.7K -48.7K -82 0.00 133.16 N/A N/A 0 0 17 2
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