VERX Options History — June 2021 In June 2021, VERX traded between $18.90 and $22.47. ATM implied volatility averaged 48.8%. The 30-day expected move averaged 14.0%. Max pain ranged from $15.00 to $20.00. Net GEX was positive for 14 of 14 trading days. Term structure was in contango for 13 of 14 days. Put/call ratio averaged 0.03.
Notable Days 2021-06-29 : Highest Volume — 874 contracts2021-06-17 : Largest IV drop — 9.9% change2021-06-16 : Largest Expected Move — 16.1%Monthly Statistics Metric Avg Min Max Open Close Price $20.96 $18.90 $22.47 $19.11 $22.09 Max Pain $16.96 $15.00 $20.00 $17.50 $15.00 ATM IV 48.8% 43.5% 56.0% 50.7% 46.7% Expected Move 14.0% 12.5% 16.1% 14.5% 13.4% Term Structure 6.0% -0.2% 12.2% 5.0% 5.6% VWIV 50.1% 39.0% 70.8% 50.9% 48.2% Skew 25d 4.7% -5.6% 12.3% 9.9% 7.8% Skew 10d 9.9% -2.2% 26.6% 9.2% 6.8% Call IV 25d 47.7% 42.2% 58.4% 52.1% 47.6% Put IV 25d 52.5% 46.6% 62.0% 62.0% 55.4% Bid-Ask Spread % 73.03 41.33 99.55 75.54 99.55 Gamma HHI 0.59 0.35 0.87 0.81 0.35 Net GEX 11.6K 3.3K 27.9K 4.1K 27.2K Net DEX -355.3K -890.7K -17.0K -25.3K -840.3K Net VEX -1.5K -3.9K -263 -263 -3.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.03 0.00 0.08 0.07 0.00 Total Volume 168.071 0 874 29 64 Total OI 482.571 99 1,242 99 1,238
Daily Data (14 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 2021-06-11 $19.11 $17.50 50.7% 14.5% 0.0% 0.0% 50.9% 9.9% 5.0% 4.1K -25.3K -263 0.07 75.54 N/A N/A 27 2 62 37 2021-06-14 $19.47 $17.50 52.1% 14.9% 0.0% 0.0% 51.5% 3.3% 5.6% 6.3K -43.6K -304 0.05 66.32 N/A N/A 19 1 83 39 2021-06-15 $18.90 $17.50 52.9% 15.2% 0.0% 0.0% 0.0% 4.5% 4.0% 4.2K -17.0K -288 0.00 72.50 N/A N/A 0 0 89 40 2021-06-16 $19.66 $17.50 56.0% 16.1% 0.0% 0.0% 0.0% 6.4% 4.2% 4.3K -61.9K -310 0.00 89.83 N/A N/A 0 1 89 40 2021-06-17 $20.80 $17.50 50.4% 14.5% 0.0% 0.0% 50.5% 5.6% -0.2% 6.8K -113.0K -292 0.05 74.86 N/A N/A 88 4 89 41 2021-06-18 $20.62 $20.00 49.2% 14.1% 0.0% 0.0% 0.0% -5.6% 9.8% 3.3K -198.3K -563 0.00 61.04 N/A N/A 57 0 155 43 2021-06-21 $20.47 $20.00 52.1% 14.9% 0.0% 0.0% 0.0% 12.3% 12.2% 4.5K -161.3K -749 0.00 55.20 N/A N/A 100 0 164 41 2021-06-22 $21.51 $20.00 47.7% 13.7% 0.0% 0.0% 39.0% 3.8% 9.6% 6.8K -339.0K -1.3K 0.00 41.33 N/A N/A 48 0 264 41 2021-06-23 $21.96 $15.00 46.1% 13.2% 0.0% 0.0% 46.1% 3.5% 1.9% 8.3K -413.8K -1.4K 0.08 74.20 N/A N/A 194 16 306 41 2021-06-24 $22.09 $15.00 44.5% 12.8% 0.0% 0.0% 70.8% 3.6% 5.0% 9.7K -460.4K -1.5K 0.00 70.81 N/A N/A 712 1 337 41 2021-06-25 $21.98 $15.00 43.5% 12.5% 0.0% 0.0% 0.0% 1.9% 6.4% 22.9K -637.6K -3.0K 0.00 77.95 N/A N/A 40 0 1,056 41 2021-06-28 $22.47 $15.00 46.4% 13.3% 0.0% 0.0% 46.6% 3.7% 6.3% 25.4K -772.0K -3.4K 0.03 77.17 N/A N/A 102 3 1,096 41 2021-06-29 $22.31 $15.00 45.1% 12.9% 0.0% 0.0% 47.1% 5.6% 8.6% 27.9K -890.7K -3.9K 0.02 86.18 N/A N/A 859 15 1,198 44 2021-06-30 $22.09 $15.00 46.7% 13.4% 0.0% 0.0% 48.2% 7.8% 5.6% 27.2K -840.3K -3.9K 0.00 99.55 N/A N/A 64 0 1,194 44
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