VERX Options History — July 2021 In July 2021, VERX traded between $18.13 and $21.17. ATM implied volatility averaged 51.6%. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 7.1% (HV 20d: 44.5%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.21.
Notable Days 2021-07-20 : Highest Volume — 518 contracts2021-07-12 : Largest IV spike — 71.3% change2021-07-27 : Largest Expected Move — 18.1%Monthly Statistics Metric Avg Min Max Open Close Price $19.11 $18.13 $21.17 $21.17 $18.90 Max Pain $19.52 $15.00 $20.00 $15.00 $20.00 ATM IV 51.6% 36.8% 72.6% 51.5% 56.1% Expected Move 14.9% 12.6% 18.1% 14.8% 16.1% HV 20d 44.5% 39.5% 50.8% 50.8% 40.1% Term Structure 1.7% -10.4% 19.0% -0.9% -5.8% VWIV 52.7% 43.4% 72.6% 45.7% 56.5% Skew 25d 3.3% -6.2% 10.8% 3.8% -0.4% Skew 10d 10.9% -10.7% 30.3% 10.5% -2.9% Call IV 25d 50.6% 43.0% 59.2% 43.0% 58.4% Put IV 25d 53.8% 37.1% 64.5% 46.8% 58.0% Bid-Ask Spread % 82.56 51.22 98.18 83.95 98.18 Gamma HHI 0.39 0.28 0.59 0.31 0.58 Net GEX 23.4K 11.3K 34.6K 26.2K 33.7K Net DEX -562.6K -843.1K -266.6K -754.8K -752.7K Net VEX -3.0K -3.8K -2.0K -3.8K -3.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.21 0.00 2.00 0.00 0.00 Total Volume 35.143 0 518 28 1 Total OI 1,521.19 1,285 1,812 1,299 1,812
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 2021-07-01 $21.17 $15.00 51.5% 14.8% 0.0% 0.0% 45.7% 3.8% -0.9% 26.2K -754.8K -3.8K 0.00 83.95 N/A N/A 28 0 1,255 44 2021-07-02 $20.04 $15.00 43.8% 12.6% 50.8% 0.0% 43.4% -6.2% 6.0% 23.2K -622.2K -3.4K 1.06 78.60 N/A N/A 16 17 1,283 44 2021-07-06 $19.97 $20.00 47.3% 14.6% 49.2% 0.0% 51.0% 2.3% 2.3% 22.2K -556.5K -3.2K 0.28 66.79 N/A N/A 18 5 1,288 61 2021-07-07 $19.57 $20.00 48.4% 16.6% 48.4% 0.0% 72.6% 7.5% -1.4% 20.9K -512.5K -3.1K 0.36 90.82 N/A N/A 14 5 1,304 66 2021-07-08 $18.97 $20.00 47.6% 13.7% 48.5% 0.0% 0.0% 7.2% 19.0% 18.1K -443.2K -2.9K 0.00 84.39 N/A N/A 0 0 1,306 70 2021-07-09 $19.54 $20.00 42.4% 14.0% 48.4% 0.0% 0.0% 2.5% 0.5% 20.4K -511.0K -2.9K 0.00 67.62 N/A N/A 0 0 1,306 70 2021-07-12 $18.97 $20.00 72.6% 14.1% 48.4% 0.0% 48.9% 2.8% -0.8% 18.6K -490.2K -2.8K 0.00 88.51 N/A N/A 4 0 1,306 70 2021-07-13 $18.98 $20.00 36.8% 13.3% 47.8% 0.0% 0.0% 5.2% 5.5% 17.2K -379.9K -2.5K 0.00 51.22 N/A N/A 6 0 1,307 71 2021-07-14 $18.13 $20.00 49.1% 14.1% 49.4% 0.0% 0.0% 3.7% 4.4% 12.1K -271.2K -2.1K 0.02 86.24 N/A N/A 42 1 1,313 71 2021-07-15 $18.25 $20.00 51.3% 14.7% 47.1% 0.0% 49.5% 3.5% 4.4% 12.4K -309.0K -2.1K 0.20 79.23 N/A N/A 5 1 1,280 67 2021-07-16 $18.18 $20.00 49.9% 14.3% 41.4% 0.0% 48.8% 3.5% 6.4% 11.3K -266.6K -2.0K 0.00 89.00 N/A N/A 5 0 1,284 66 2021-07-19 $18.36 $20.00 52.5% 15.0% 41.8% 0.0% 52.5% 10.8% 6.0% 11.5K -278.7K -2.0K 0.00 90.09 N/A N/A 8 0 1,222 63 2021-07-20 $19.16 $20.00 47.0% 13.5% 45.2% 0.0% 46.0% 2.6% 8.4% 15.2K -380.0K -2.3K 0.00 84.39 N/A N/A 518 0 1,228 63 2021-07-21 $19.12 $20.00 46.6% 13.3% 40.7% 0.0% 47.4% -0.3% 4.6% 32.9K -793.9K -3.7K 0.00 85.41 N/A N/A 5 0 1,737 64 2021-07-22 $19.09 $20.00 53.4% 15.3% 39.5% 0.0% 52.9% 2.4% -1.0% 33.0K -789.3K -3.7K 0.00 78.17 N/A N/A 1 0 1,737 64 2021-07-23 $19.44 $20.00 55.0% 15.8% 40.3% 0.0% 54.4% 1.5% -2.8% 34.6K -843.1K -3.7K 0.00 83.98 N/A N/A 6 0 1,738 64 2021-07-26 $19.12 $20.00 56.4% 16.2% 40.4% 0.0% 59.8% 4.7% -2.8% 33.9K -779.5K -3.5K 2.00 83.26 N/A N/A 1 2 1,738 64 2021-07-27 $18.44 $20.00 63.2% 18.1% 40.2% 0.0% 0.0% 5.3% -10.4% 29.7K -630.2K -3.2K 0.00 83.35 N/A N/A 6 0 1,739 64 2021-07-28 $18.76 $20.00 56.4% 16.2% 41.3% 0.0% 56.7% 2.4% -3.2% 31.0K -687.0K -3.3K 0.00 87.21 N/A N/A 1 0 1,739 66 2021-07-29 $19.05 $20.00 57.2% 16.4% 42.2% 0.0% 57.4% 3.9% -2.1% 33.3K -763.5K -3.4K 0.00 93.25 N/A N/A 22 0 1,745 66 2021-07-30 $18.90 $20.00 56.1% 16.1% 40.1% 0.0% 56.5% -0.4% -5.8% 33.7K -752.7K -3.3K 0.00 98.18 N/A N/A 1 0 1,746 66
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