VERX Options History — August 2021

In August 2021, VERX traded between $18.29 and $22.53. ATM implied volatility averaged 49.3%. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 14.4% (HV 20d: 34.8%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.46.

Notable Days

  • 2021-08-11: Highest Volume — 97 contracts
  • 2021-08-12: Largest IV spike — 41.8% change
  • 2021-08-02: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.64$18.29$22.53$18.91$20.79
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV49.3%36.2%62.1%62.1%46.1%
Expected Move13.8%10.4%17.8%17.8%13.2%
HV 20d34.8%29.4%44.3%35.6%44.3%
HV 60d41.0%39.8%42.6%40.9%42.6%
Term Structure5.0%-10.8%22.7%-10.7%-10.8%
VWIV47.0%30.0%63.1%61.9%37.4%
Skew 25d3.0%-11.7%18.6%0.7%1.4%
Skew 10d5.4%-15.5%44.0%-5.4%4.4%
Call IV 25d47.4%31.0%62.2%62.2%38.0%
Put IV 25d50.4%29.6%66.1%62.9%39.4%
Bid-Ask Spread %93.6477.35107.0897.8995.71
Gamma HHI0.650.510.760.580.67
Net GEX41.7K28.9K59.5K33.9K57.8K
Net DEX-847.9K-1.7M-419.4K-705.1K-1.1M
Net VEX-2.7K-3.2K-1.9K-3.1K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.003.000.000.21
Total Volume15.2270971029
Total OI1,8261,7171,9381,8201,768

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$18.91$20.0062.1%17.8%35.6%0.0%61.9%0.7%-10.7%33.9K-705.1K-3.1K0.0097.89N/AN/A1001,75466
2021-08-03$18.73$20.0059.3%17.0%35.7%0.0%0.0%7.4%2.2%31.7K-703.4K-3.2K0.00105.35N/AN/A001,75466
2021-08-04$18.76$20.0061.1%17.5%35.2%0.0%0.0%6.7%-5.6%32.5K-667.2K-3.1K0.0091.33N/AN/A001,75066
2021-08-05$19.27$20.0058.7%13.8%34.8%0.0%0.0%6.2%3.4%36.3K-786.8K-3.2K0.0082.25N/AN/A101,75066
2021-08-06$19.19$20.0057.5%14.6%33.1%0.0%50.7%3.2%5.8%36.5K-754.2K-3.1K0.0077.35N/AN/A601,75066
2021-08-09$18.60$20.0057.6%14.2%33.3%0.0%53.7%4.7%3.2%33.7K-580.8K-2.7K0.0085.47N/AN/A1701,75166
2021-08-10$18.60$20.0052.1%14.0%33.3%0.0%51.4%8.2%8.0%33.3K-654.2K-2.8K0.0092.51N/AN/A1601,75166
2021-08-11$18.29$20.0036.2%10.4%29.5%0.0%48.9%-11.7%7.4%32.4K-459.4K-2.4K0.0093.12N/AN/A9701,76666
2021-08-12$18.31$20.0051.4%14.7%29.4%0.0%30.0%18.6%1.4%28.9K-419.4K-2.3K0.2598.32N/AN/A411,78066
2021-08-13$19.27$20.0048.0%13.8%34.5%0.0%46.1%1.6%4.5%41.6K-728.1K-2.8K0.0081.34N/AN/A1501,86766
2021-08-16$18.94$20.0039.3%11.3%35.1%0.0%46.5%4.2%22.7%43.0K-554.7K-2.5K3.0091.60N/AN/A261,87167
2021-08-17$18.93$20.0037.4%10.7%31.6%0.0%33.1%9.1%16.6%39.4K-701.3K-2.7K1.6781.25N/AN/A351,86267
2021-08-18$19.40$20.0047.6%13.7%32.8%0.0%47.4%5.6%8.0%44.2K-756.3K-2.7K0.00102.20N/AN/A201,86267
2021-08-19$19.08$20.0052.9%15.2%33.4%0.0%47.2%3.6%20.2%36.2K-656.8K-2.6K2.0092.00N/AN/A121,86267
2021-08-20$19.03$20.0050.4%14.4%32.7%0.0%0.0%-6.2%6.6%39.0K-610.4K-2.5K0.0088.68N/AN/A001,86367
2021-08-23$19.72$20.0050.7%14.5%34.6%0.0%51.4%-1.4%0.4%45.6K-761.1K-2.5K0.00103.10N/AN/A2101,67443
2021-08-24$20.69$20.0048.5%13.9%35.3%0.0%47.3%3.6%3.0%51.9K-1.1M-2.7K0.0082.16N/AN/A2001,67443
2021-08-25$21.52$20.0046.1%13.2%37.1%0.0%47.1%-9.7%2.6%59.5K-1.3M-2.4K0.79107.08N/AN/A29231,67743
2021-08-26$21.84$20.0044.9%12.9%37.1%0.0%63.1%7.5%-1.8%47.1K-1.4M-2.7K0.13106.28N/AN/A811,68843
2021-08-27$22.53$20.0038.2%11.0%37.6%0.0%45.0%5.4%12.4%58.2K-1.7M-1.9K0.33104.75N/AN/A621,70661
2021-08-30$21.74$20.0037.5%10.8%40.7%0.0%36.9%-1.5%10.7%53.7K-1.5M-2.1K0.33100.36N/AN/A621,70262
2021-08-31$20.79$20.0046.1%13.2%44.3%0.0%37.4%1.4%-10.8%57.8K-1.1M-2.4K0.2195.71N/AN/A2451,70563