VERX Options History — September 2021

In September 2021, VERX traded between $18.15 and $20.82. ATM implied volatility averaged 49.5%. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 1.1% (HV 20d: 48.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.16.

Notable Days

  • 2021-09-16: Highest Volume — 123 contracts
  • 2021-09-03: Largest IV spike — 83.6% change
  • 2021-09-22: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.32$18.15$20.82$20.82$19.22
Max Pain$19.52$17.50$20.00$20.00$20.00
ATM IV49.5%28.7%66.2%42.1%51.2%
Expected Move14.4%10.5%19.0%12.1%14.7%
HV 20d48.4%43.3%56.6%44.3%50.3%
HV 60d42.4%39.8%43.8%42.2%43.4%
Term Structure3.2%-24.0%58.9%3.2%-11.9%
VWIV45.2%30.2%64.8%44.8%33.5%
Skew 25d8.2%-36.7%30.8%12.2%9.8%
Skew 10d11.7%-33.8%46.0%11.3%3.8%
Call IV 25d46.3%31.3%71.1%31.3%56.0%
Put IV 25d54.5%34.5%69.9%43.5%65.8%
Bid-Ask Spread %104.9989.59123.2393.80119.16
Gamma HHI0.620.370.920.650.44
Net GEX38.0K6.9K109.0K60.6K11.9K
Net DEX-508.1K-1.2M-134.4K-1.2M-370.3K
Net VEX-1.7K-2.4K-1.0K-2.3K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.001.000.000.00
Total Volume12.286012307
Total OI1,241.0954651,8071,773530

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$20.82$20.0042.1%12.1%44.3%0.0%0.0%12.2%3.2%60.6K-1.2M-2.3K0.0093.80N/AN/A001,70865
2021-09-02$20.48$20.0028.7%10.5%44.2%0.0%0.0%8.3%15.4%90.5K-971.8K-2.1K0.0095.96N/AN/A601,73170
2021-09-03$20.54$20.0052.7%17.3%44.1%0.0%0.0%3.9%2.6%56.5K-1.1M-2.4K0.00107.06N/AN/A001,73270
2021-09-07$19.72$20.0048.8%13.4%45.2%0.0%44.8%1.5%-2.0%67.4K-787.9K-2.0K1.0089.59N/AN/A111,73770
2021-09-08$19.88$20.0047.3%13.5%45.3%0.0%0.0%24.8%-4.0%62.2K-866.3K-2.0K0.0095.68N/AN/A401,73770
2021-09-09$19.30$20.0040.2%11.5%46.2%0.0%0.0%13.9%3.2%66.1K-526.1K-1.8K0.40113.02N/AN/A521,73958
2021-09-10$18.92$20.0054.3%15.6%46.9%0.0%30.2%7.1%-10.6%66.8K-474.6K-1.6K0.2099.84N/AN/A511,73958
2021-09-13$19.13$20.0041.4%11.9%43.3%0.0%41.7%7.1%-5.7%66.8K-370.1K-1.4K0.20103.25N/AN/A511,73957
2021-09-14$18.52$17.5064.3%18.4%44.4%0.0%0.0%16.0%-24.0%41.3K-336.9K-1.3K0.00102.43N/AN/A201,74258
2021-09-15$18.15$17.5039.8%11.4%44.9%0.0%41.9%-2.5%19.2%7.3K-134.4K-1.0K0.2598.16N/AN/A411,74359
2021-09-16$19.91$17.5042.5%12.2%55.5%0.0%43.5%3.2%58.9%109.0K-713.3K-1.4K0.00101.44N/AN/A12301,74259
2021-09-17$19.47$17.5063.7%18.3%55.8%0.0%0.0%22.8%-12.8%6.9K-200.7K-1.1K0.00106.25N/AN/A001,74260
2021-09-20$18.99$20.0061.7%17.7%56.6%0.0%60.3%-7.4%0.8%8.4K-333.0K-1.7K0.00100.26N/AN/A7042144
2021-09-21$19.15$20.0053.7%15.4%55.1%0.0%53.2%3.9%14.4%10.1K-343.7K-1.7K0.3395.59N/AN/A12442144
2021-09-22$18.98$20.0066.2%19.0%51.9%0.0%64.8%9.9%-7.4%9.6K-306.7K-1.6K0.06101.33N/AN/A16142644
2021-09-23$19.12$20.0047.7%13.7%49.5%0.0%39.9%30.8%2.8%10.9K-312.2K-1.6K0.00109.17N/AN/A0143848
2021-09-24$18.98$20.0053.1%15.2%48.9%0.0%33.0%10.8%17.4%12.1K-322.6K-1.6K0.00120.13N/AN/A47045349
2021-09-27$18.98$20.0063.4%18.2%46.9%0.0%55.4%2.2%2.4%11.9K-308.8K-1.5K0.00117.50N/AN/A1045348
2021-09-28$18.25$20.0038.6%11.1%47.2%0.0%33.5%-36.7%5.3%8.3K-330.9K-1.6K0.00123.23N/AN/A0148248
2021-09-29$19.28$20.0038.3%11.0%50.3%0.0%0.0%30.1%-0.3%13.0K-357.6K-1.6K0.00111.98N/AN/A0048148
2021-09-30$19.22$20.0051.2%14.7%50.3%0.0%0.0%9.8%-11.9%11.9K-370.3K-1.7K0.00119.16N/AN/A7048149