VERX Options History — October 2021

In October 2021, VERX traded between $18.04 and $20.84. ATM implied volatility averaged 55.9%. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 1.2% (HV 20d: 57.1%). 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 8 of 21 days. Put/call ratio averaged 1.58.

Notable Days

  • 2021-10-29: Highest Volume — 121 contracts
  • 2021-10-20: Largest IV spike — 78.5% change
  • 2021-10-27: Largest Expected Move — 21.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.24$18.04$20.84$20.16$20.84
Max Pain$17.62$17.50$20.00$20.00$17.50
ATM IV55.9%40.1%74.5%56.1%73.0%
Expected Move15.6%10.5%21.3%16.1%20.9%
HV 20d57.1%52.1%62.0%53.2%53.2%
HV 60d47.7%44.0%49.8%44.0%49.6%
Term Structure-5.4%-29.4%15.3%-13.2%-22.8%
VWIV55.6%36.9%71.3%58.6%50.2%
Skew 25d8.6%-14.3%35.8%13.4%35.8%
Skew 10d11.5%-5.7%44.3%8.6%15.6%
Call IV 25d53.2%33.7%78.6%45.1%33.7%
Put IV 25d61.8%42.6%85.0%58.5%69.4%
Bid-Ask Spread %95.0576.73111.06107.4090.59
Gamma HHI0.460.410.550.420.41
Net GEX11.5K8.8K14.8K14.1K14.6K
Net DEX-338.1K-515.6K-228.4K-434.4K-515.6K
Net VEX-1.6K-1.7K-1.4K-1.7K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.0014.000.000.29
Total Volume46.905012117121
Total OI564.524520610530598

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$20.16$20.0056.1%16.1%53.2%0.0%58.6%13.4%-13.2%14.1K-434.4K-1.7K0.00107.40N/AN/A17048149
2021-10-04$18.55$17.5057.7%18.4%60.7%0.0%63.1%12.4%-25.3%10.4K-306.7K-1.6K1.2792.97N/AN/A111448749
2021-10-05$18.56$17.5051.8%16.5%59.2%0.0%0.0%-3.9%-4.8%10.7K-304.3K-1.5K14.00104.38N/AN/A11449349
2021-10-06$19.34$17.5047.1%12.8%61.2%0.0%41.9%2.3%8.2%13.4K-355.5K-1.6K0.0083.91N/AN/A5049463
2021-10-07$19.52$17.5059.9%13.3%60.4%0.0%0.0%17.7%-5.7%14.2K-365.1K-1.6K0.0089.20N/AN/A0050068
2021-10-08$18.95$17.5052.6%16.0%60.9%0.0%0.0%19.7%-10.8%11.9K-306.4K-1.5K0.0093.29N/AN/A0050068
2021-10-11$18.53$17.5072.9%17.8%61.2%0.0%66.3%3.8%15.3%8.9K-300.1K-1.5K2.0090.15N/AN/A112249968
2021-10-12$19.34$17.5056.0%10.5%62.0%0.0%36.9%-1.2%6.0%13.6K-335.3K-1.5K0.09100.98N/AN/A32349968
2021-10-13$19.56$17.5040.1%11.5%61.5%0.0%0.0%3.9%2.1%14.8K-357.3K-1.6K0.0093.53N/AN/A10049790
2021-10-14$18.97$17.5054.7%15.7%52.9%0.0%53.5%8.5%-0.1%10.3K-326.1K-1.6K0.50104.08N/AN/A2150991
2021-10-15$18.16$17.5060.4%17.3%54.5%0.0%63.6%4.7%-13.1%9.6K-246.5K-1.5K8.50111.06N/AN/A43451991
2021-10-18$18.04$17.5048.8%14.0%53.9%0.0%48.8%10.3%7.8%9.4K-236.1K-1.4K0.2096.13N/AN/A5144080
2021-10-19$18.50$17.5040.3%11.6%54.7%0.0%0.0%-14.3%-16.4%10.2K-261.9K-1.5K0.0096.29N/AN/A40442113
2021-10-20$18.56$17.5071.9%20.6%54.6%0.0%61.6%29.8%-15.3%8.8K-228.4K-1.5K0.4498.02N/AN/A6227443114
2021-10-21$19.45$17.5049.7%14.3%57.2%0.0%59.4%14.5%-7.6%10.0K-338.0K-1.6K0.5396.57N/AN/A5931447114
2021-10-22$19.57$17.5049.1%14.1%57.1%0.0%47.9%3.1%5.9%11.2K-346.3K-1.6K0.5882.92N/AN/A5934450109
2021-10-25$19.77$17.5051.8%14.9%57.2%0.0%52.0%4.5%2.0%10.6K-370.8K-1.6K0.4776.73N/AN/A5928449115
2021-10-26$19.74$17.5055.6%15.9%55.1%0.0%57.1%1.4%-2.8%11.1K-373.5K-1.6K0.4590.19N/AN/A6228449114
2021-10-27$19.42$17.5074.5%21.3%52.1%0.0%71.3%9.8%-29.4%10.8K-332.2K-1.6K0.36101.05N/AN/A7728450114
2021-10-28$20.51$17.5049.7%14.3%55.5%0.0%57.4%4.3%7.0%12.9K-459.8K-1.7K0.2996.67N/AN/A9227468114
2021-10-29$20.84$17.5073.0%20.9%53.2%0.0%50.2%35.8%-22.8%14.6K-515.6K-1.7K0.2990.59N/AN/A9427484114