VERX Options History — November 2021

In November 2021, VERX traded between $18.24 and $21.74. ATM implied volatility averaged 50.9%. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 14.7% (HV 20d: 36.2%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2021-11-24: Highest Volume — 186 contracts
  • 2021-11-10: Largest IV drop — 53.1% change
  • 2021-11-26: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.40$18.24$21.74$20.52$18.24
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV50.9%32.0%84.4%52.4%40.8%
Expected Move13.0%9.2%18.1%15.0%11.7%
HV 20d36.2%29.9%43.4%43.4%32.7%
HV 60d48.0%46.6%49.7%49.7%46.9%
Term Structure2.7%-22.2%39.2%-22.2%39.2%
VWIV50.9%37.2%74.0%54.1%61.6%
Skew 25d6.6%-10.0%23.2%-1.7%4.0%
Skew 10d7.0%-10.6%41.2%6.9%-10.6%
Call IV 25d46.6%28.7%64.7%54.0%46.5%
Put IV 25d53.2%40.9%76.1%52.3%50.5%
Bid-Ask Spread %97.2581.42116.0792.97107.99
Gamma HHI0.440.380.670.460.59
Net GEX17.3K10.1K29.0K17.3K10.1K
Net DEX-478.7K-672.0K-196.7K-460.3K-196.7K
Net VEX-1.4K-1.6K-1.0K-1.5K-1.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.170.430.380.26
Total Volume146.095102186102145
Total OI625.238544674608612

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$20.52$17.5052.4%15.0%43.4%0.0%54.1%-1.7%-22.2%17.3K-460.3K-1.5K0.3892.97N/AN/A7428493115
2021-11-02$20.68$17.5055.6%15.9%43.4%0.0%68.6%14.5%-18.4%13.9K-538.8K-1.6K0.41102.91N/AN/A7430498113
2021-11-03$21.08$17.5051.8%14.8%41.7%0.0%61.0%-4.4%-9.2%17.5K-531.7K-1.5K0.3788.10N/AN/A8230497119
2021-11-04$20.74$17.5064.8%11.1%42.2%0.0%55.8%-10.0%0.3%15.3K-518.2K-1.6K0.3781.42N/AN/A8230499119
2021-11-05$20.55$17.5083.5%15.8%40.8%0.0%54.0%2.1%-9.4%14.8K-473.9K-1.6K0.3485.31N/AN/A9633499119
2021-11-08$20.70$17.5084.4%11.8%39.5%0.0%46.3%1.5%-12.3%16.7K-497.6K-1.6K0.3495.14N/AN/A9633514122
2021-11-09$21.20$17.5069.5%14.1%37.7%0.0%46.9%18.9%22.3%17.0K-555.9K-1.6K0.4290.80N/AN/A10243514122
2021-11-10$21.53$17.5032.6%9.3%37.8%0.0%43.8%23.2%6.1%18.5K-610.0K-1.6K0.4296.13N/AN/A10243517120
2021-11-11$21.54$17.5040.1%11.5%35.5%0.0%42.3%19.8%18.1%20.8K-618.2K-1.5K0.4091.96N/AN/A10843517120
2021-11-12$21.71$17.5039.3%11.3%30.2%0.0%38.1%9.3%8.2%20.9K-641.5K-1.5K0.4387.60N/AN/A9943524120
2021-11-15$21.49$17.5038.0%10.9%30.5%0.0%41.9%4.7%3.8%22.9K-608.6K-1.4K0.3692.33N/AN/A11943522120
2021-11-16$21.74$17.5032.0%9.2%29.9%0.0%37.2%13.0%14.5%22.1K-672.0K-1.5K0.3899.88N/AN/A11343543120
2021-11-17$21.51$17.5040.4%11.6%30.6%0.0%46.6%12.1%-1.2%22.0K-633.5K-1.5K0.37102.38N/AN/A11543554120
2021-11-18$20.73$17.5044.6%12.8%30.7%0.0%49.0%-1.3%-4.2%18.0K-544.8K-1.4K0.3696.15N/AN/A12043554120
2021-11-19$20.10$17.5043.6%12.5%32.9%0.0%38.7%6.2%6.2%29.0K-417.2K-1.3K0.3392.48N/AN/A12642553120
2021-11-22$19.00$17.5049.1%14.1%38.5%0.0%48.1%7.2%9.5%12.4K-284.9K-1.3K0.2395.89N/AN/A1202746480
2021-11-23$19.03$17.5038.6%11.1%38.6%0.0%45.6%7.4%-4.3%14.2K-295.5K-1.3K0.1797.07N/AN/A1582750180
2021-11-24$19.14$17.5046.7%13.4%38.3%0.0%59.9%11.2%7.8%14.1K-368.1K-1.4K0.22116.07N/AN/A1523451581
2021-11-26$18.56$17.5063.1%18.1%33.6%0.0%55.3%-1.5%-16.2%13.5K-301.1K-1.3K0.17115.88N/AN/A1522651492
2021-11-29$18.52$17.5057.8%16.6%32.7%0.0%74.0%1.6%17.8%13.0K-283.3K-1.2K0.19113.82N/AN/A1252451490
2021-11-30$18.24$17.5040.8%11.7%32.7%0.0%61.6%4.0%39.2%10.1K-196.7K-1.0K0.26107.99N/AN/A1153052389