VERX Options History — December 2021

In December 2021, VERX traded between $15.97 and $18.60. ATM implied volatility averaged 60.2%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 20.9% (HV 20d: 39.3%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.17.

Notable Days

2021-12-08: Highest Volume — 194 contracts
2021-12-13: Largest IV spike — 100.0% change
2021-12-14: Highest IV Rank — 87.5%
2021-12-03: Largest Expected Move — 29.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.27	$15.97	$18.60	$17.40	$15.97
Max Pain	$19.09	$17.50	$20.00	$17.50	$20.00
ATM IV	60.2%	36.3%	104.0%	58.6%	57.6%
Expected Move	15.8%	10.4%	29.8%	16.8%	16.5%
HV 20d	39.3%	34.3%	44.4%	35.4%	39.5%
HV 60d	44.5%	39.0%	47.8%	47.2%	39.0%
IV Rank	37.0%	10.0%	87.5%	37.2%	38.4%
IV Percentile	55.2%	2.9%	99.2%	73.8%	75.9%
Term Structure	-1.3%	-55.2%	43.0%	-19.7%	-20.8%
VWIV	55.4%	38.5%	97.3%	66.1%	86.6%
Skew 25d	-0.0%	-47.7%	37.8%	-19.7%	-31.4%
Skew 10d	7.9%	-18.3%	69.3%	-18.3%	-0.6%
Call IV 25d	52.5%	29.1%	127.2%	65.9%	84.5%
Put IV 25d	52.5%	41.0%	79.5%	46.2%	53.1%
Bid-Ask Spread %	107.90	90.90	133.24	112.27	133.24
Gamma HHI	0.50	0.41	0.62	0.52	0.50
Net GEX	5.7K	3.2K	10.8K	7.8K	3.9K
Net DEX	-141.0K	-244.1K	-86.9K	-137.2K	-123.9K
Net VEX	-878	-1.2K	-628	-948	-738
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.17	0.14	0.27	0.26	0.15
Total Volume	152.864	122	194	144	132
Total OI	528.045	308	686	622	350

Daily Data (22 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
2021-12-01	$17.40	$17.50	58.6%	16.8%	35.4%	0.0%	66.1%	-19.7%	-19.7%	7.8K	-137.2K	-948	0.26	112.27	N/A	N/A	114	30	526	96
2021-12-02	$17.55	$17.50	61.1%	17.5%	34.4%	0.0%	74.3%	37.8%	-7.6%	9.5K	-175.6K	-983	0.26	119.06	N/A	N/A	114	30	527	96
2021-12-03	$17.39	$17.50	104.0%	29.8%	34.3%	0.0%	97.3%	-47.7%	-55.2%	8.2K	-234.4K	-1.2K	0.27	124.48	N/A	N/A	122	33	537	96
2021-12-06	$17.44	$20.00	64.5%	12.9%	34.6%	0.0%	57.2%	-0.7%	19.0%	5.0K	-124.1K	-933	0.23	103.58	N/A	N/A	141	33	547	106
2021-12-07	$18.35	$20.00	58.9%	12.4%	40.2%	0.0%	63.1%	3.4%	16.3%	5.0K	-163.8K	-924	0.17	107.01	N/A	N/A	141	24	547	106
2021-12-08	$18.60	$20.00	71.4%	16.1%	39.3%	0.0%	42.6%	11.0%	-3.8%	10.8K	-244.1K	-1.1K	0.14	94.67	N/A	N/A	170	24	547	107
2021-12-09	$18.19	$20.00	56.7%	15.7%	38.8%	37.2%	50.5%	5.5%	0.9%	9.4K	-211.6K	-1.1K	0.15	90.90	N/A	N/A	156	24	579	107
2021-12-10	$18.18	$20.00	45.4%	16.4%	38.8%	22.2%	63.8%	-3.6%	6.1%	7.0K	-177.3K	-1.0K	0.15	96.41	N/A	N/A	156	24	573	107
2021-12-13	$17.90	$20.00	90.8%	16.1%	38.4%	82.4%	56.1%	1.9%	-18.0%	9.1K	-192.2K	-980	0.15	99.15	N/A	N/A	156	24	573	106
2021-12-14	$17.24	$20.00	94.6%	16.7%	39.6%	87.5%	44.3%	6.8%	-10.6%	3.2K	-105.9K	-853	0.16	113.76	N/A	N/A	154	24	573	106
2021-12-15	$17.52	$20.00	49.3%	14.1%	40.0%	27.3%	47.7%	5.2%	21.2%	4.9K	-139.0K	-859	0.16	108.84	N/A	N/A	153	24	578	105
2021-12-16	$16.67	$20.00	45.6%	13.1%	42.3%	22.5%	42.7%	5.7%	10.0%	4.1K	-88.2K	-830	0.16	96.31	N/A	N/A	149	24	580	105
2021-12-17	$17.25	$20.00	56.2%	16.1%	44.4%	36.5%	46.8%	0.9%	-9.6%	4.3K	-90.6K	-807	0.16	91.95	N/A	N/A	150	24	580	105
2021-12-20	$16.95	$17.50	55.7%	16.0%	43.8%	35.9%	45.1%	18.4%	-1.3%	4.1K	-113.8K	-789	0.15	113.86	N/A	N/A	106	16	279	29
2021-12-21	$17.02	$17.50	43.8%	12.6%	40.1%	20.0%	51.2%	-1.1%	43.0%	4.3K	-96.3K	-689	0.15	117.42	N/A	N/A	109	16	289	29
2021-12-22	$17.11	$17.50	44.3%	12.7%	40.3%	20.7%	38.5%	10.8%	13.5%	4.7K	-128.0K	-803	0.15	113.49	N/A	N/A	107	16	297	29
2021-12-23	$17.13	$17.50	72.0%	20.6%	40.1%	57.5%	65.1%	-6.7%	-1.4%	4.8K	-130.5K	-843	0.15	127.42	N/A	N/A	108	16	305	29
2021-12-27	$17.08	$17.50	47.0%	13.5%	39.0%	24.3%	50.3%	-6.7%	10.8%	4.5K	-118.5K	-794	0.17	95.80	N/A	N/A	108	18	306	29
2021-12-28	$16.60	$20.00	36.3%	10.4%	39.9%	10.0%	42.1%	-0.2%	7.4%	4.0K	-97.9K	-717	0.15	99.84	N/A	N/A	113	17	305	31
2021-12-29	$16.02	$20.00	57.3%	16.4%	41.2%	37.9%	43.6%	11.5%	-36.6%	3.4K	-86.9K	-628	0.15	110.38	N/A	N/A	114	17	315	32
2021-12-30	$16.33	$20.00	52.5%	15.0%	39.2%	31.6%	44.4%	-1.8%	7.4%	3.5K	-122.5K	-783	0.15	103.94	N/A	N/A	115	17	316	32
2021-12-31	$15.97	$20.00	57.6%	16.5%	39.5%	38.4%	86.6%	-31.4%	-20.8%	3.9K	-123.9K	-738	0.15	133.24	N/A	N/A	115	17	318	32