VERX Options History — January 2022

In January 2022, VERX traded between $12.98 and $16.81. ATM implied volatility averaged 66.5%, placing in the 50.2% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded above realized volatility by 12.4% (HV 20d: 54.1%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.51.

Notable Days

2022-01-31: Highest Volume — 294 contracts
2022-01-07: Largest IV spike — 37.4% change
2022-01-07: Highest IV Rank — 83.4%
2022-01-24: Largest Expected Move — 22.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.48	$12.98	$16.81	$16.81	$14.38
Max Pain	$15.50	$15.00	$20.00	$20.00	$15.00
ATM IV	66.5%	49.3%	91.5%	66.7%	57.7%
Expected Move	17.8%	12.3%	22.5%	19.1%	16.5%
HV 20d	54.1%	44.2%	64.7%	44.2%	64.7%
HV 60d	44.1%	40.2%	47.4%	40.5%	47.4%
IV Rank	50.2%	27.4%	83.4%	50.5%	38.5%
IV Percentile	81.9%	42.3%	98.6%	90.8%	70.2%
Term Structure	-6.4%	-41.3%	29.8%	-20.1%	10.6%
VWIV	62.7%	48.5%	96.2%	73.7%	57.4%
Skew 25d	5.3%	-33.6%	41.9%	-23.3%	40.7%
Skew 10d	12.4%	-9.7%	50.9%	-7.8%	50.9%
Call IV 25d	60.0%	45.4%	88.3%	74.5%	48.6%
Put IV 25d	65.4%	44.2%	98.5%	51.2%	89.3%
Bid-Ask Spread %	116.82	107.48	133.02	119.21	116.35
Gamma HHI	0.34	0.21	0.55	0.51	0.22
Net GEX	2.6K	663	4.3K	4.3K	1.2K
Net DEX	-61.4K	-126.4K	22.7K	-126.4K	-17.6K
Net VEX	-709	-1.1K	-464	-764	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.10	1.37	0.15	1.35
Total Volume	207.3	132	294	132	294
Total OI	444.5	350	591	350	591

Daily Data (20 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
2022-01-03	$16.81	$20.00	66.7%	19.1%	44.2%	50.5%	73.7%	-23.3%	-20.1%	4.3K	-126.4K	-764	0.15	119.21	N/A	N/A	115	17	318	32
2022-01-04	$16.60	$17.50	64.3%	18.4%	44.3%	47.2%	60.6%	-14.3%	-22.0%	4.0K	-109.6K	-691	0.15	123.75	N/A	N/A	115	17	320	32
2022-01-05	$15.41	$17.50	64.7%	18.6%	46.5%	47.8%	85.6%	-33.6%	-41.3%	3.5K	-111.3K	-706	0.15	133.02	N/A	N/A	115	17	320	32
2022-01-06	$15.30	$15.00	66.6%	15.6%	45.8%	50.4%	48.5%	11.1%	5.1%	3.1K	-94.1K	-660	0.15	112.26	N/A	N/A	115	17	320	32
2022-01-07	$15.81	$15.00	91.5%	20.7%	47.9%	83.4%	60.0%	17.4%	-4.1%	3.5K	-84.6K	-584	0.14	119.54	N/A	N/A	119	17	320	32
2022-01-10	$15.89	$15.00	75.7%	14.9%	48.1%	62.4%	54.0%	-6.3%	3.3%	3.5K	-89.0K	-600	0.14	124.33	N/A	N/A	119	17	324	32
2022-01-11	$15.80	$15.00	73.6%	12.3%	48.0%	59.7%	48.9%	-5.5%	-11.6%	2.7K	-70.2K	-464	0.11	111.50	N/A	N/A	148	17	324	32
2022-01-12	$14.64	$15.00	49.3%	14.1%	53.0%	27.4%	71.9%	3.1%	-5.8%	3.7K	-96.2K	-625	0.11	118.56	N/A	N/A	152	17	354	32
2022-01-13	$13.77	$15.00	58.8%	16.9%	55.4%	39.9%	50.0%	9.9%	-9.5%	2.4K	-51.3K	-481	0.10	107.48	N/A	N/A	165	17	360	32
2022-01-14	$14.04	$15.00	51.4%	14.7%	54.6%	30.2%	51.4%	0.3%	-1.2%	2.8K	-55.5K	-534	0.28	113.03	N/A	N/A	131	37	370	37
2022-01-18	$13.17	$15.00	59.0%	16.9%	55.5%	40.2%	68.1%	-19.1%	6.9%	1.9K	-35.7K	-524	0.23	112.30	N/A	N/A	177	41	375	52
2022-01-19	$12.98	$15.00	64.5%	18.5%	55.5%	47.6%	56.6%	-1.5%	-30.9%	2.3K	-49.5K	-662	0.24	107.74	N/A	N/A	173	41	416	56
2022-01-20	$13.28	$15.00	50.1%	14.4%	56.6%	28.4%	55.8%	7.3%	16.5%	2.5K	-57.0K	-695	0.50	107.71	N/A	N/A	173	87	417	102
2022-01-21	$13.47	$15.00	63.5%	18.2%	57.1%	46.2%	53.6%	15.4%	-9.3%	2.4K	-49.1K	-667	0.50	115.48	N/A	N/A	173	87	417	102
2022-01-24	$14.16	$15.00	78.5%	22.5%	61.1%	66.1%	78.1%	11.8%	-7.3%	2.3K	-57.1K	-821	0.75	119.67	N/A	N/A	167	125	374	134
2022-01-25	$13.66	$15.00	75.6%	21.7%	61.7%	62.2%	96.2%	41.9%	29.8%	2.3K	-74.8K	-880	1.02	124.52	N/A	N/A	123	125	374	134
2022-01-26	$13.43	$15.00	78.0%	22.4%	61.4%	65.5%	62.9%	19.8%	-18.2%	1.9K	-42.1K	-793	1.37	123.76	N/A	N/A	123	169	375	134
2022-01-27	$13.52	$15.00	71.7%	20.6%	61.0%	57.1%	60.7%	14.0%	-7.9%	663	22.7K	-986	1.37	112.18	N/A	N/A	123	169	375	216
2022-01-28	$13.55	$15.00	69.1%	19.8%	60.2%	53.6%	59.9%	17.2%	-10.8%	752	20.8K	-977	1.37	114.06	N/A	N/A	123	169	375	216
2022-01-31	$14.38	$15.00	57.7%	16.5%	64.7%	38.5%	57.4%	40.7%	10.6%	1.2K	-17.6K	-1.1K	1.35	116.35	N/A	N/A	125	169	375	216