VERX Options History — February 2022

In February 2022, VERX traded between $12.71 and $14.12. ATM implied volatility averaged 72.3%, placing in the 57.9% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded above realized volatility by 16.4% (HV 20d: 55.9%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.08.

Notable Days

2022-02-01: Highest Volume — 290 contracts
2022-02-24: Largest IV spike — 34.6% change
2022-02-24: Highest IV Rank — 91.2%
2022-02-24: Largest Expected Move — 27.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.45	$12.71	$14.12	$13.59	$13.92
Max Pain	$12.76	$12.50	$15.00	$15.00	$12.50
ATM IV	72.3%	59.6%	97.4%	69.3%	66.4%
Expected Move	20.3%	16.6%	27.9%	19.9%	19.0%
HV 20d	55.9%	48.6%	63.6%	63.5%	53.7%
HV 60d	50.0%	48.4%	51.4%	48.4%	51.4%
IV Rank	57.9%	41.1%	91.2%	53.9%	50.1%
IV Percentile	86.9%	71.2%	99.4%	87.7%	78.9%
Term Structure	-3.2%	-40.7%	66.7%	5.8%	7.2%
VWIV	71.2%	57.1%	94.6%	57.6%	72.5%
Skew 25d	17.6%	-1.2%	51.7%	17.7%	33.3%
Skew 10d	25.5%	-21.9%	91.4%	22.4%	34.5%
Call IV 25d	59.9%	50.8%	72.4%	55.9%	59.1%
Put IV 25d	77.5%	61.9%	120.6%	73.6%	92.3%
Bid-Ask Spread %	117.49	101.49	123.87	118.65	117.23
Gamma HHI	0.21	0.19	0.27	0.21	0.23
Net GEX	-152	-700	582	582	-376
Net DEX	39.7K	18.2K	62.1K	18.9K	18.2K
Net VEX	-910	-986	-846	-986	-909
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.65	1.43	1.40	0.75
Total Volume	247.368	193	290	290	226
Total OI	590.211	578	631	594	596

Daily Data (19 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
2022-02-01	$13.59	$15.00	69.3%	19.9%	63.5%	53.9%	57.6%	17.7%	5.8%	582	18.9K	-986	1.40	118.65	N/A	N/A	121	169	378	216
2022-02-02	$13.51	$15.00	67.1%	19.2%	63.6%	51.0%	57.1%	6.3%	-12.2%	-15	36.9K	-939	1.43	122.59	N/A	N/A	118	169	368	216
2022-02-03	$13.04	$12.50	74.4%	22.3%	59.7%	60.7%	75.1%	35.5%	-16.5%	119	37.8K	-921	1.31	111.95	N/A	N/A	118	155	368	216
2022-02-04	$13.35	$12.50	73.7%	16.6%	60.8%	59.7%	68.0%	21.8%	-2.5%	99	29.5K	-929	1.31	120.69	N/A	N/A	118	155	368	216
2022-02-07	$13.08	$12.50	82.3%	22.5%	59.1%	71.2%	65.9%	21.7%	-17.0%	28	35.1K	-909	1.31	120.77	N/A	N/A	118	155	368	216
2022-02-08	$13.76	$12.50	90.3%	22.0%	62.7%	81.9%	67.4%	27.6%	-37.6%	268	23.3K	-935	1.31	118.51	N/A	N/A	118	155	368	216
2022-02-09	$14.03	$12.50	60.9%	17.5%	63.4%	42.7%	65.2%	33.7%	-22.3%	-394	37.4K	-874	1.31	115.03	N/A	N/A	118	155	368	216
2022-02-10	$13.63	$12.50	70.9%	20.3%	58.5%	56.0%	78.0%	7.5%	-40.7%	78	31.8K	-907	1.31	123.87	N/A	N/A	118	155	368	216
2022-02-11	$13.32	$12.50	59.6%	17.1%	55.0%	41.1%	63.7%	5.1%	7.1%	-395	53.6K	-853	1.14	107.91	N/A	N/A	118	135	368	216
2022-02-14	$13.67	$12.50	68.9%	19.8%	55.3%	53.4%	68.2%	15.5%	-4.3%	-243	62.1K	-846	1.24	101.49	N/A	N/A	109	135	368	226
2022-02-15	$14.12	$12.50	62.7%	18.0%	51.3%	45.2%	74.3%	-0.2%	-1.8%	-700	38.6K	-869	1.24	116.45	N/A	N/A	109	135	369	226
2022-02-16	$13.90	$12.50	67.5%	19.4%	51.4%	51.6%	75.5%	7.8%	-9.9%	-191	57.9K	-871	1.24	116.64	N/A	N/A	109	135	370	226
2022-02-17	$13.42	$12.50	72.1%	20.7%	52.6%	57.7%	77.5%	16.4%	66.7%	-202	60.3K	-877	0.77	122.74	N/A	N/A	109	84	370	226
2022-02-18	$13.26	$12.50	74.7%	21.4%	52.5%	61.0%	79.8%	18.8%	36.2%	-268	51.1K	-968	0.65	122.29	N/A	N/A	129	84	390	241
2022-02-22	$12.86	$12.50	76.0%	21.8%	49.9%	62.9%	75.1%	-1.2%	13.6%	-300	44.7K	-931	0.65	122.91	N/A	N/A	127	83	354	224
2022-02-23	$12.71	$12.50	72.3%	20.7%	48.6%	57.9%	74.6%	9.6%	-14.3%	-602	54.9K	-870	0.67	119.10	N/A	N/A	127	85	357	224
2022-02-24	$13.12	$12.50	97.4%	27.9%	49.9%	91.2%	94.6%	51.7%	-15.3%	70	21.4K	-954	0.76	113.51	N/A	N/A	127	96	360	225
2022-02-25	$13.17	$12.50	66.8%	19.2%	49.8%	50.6%	62.3%	5.3%	-2.8%	-442	40.1K	-939	0.76	119.97	N/A	N/A	127	96	360	236
2022-02-28	$13.92	$12.50	66.4%	19.0%	53.7%	50.1%	72.5%	33.3%	7.2%	-376	18.2K	-909	0.75	117.23	N/A	N/A	129	97	360	236