VERX Options History — March 2022 In March 2022, VERX traded between $12.81 and $15.28. ATM implied volatility averaged 67.1%, placing in the 50.4% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded above realized volatility by 18.8% (HV 20d: 48.3%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.25.
Notable Days 2022-03-01 : Highest Volume — 225 contracts2022-03-14 : Largest IV spike — 31.0% change2022-03-03 : Highest IV Rank — 100.0%2022-03-08 : Largest Expected Move — 30.5%Monthly Statistics Metric Avg Min Max Open Close Price $14.00 $12.81 $15.28 $13.68 $15.28 Max Pain $15.11 $12.50 $17.50 $12.50 $17.50 ATM IV 67.1% 48.8% 105.1% 75.4% 64.7% Expected Move 20.1% 14.2% 30.5% 21.6% 16.3% HV 20d 48.3% 41.0% 54.0% 49.5% 45.9% HV 60d 52.8% 50.8% 54.9% 51.4% 53.6% IV Rank 50.4% 26.3% 100.0% 62.1% 47.1% IV Percentile 70.4% 30.7% 100.0% 92.3% 74.9% Term Structure -5.1% -32.8% 39.1% -16.9% -0.7% VWIV 74.4% 43.5% 133.6% 80.7% 47.5% Skew 25d 10.5% -17.3% 56.5% 9.9% 25.3% Skew 10d 31.1% -0.6% 128.2% 21.6% 23.8% Call IV 25d 56.1% 46.1% 79.9% 69.4% 50.8% Put IV 25d 66.6% 41.5% 114.0% 79.3% 76.1% Bid-Ask Spread % 113.18 97.80 127.60 123.13 105.61 Gamma HHI 0.25 0.19 0.30 0.21 0.27 Net GEX -574 -1.3K 13 -405 -675 Net DEX 12.6K -18.3K 39.3K 21.3K -12.6K Net VEX -833 -956 -703 -944 -703 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.25 0.76 2.16 0.76 1.25 Total Volume 174.391 112 225 225 135 Total OI 506.13 349 610 599 367
Daily Data (23 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 2022-03-01 $13.68 $12.50 75.4% 21.6% 49.5% 62.1% 80.7% 9.9% -16.9% -405 21.3K -944 0.76 123.13 N/A N/A 128 97 362 237 2022-03-02 $13.73 $12.50 97.9% 28.1% 45.2% 91.9% 88.8% 6.7% -32.8% -459 24.1K -956 0.76 117.37 N/A N/A 128 97 362 237 2022-03-03 $13.08 $12.50 105.1% 30.1% 48.4% 100.0% 95.0% -17.3% -31.4% -286 31.2K -902 0.76 122.15 N/A N/A 128 97 362 237 2022-03-04 $13.20 $12.50 90.3% 25.9% 46.8% 80.7% 122.3% 20.9% -16.8% -180 32.0K -903 0.76 120.45 N/A N/A 128 97 362 237 2022-03-07 $13.35 $12.50 87.8% 25.2% 46.2% 77.4% 133.6% 28.7% -4.0% -434 33.1K -859 0.76 123.52 N/A N/A 128 97 361 237 2022-03-08 $13.53 $12.50 74.7% 30.5% 45.8% 60.3% 132.7% 21.7% -27.2% -371 19.7K -920 0.82 99.47 N/A N/A 119 97 361 237 2022-03-09 $13.83 $12.50 59.5% 23.1% 42.8% 40.3% 111.3% 15.7% -1.8% -157 3.0K -933 0.96 118.78 N/A N/A 101 97 367 237 2022-03-10 $13.72 $12.50 65.4% 23.9% 42.2% 48.0% 128.3% 7.1% -22.9% -418 22.8K -851 0.96 127.60 N/A N/A 101 97 369 237 2022-03-11 $13.75 $12.50 48.8% 18.8% 41.0% 26.3% 127.9% 9.3% 7.9% -408 17.4K -865 0.96 123.93 N/A N/A 101 97 369 237 2022-03-14 $12.81 $15.00 63.9% 15.6% 47.6% 46.1% 61.9% 10.4% -9.8% -25 39.3K -827 0.96 97.80 N/A N/A 101 97 369 237 2022-03-15 $13.21 $15.00 62.5% 16.8% 48.0% 44.3% 56.1% 14.9% 0.3% -4 35.1K -808 0.96 101.60 N/A N/A 101 97 369 237 2022-03-16 $13.19 $15.00 67.3% 16.5% 46.3% 50.6% 55.4% 56.5% -13.2% 13 37.2K -792 0.97 100.09 N/A N/A 100 97 369 237 2022-03-17 $14.24 $0.00 54.1% 20.4% 54.0% 33.3% 47.8% 8.1% 39.1% -1.1K -2.2K -830 0.90 105.78 N/A N/A 103 93 369 237 2022-03-18 $14.24 $17.50 56.7% 15.3% 52.2% 36.6% 47.3% 12.1% 6.9% -943 -2.7K -821 0.90 122.95 N/A N/A 103 93 374 236 2022-03-21 $14.16 $17.50 67.8% 14.2% 52.0% 51.2% 55.5% -13.6% -24.9% -1.3K 18.9K -777 1.90 124.55 N/A N/A 42 80 137 213 2022-03-22 $14.80 $17.50 62.6% 18.3% 52.4% 44.4% 45.1% 9.1% -4.2% -837 -5.2K -794 1.95 109.78 N/A N/A 41 80 136 213 2022-03-23 $14.59 $17.50 54.2% 18.0% 52.5% 33.4% 45.6% 4.8% 8.8% -915 -22 -795 2.16 117.16 N/A N/A 37 80 139 213 2022-03-24 $14.75 $17.50 58.0% 18.3% 51.7% 38.3% 47.9% -1.5% 4.8% -956 -6.6K -820 2.16 108.02 N/A N/A 37 80 139 213 2022-03-25 $14.58 $17.50 58.8% 19.3% 52.1% 39.4% 44.4% 0.4% 14.4% -1.1K 8.5K -723 2.11 112.23 N/A N/A 38 80 139 213 2022-03-28 $14.39 $17.50 60.9% 15.7% 48.9% 42.2% 47.4% 2.0% -6.0% -1.1K 9.3K -743 1.95 104.71 N/A N/A 38 74 141 213 2022-03-29 $14.95 $17.50 52.3% 14.9% 50.0% 31.0% 43.5% 4.3% 10.5% -604 -16.2K -816 1.48 113.38 N/A N/A 50 74 141 216 2022-03-30 $15.05 $17.50 55.3% 15.7% 50.0% 34.8% 45.0% 5.6% 1.5% -532 -18.3K -787 1.50 103.01 N/A N/A 50 75 150 216 2022-03-31 $15.28 $17.50 64.7% 16.3% 45.9% 47.1% 47.5% 25.3% -0.7% -675 -12.6K -703 1.25 105.61 N/A N/A 60 75 150 217
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