VERX Options History — April 2022

In April 2022, VERX traded between $13.85 and $16.29. ATM implied volatility averaged 69.4%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 29.8% (HV 20d: 39.6%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.78.

Notable Days

2022-04-11: Highest Volume — 661 contracts
2022-04-11: Largest IV spike — 60.6% change
2022-04-11: Highest IV Rank — 100.0%
2022-04-27: Largest Expected Move — 22.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.25	$13.85	$16.29	$15.89	$14.18
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	69.4%	49.5%	126.3%	65.9%	56.1%
Expected Move	17.0%	13.7%	22.2%	16.1%	16.1%
HV 20d	39.6%	32.5%	50.5%	47.3%	33.1%
HV 60d	47.6%	43.0%	52.4%	52.0%	43.0%
IV Rank	45.2%	25.4%	100.0%	48.7%	28.1%
IV Percentile	69.4%	31.6%	100.0%	76.5%	50.2%
Term Structure	-15.9%	-49.7%	-2.6%	-20.2%	-9.9%
VWIV	48.6%	39.0%	63.0%	49.3%	53.4%
Skew 25d	3.3%	-20.3%	19.6%	19.4%	12.7%
Skew 10d	14.9%	-8.0%	75.1%	14.6%	21.0%
Call IV 25d	51.0%	40.6%	70.1%	42.9%	47.0%
Put IV 25d	54.3%	47.4%	62.4%	62.4%	59.7%
Bid-Ask Spread %	114.54	93.12	137.53	109.73	120.98
Gamma HHI	0.30	0.26	0.69	0.27	0.27
Net GEX	909	-892	14.7K	636	-457
Net DEX	-36.6K	-129.1K	15.6K	-59.4K	7.8K
Net VEX	-754	-872	-665	-807	-692
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.14	1.12	1.07	0.88
Total Volume	236.25	0	661	145	135
Total OI	446.55	377	793	377	392

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
2022-04-01	$15.89	$17.50	65.9%	16.1%	47.3%	48.7%	49.3%	19.4%	-20.2%	636	-59.4K	-807	1.07	109.73	N/A	N/A	70	75	160	217
2022-04-04	$16.29	$17.50	60.6%	13.7%	47.6%	41.8%	49.9%	3.8%	-8.0%	843	-74.5K	-820	1.07	106.74	N/A	N/A	70	75	162	217
2022-04-05	$16.13	$17.50	49.5%	16.9%	48.1%	27.3%	46.0%	19.6%	-2.6%	380	-53.7K	-756	1.09	111.95	N/A	N/A	69	75	161	217
2022-04-06	$15.72	$17.50	78.6%	18.1%	49.3%	65.4%	51.6%	6.9%	-12.5%	277	-52.2K	-836	1.09	112.87	N/A	N/A	69	75	162	217
2022-04-07	$16.10	$17.50	69.6%	13.9%	49.4%	53.6%	50.0%	1.2%	-18.4%	484	-54.4K	-772	1.12	110.92	N/A	N/A	67	75	162	217
2022-04-08	$15.75	$17.50	75.4%	17.3%	50.5%	61.2%	46.3%	8.7%	-10.2%	317	-54.3K	-786	1.12	112.34	N/A	N/A	67	75	163	217
2022-04-11	$15.61	$17.50	121.1%	15.9%	41.9%	100.0%	52.5%	2.0%	-8.9%	278	-48.1K	-763	0.14	108.91	N/A	N/A	581	80	163	217
2022-04-12	$15.77	$17.50	126.3%	15.0%	41.2%	100.0%	43.9%	3.6%	-3.1%	14.7K	-129.1K	-872	0.14	111.80	N/A	N/A	580	80	565	223
2022-04-13	$16.09	$17.50	54.8%	15.7%	41.2%	26.7%	39.0%	6.4%	-8.8%	1.0K	-67.0K	-800	0.14	110.69	N/A	N/A	576	80	569	223
2022-04-14	$15.73	$17.50	54.5%	15.6%	34.4%	26.4%	41.7%	9.7%	-15.6%	883	-60.3K	-756	0.14	111.10	N/A	N/A	577	80	570	223
2022-04-18	$15.46	$17.50	54.6%	15.6%	35.3%	26.5%	44.5%	4.3%	-27.9%	602	-39.1K	-753	0.88	119.25	N/A	N/A	72	63	175	205
2022-04-19	$15.32	$17.50	60.1%	17.2%	35.4%	32.2%	42.6%	-3.9%	-9.2%	547	-37.4K	-765	0.88	93.12	N/A	N/A	72	63	185	205
2022-04-20	$15.11	$17.50	53.4%	15.3%	32.5%	25.4%	45.8%	7.1%	-6.9%	241	-26.8K	-726	0.86	111.02	N/A	N/A	73	63	187	205
2022-04-21	$14.61	$17.50	62.2%	17.8%	34.4%	34.3%	41.5%	12.4%	-28.6%	-207	-9.2K	-709	0.86	115.88	N/A	N/A	73	63	187	205
2022-04-22	$14.56	$17.50	54.7%	15.7%	34.2%	26.6%	45.5%	6.2%	-13.8%	-446	-139	-711	0.86	119.28	N/A	N/A	73	63	187	205
2022-04-25	$14.60	$17.50	63.9%	18.3%	34.0%	36.0%	63.0%	-20.3%	-13.3%	-220	-2.3K	-689	0.86	119.94	N/A	N/A	73	63	187	205
2022-04-26	$14.20	$17.50	77.4%	22.2%	35.1%	49.9%	59.5%	-7.6%	-27.2%	-154	-1.4K	-713	0.82	122.09	N/A	N/A	77	63	187	205
2022-04-27	$13.85	$17.50	77.6%	22.2%	32.9%	50.1%	0.0%	-16.4%	-49.7%	-610	15.6K	-665	0.00	137.53	N/A	N/A	0	0	187	205
2022-04-28	$14.11	$17.50	71.4%	20.5%	33.7%	43.7%	57.3%	-10.1%	-23.8%	-892	13.6K	-685	0.82	124.72	N/A	N/A	77	63	187	205
2022-04-29	$14.18	$17.50	56.1%	16.1%	33.1%	28.1%	53.4%	12.7%	-9.9%	-457	7.8K	-692	0.88	120.98	N/A	N/A	72	63	187	205