VERX Options History — May 2022

In May 2022, VERX traded between $10.20 and $14.42. ATM implied volatility averaged 74.8%, placing in the 47.2% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded above realized volatility by 6.5% (HV 20d: 68.4%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2022-05-02: Highest Volume — 135 contracts
  • 2022-05-18: Largest IV spike — 50.5% change
  • 2022-05-06: Highest IV Rank — 83.7%
  • 2022-05-11: Largest Expected Move — 26.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.96$10.20$14.42$14.42$11.03
Max Pain$15.36$15.00$17.50$17.50$15.00
ATM IV74.8%52.7%110.4%64.7%64.7%
Expected Move19.7%15.1%26.8%18.6%18.6%
HV 20d68.4%29.7%96.8%30.1%96.7%
HV 60d55.3%42.5%65.3%42.5%65.2%
IV Rank47.2%24.6%83.7%36.9%36.9%
IV Percentile77.6%38.3%99.1%73.7%70.1%
Term Structure-7.5%-35.4%20.8%-18.9%-5.4%
VWIV64.1%53.4%92.1%53.4%69.5%
Skew 25d9.8%-15.3%34.0%14.1%-2.2%
Skew 10d31.3%-15.6%152.8%35.7%6.2%
Call IV 25d61.5%49.8%84.3%57.4%63.0%
Put IV 25d71.3%55.0%97.8%71.4%60.7%
Bid-Ask Spread %106.7988.38123.59121.9297.04
Gamma HHI0.430.280.650.290.65
Net GEX-1.5K-2.3K-221-836-1.7K
Net DEX66.7K-3.2K100.8K9.7K100.8K
Net VEX-466-669-320-614-320
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.881.080.881.08
Total Volume129.667118135135123
Total OI384.619357399399362

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-05-02$14.42$17.5064.7%18.6%30.1%36.9%53.4%14.1%-18.9%-8369.7K-6140.88121.92N/AN/A7263194205
2022-05-03$13.93$17.5087.5%25.1%29.7%60.3%92.1%-14.9%-28.0%-84115.4K-6500.88117.42N/AN/A7263194205
2022-05-04$14.39$17.5089.8%25.7%33.0%62.6%69.9%22.7%-27.7%-221-3.2K-6690.90123.59N/AN/A7063194205
2022-05-05$13.29$15.0074.1%16.6%41.7%46.5%59.1%-5.2%3.5%-1.1K30.6K-6080.90103.49N/AN/A7063194205
2022-05-06$13.01$15.00110.4%17.8%40.1%83.7%63.7%2.1%1.5%-1.1K38.1K-6071.03105.60N/AN/A6365194205
2022-05-09$12.47$15.00101.6%19.4%41.5%74.6%67.7%-4.7%2.4%-1.3K49.0K-5521.03111.69N/AN/A6365184205
2022-05-10$11.62$15.0086.8%16.8%46.4%59.5%59.1%7.1%-13.8%-1.5K65.3K-4811.03117.25N/AN/A6365184205
2022-05-11$10.20$15.0093.5%26.8%60.9%66.4%76.3%24.3%-35.4%-1.3K91.6K-4110.96105.74N/AN/A6865184205
2022-05-12$10.88$15.0075.3%21.6%66.7%47.8%61.2%18.7%-13.7%-1.4K86.5K-4170.96102.04N/AN/A6865189205
2022-05-13$11.84$15.0062.1%17.8%76.3%34.2%59.4%15.4%2.0%-1.6K70.1K-4640.94100.64N/AN/A6965189205
2022-05-16$11.19$15.0074.5%21.3%77.7%46.9%66.5%8.5%-6.4%-1.5K71.8K-4650.94108.35N/AN/A6965187205
2022-05-17$11.56$15.0052.7%15.1%79.6%24.6%58.2%34.0%-7.8%-1.8K84.8K-3990.94109.48N/AN/A6965187205
2022-05-18$11.12$15.0079.3%22.7%80.1%51.8%57.6%8.7%-26.9%-1.5K91.0K-3850.94112.20N/AN/A6965187205
2022-05-19$11.53$15.0065.5%18.8%81.8%37.7%64.1%25.9%2.8%-1.7K71.2K-4320.94108.48N/AN/A6965187205
2022-05-20$12.15$15.0061.2%17.6%84.9%33.3%57.3%26.9%6.5%-2.1K77.1K-4300.94106.62N/AN/A6965187205
2022-05-23$11.97$15.0059.7%17.1%84.8%31.8%57.8%15.3%20.8%-2.3K80.5K-3931.0088.38N/AN/A5959160197
2022-05-24$10.60$15.0075.3%21.6%93.5%47.8%72.4%-15.3%-23.1%-1.3K89.8K-3691.08105.78N/AN/A5964160202
2022-05-25$11.23$15.0082.2%23.6%96.8%54.8%64.5%14.7%-12.9%-1.7K89.3K-3781.08107.46N/AN/A5964160202
2022-05-26$11.30$15.0056.4%16.2%96.4%28.4%59.4%-1.3%20.2%-2.0K100.4K-3581.0899.45N/AN/A5964160202
2022-05-27$11.48$15.0053.8%15.4%96.8%25.7%56.1%11.4%4.0%-2.0K90.4K-3791.0889.91N/AN/A5964160202
2022-05-31$11.03$15.0064.7%18.6%96.7%36.9%69.5%-2.2%-5.4%-1.7K100.8K-3201.0897.04N/AN/A5964160202