VERX Options History — June 2022

In June 2022, VERX traded between $9.65 and $11.69. ATM implied volatility averaged 74.1%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded below realized volatility by 7.1% (HV 20d: 81.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2022-06-17: Highest Volume — 146 contracts
  • 2022-06-06: Largest IV spike — 82.4% change
  • 2022-06-15: Highest IV Rank — 80.4%
  • 2022-06-15: Largest Expected Move — 30.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.86$9.65$11.69$11.33$11.00
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV74.1%42.5%107.2%64.8%103.4%
Expected Move21.6%14.8%30.7%18.6%29.6%
HV 20d81.2%71.6%97.4%97.4%73.4%
HV 60d67.8%64.8%71.8%65.4%71.5%
IV Rank46.5%14.1%80.4%36.9%76.6%
IV Percentile75.0%10.5%98.8%70.6%97.6%
Term Structure-2.2%-41.8%43.2%-5.2%-41.8%
VWIV66.5%66.5%66.5%66.5%66.5%
Skew 25d16.8%-16.6%86.4%2.6%-1.8%
Skew 10d43.4%-47.5%208.6%11.5%8.8%
Call IV 25d67.8%43.9%96.2%63.8%86.8%
Put IV 25d84.6%58.3%165.2%66.4%85.0%
Bid-Ask Spread %122.71100.10139.42100.10126.63
Gamma HHI0.430.260.730.660.26
Net GEX-806-2.0K-60-2.0K-60
Net DEX64.3K-5.3K115.0K93.8K-384
Net VEX-280-389-228-354-271
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.981.091.050.98
Total Volume119.5719214612595
Total OI286.762141384362144

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$11.33$15.0064.8%18.6%97.4%36.9%66.5%2.6%-5.2%-2.0K93.8K-3541.05100.10N/AN/A6164160202
2022-06-02$11.69$0.0044.8%14.8%97.3%16.5%0.0%10.7%-8.7%-2.0K87.1K-3891.05101.02N/AN/A6164163202
2022-06-03$11.33$0.0042.5%20.1%94.2%14.1%0.0%0.2%-4.9%-1.8K97.8K-3351.05124.48N/AN/A6164163202
2022-06-06$10.99$0.0077.5%18.0%94.5%50.0%0.0%34.9%25.5%-1.4K101.7K-3091.05139.42N/AN/A6164163202
2022-06-07$11.29$0.0063.2%19.4%94.4%35.3%0.0%3.9%1.9%-1.7K91.1K-3331.01126.15N/AN/A6970163202
2022-06-08$11.34$0.0076.3%21.9%91.2%48.8%0.0%20.3%-15.4%-1.6K101.6K-3051.01130.70N/AN/A6970174208
2022-06-09$10.81$0.0068.7%19.7%79.6%41.0%0.0%-16.6%-5.9%-1.3K86.9K-3261.01126.51N/AN/A6970174208
2022-06-10$10.69$0.0078.9%22.6%76.3%51.4%0.0%-5.5%-22.0%-344111.6K-2611.01118.99N/AN/A6970174208
2022-06-13$9.66$0.0064.2%18.4%77.2%36.4%0.0%12.1%-3.1%-807110.1K-2391.01123.24N/AN/A6970174208
2022-06-14$9.90$0.0059.1%16.9%76.1%31.1%0.0%27.2%26.0%-474114.8K-2341.01117.86N/AN/A6970174208
2022-06-15$10.24$0.00107.2%30.7%76.2%80.4%0.0%86.4%-31.9%-1.2K111.1K-2371.01139.34N/AN/A6970174208
2022-06-16$9.65$0.0092.8%26.6%77.7%65.6%0.0%13.4%43.2%-399113.0K-2321.00115.71N/AN/A7070174208
2022-06-17$10.04$0.0069.6%20.0%78.0%41.9%0.0%18.4%-0.7%-817115.0K-2361.09112.37N/AN/A7076176208
2022-06-21$10.62$0.0074.1%21.2%78.4%46.5%0.0%17.6%17.7%-1337.3K-2591.04132.93N/AN/A45478655
2022-06-22$10.18$0.0077.8%22.3%79.4%50.3%0.0%-16.0%-8.6%-12710.6K-2281.02117.32N/AN/A46478655
2022-06-23$11.03$0.0071.1%20.4%73.2%43.4%0.0%20.3%-8.2%-1125.1K-2621.02124.99N/AN/A46478755
2022-06-24$11.68$0.0067.4%19.3%73.1%39.7%0.0%33.8%43.1%-206-642-2821.00131.89N/AN/A47478755
2022-06-27$11.58$0.00102.2%29.3%73.2%75.3%0.0%12.2%-30.2%-80-5.3K-2830.98129.78N/AN/A48478955
2022-06-28$11.46$0.0078.3%22.5%73.1%50.9%0.0%52.1%-13.2%-117-2.8K-2580.98121.91N/AN/A48478955
2022-06-29$11.57$0.0072.2%20.7%71.6%44.5%0.0%26.7%-4.2%-181660-2570.98115.61N/AN/A48478955
2022-06-30$11.00$0.00103.4%29.6%73.4%76.6%0.0%-1.8%-41.8%-60-384-2710.98126.63N/AN/A48478955