VERX Options History — July 2022

In July 2022, VERX traded between $9.74 and $11.99. ATM implied volatility averaged 85.3%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded above realized volatility by 14.2% (HV 20d: 71.0%). Max pain ranged from $5.00 to $12.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.94.

Notable Days

2022-07-27: Highest Volume — 100 contracts
2022-07-11: Largest IV spike — 60.7% change
2022-07-11: Highest IV Rank — 100.0%
2022-07-01: Largest Expected Move — 27.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.90	$9.74	$11.99	$11.00	$11.25
Max Pain	$6.58	$5.00	$12.50	$12.50	$5.00
ATM IV	85.3%	61.4%	168.2%	97.2%	80.3%
Expected Move	21.4%	17.6%	27.9%	27.9%	23.0%
HV 20d	71.0%	63.3%	77.9%	72.3%	65.2%
HV 60d	75.7%	71.5%	78.8%	71.5%	78.8%
IV Rank	45.3%	23.4%	100.0%	70.2%	37.0%
IV Percentile	79.2%	49.2%	100.0%	95.6%	86.1%
Term Structure	-2.7%	-35.8%	29.1%	-35.8%	-2.2%
VWIV	70.5%	50.8%	95.2%	81.3%	71.6%
Skew 25d	9.7%	-28.8%	22.5%	9.6%	12.0%
Skew 10d	26.5%	-1.6%	145.5%	145.5%	-1.6%
Call IV 25d	71.8%	54.1%	97.1%	80.8%	80.2%
Put IV 25d	81.5%	63.2%	98.1%	90.5%	92.1%
Bid-Ask Spread %	115.09	89.39	130.49	130.34	127.42
Gamma HHI	0.37	0.28	0.46	0.29	0.46
Net GEX	-124	-230	-73	-98	-230
Net DEX	2.4K	-8.1K	11.4K	2.3K	1.8K
Net VEX	-237	-289	-207	-252	-247
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.89	0.98	0.98	0.89
Total Volume	97.35	95	100	95	100
Total OI	148.55	142	157	144	157

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
2022-07-01	$11.00	$0.00	97.2%	27.9%	72.3%	70.2%	0.0%	9.6%	-35.8%	-98	2.3K	-252	0.98	130.34	N/A	N/A	48	47	89	55
2022-07-05	$11.72	$12.50	74.7%	23.1%	75.2%	47.2%	81.3%	-28.8%	-23.9%	-97	-8.1K	-277	0.98	106.23	N/A	N/A	48	47	89	55
2022-07-06	$11.50	$12.50	86.5%	22.8%	74.6%	59.2%	63.6%	14.7%	-3.8%	-132	-1.2K	-269	0.98	102.72	N/A	N/A	48	47	89	55
2022-07-07	$11.80	$12.50	69.9%	21.2%	74.6%	42.2%	71.2%	22.5%	-27.9%	-154	-7.5K	-289	0.96	102.38	N/A	N/A	49	47	89	55
2022-07-08	$11.99	$12.50	98.5%	18.3%	74.8%	71.5%	62.7%	2.0%	-7.5%	-199	-1.9K	-239	0.98	89.39	N/A	N/A	49	48	87	55
2022-07-11	$11.20	$5.00	158.3%	21.7%	76.9%	100.0%	69.0%	16.5%	-5.3%	-133	892	-260	0.96	115.65	N/A	N/A	49	47	87	56
2022-07-12	$10.82	$5.00	168.2%	20.1%	77.9%	100.0%	62.9%	22.0%	16.7%	-151	1.4K	-234	0.96	123.75	N/A	N/A	49	47	87	56
2022-07-13	$10.54	$5.00	85.3%	24.4%	68.9%	40.5%	95.2%	17.6%	-8.7%	-147	6.5K	-227	0.96	130.49	N/A	N/A	49	47	87	56
2022-07-14	$9.74	$5.00	68.6%	19.7%	74.4%	28.6%	74.1%	2.7%	21.7%	-81	9.5K	-210	0.94	112.98	N/A	N/A	50	47	87	56
2022-07-15	$10.03	$5.00	61.6%	17.6%	74.2%	23.6%	62.7%	17.4%	0.3%	-97	11.4K	-207	0.92	113.69	N/A	N/A	51	47	93	56
2022-07-18	$10.33	$5.00	84.1%	24.1%	71.6%	39.7%	72.4%	13.0%	11.8%	-73	7.0K	-221	0.92	118.36	N/A	N/A	51	47	94	56
2022-07-19	$10.42	$5.00	71.9%	20.6%	70.3%	31.0%	67.6%	15.4%	6.5%	-97	5.8K	-215	0.92	117.05	N/A	N/A	51	47	95	56
2022-07-20	$11.23	$5.00	64.1%	18.4%	72.5%	25.4%	50.8%	17.4%	17.4%	-126	-4.3K	-240	0.92	113.71	N/A	N/A	51	47	95	56
2022-07-21	$11.21	$5.00	63.5%	18.2%	70.6%	25.0%	60.9%	3.4%	29.1%	-115	-2.4K	-236	0.92	107.13	N/A	N/A	51	47	95	56
2022-07-22	$10.68	$5.00	70.2%	20.1%	67.0%	29.8%	69.9%	8.4%	-0.5%	-133	6.4K	-232	0.92	104.77	N/A	N/A	51	47	95	59
2022-07-25	$10.64	$5.00	82.1%	23.5%	63.3%	38.2%	81.8%	5.5%	-16.8%	-87	4.8K	-232	0.92	123.23	N/A	N/A	51	47	95	59
2022-07-26	$10.28	$5.00	81.9%	23.5%	64.2%	38.1%	82.8%	-0.5%	11.2%	-81	5.4K	-224	0.92	119.17	N/A	N/A	51	47	95	59
2022-07-27	$10.69	$5.00	77.3%	22.2%	66.1%	34.8%	73.6%	5.7%	-17.5%	-154	7.9K	-215	0.89	123.86	N/A	N/A	53	47	95	59
2022-07-28	$10.86	$5.00	61.4%	17.6%	66.3%	23.4%	65.5%	16.9%	-19.0%	-96	2.9K	-214	0.89	119.47	N/A	N/A	53	47	97	59
2022-07-29	$11.25	$5.00	80.3%	23.0%	65.2%	37.0%	71.6%	12.0%	-2.2%	-230	1.8K	-247	0.89	127.42	N/A	N/A	53	47	98	59