VERX Options History — August 2022

In August 2022, VERX traded between $11.24 and $14.13. ATM implied volatility averaged 71.2%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded below realized volatility by 3.3% (HV 20d: 74.5%). Max pain ranged from $5.00 to $12.50. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.25.

Notable Days

2022-08-05: Highest Volume — 153 contracts
2022-08-19: Largest IV spike — 67.2% change
2022-08-03: Highest IV Rank — 57.0%
2022-08-03: Largest Expected Move — 31.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.16	$11.24	$14.13	$11.24	$13.65
Max Pain	$11.52	$5.00	$12.50	$5.00	$12.50
ATM IV	71.2%	49.6%	108.3%	96.2%	62.4%
Expected Move	18.8%	14.2%	31.0%	27.6%	17.9%
HV 20d	74.5%	61.0%	88.7%	65.2%	76.0%
HV 60d	74.5%	70.2%	78.9%	78.5%	70.2%
IV Rank	30.5%	15.0%	57.0%	48.4%	24.2%
IV Percentile	59.5%	18.7%	98.0%	94.0%	46.0%
Term Structure	-6.1%	-62.0%	13.0%	-62.0%	6.5%
VWIV	68.8%	41.0%	101.3%	91.2%	62.1%
Skew 25d	11.6%	-17.2%	99.4%	23.9%	21.6%
Skew 10d	22.4%	-20.0%	139.0%	127.0%	-6.3%
Call IV 25d	57.2%	36.7%	87.7%	61.3%	45.1%
Put IV 25d	68.9%	49.8%	155.7%	85.2%	66.7%
Bid-Ask Spread %	108.85	97.90	134.63	134.63	106.82
Gamma HHI	0.34	0.27	0.52	0.52	0.28
Net GEX	255	-871	803	-255	488
Net DEX	-72.3K	-121.8K	2.1K	2.1K	-121.8K
Net VEX	-388	-524	-228	-228	-500
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.00	0.89	0.89	0.40
Total Volume	42.043	0	153	100	109
Total OI	236.957	157	293	157	293

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
2022-08-01	$11.24	$5.00	96.2%	27.6%	65.2%	48.4%	91.2%	23.9%	-62.0%	-255	2.1K	-228	0.89	134.63	N/A	N/A	53	47	98	59
2022-08-02	$11.34	$5.00	96.4%	27.6%	61.0%	48.5%	98.1%	-1.6%	-36.9%	-248	-2.3K	-236	0.89	128.69	N/A	N/A	53	47	98	59
2022-08-03	$11.82	$5.00	108.3%	31.0%	62.5%	57.0%	80.1%	99.4%	-11.1%	-258	-7.3K	-240	0.89	128.19	N/A	N/A	53	47	98	59
2022-08-04	$12.01	$12.50	82.0%	16.9%	62.0%	38.2%	58.4%	7.3%	0.7%	-228	-9.3K	-246	0.55	109.15	N/A	N/A	86	47	98	59
2022-08-05	$11.82	$12.50	73.7%	15.2%	62.1%	32.2%	57.5%	25.6%	-1.9%	-13	-12.6K	-281	0.44	100.93	N/A	N/A	106	47	131	59
2022-08-08	$12.66	$12.50	98.8%	16.0%	61.3%	50.2%	58.7%	15.0%	-5.0%	250	-46.7K	-317	0.44	110.43	N/A	N/A	106	47	152	60
2022-08-09	$11.68	$12.50	90.4%	14.6%	67.3%	44.2%	101.3%	-1.1%	9.7%	206	-25.2K	-293	0.00	105.35	N/A	N/A	15	0	152	60
2022-08-10	$13.86	$12.50	67.8%	19.5%	88.7%	28.1%	41.0%	26.0%	2.2%	803	-83.6K	-344	0.05	100.70	N/A	N/A	20	1	163	60
2022-08-11	$13.59	$12.50	57.0%	16.4%	82.7%	20.3%	0.0%	3.0%	-6.7%	435	-76.2K	-341	0.00	102.92	N/A	N/A	6	0	163	61
2022-08-12	$14.01	$12.50	57.6%	16.5%	82.8%	20.7%	0.0%	8.3%	7.1%	618	-93.5K	-401	0.00	98.03	N/A	N/A	5	0	169	61
2022-08-15	$14.07	$12.50	59.4%	17.0%	82.7%	22.0%	0.0%	12.2%	13.0%	712	-91.2K	-391	0.00	106.46	N/A	N/A	7	0	169	61
2022-08-16	$14.13	$12.50	53.2%	15.2%	82.8%	17.5%	68.2%	16.8%	-2.0%	778	-105.8K	-441	0.00	97.90	N/A	N/A	0	5	176	61
2022-08-17	$14.05	$12.50	62.4%	17.9%	80.0%	24.1%	55.4%	1.7%	9.8%	-308	-93.3K	-378	0.00	110.50	N/A	N/A	0	15	176	65
2022-08-18	$13.92	$12.50	49.6%	14.2%	80.2%	15.0%	54.3%	7.1%	-0.6%	373	-84.3K	-413	0.00	98.88	N/A	N/A	14	0	176	80
2022-08-19	$13.87	$12.50	83.0%	23.8%	77.3%	38.9%	0.0%	-17.2%	-34.2%	339	-102.2K	-451	0.00	107.85	N/A	N/A	1	0	191	80
2022-08-22	$13.47	$12.50	58.2%	16.7%	78.6%	21.2%	0.0%	-11.9%	-2.5%	-871	-79.4K	-414	0.00	114.16	N/A	N/A	6	0	190	78
2022-08-23	$13.20	$12.50	61.5%	17.6%	77.6%	23.5%	0.0%	-5.5%	9.6%	185	-79.9K	-491	0.00	102.42	N/A	N/A	18	0	196	78
2022-08-24	$13.42	$12.50	61.3%	17.6%	77.0%	23.4%	0.0%	-1.4%	-10.4%	401	-101.9K	-524	0.00	101.46	N/A	N/A	5	0	214	78
2022-08-25	$13.59	$12.50	65.5%	18.8%	77.0%	26.4%	0.0%	9.4%	-0.3%	682	-103.1K	-497	0.00	101.04	N/A	N/A	0	0	214	78
2022-08-26	$13.84	$12.50	54.6%	15.6%	76.5%	18.5%	0.0%	15.7%	11.4%	735	-115.4K	-517	0.00	107.12	N/A	N/A	0	0	214	78
2022-08-29	$13.81	$12.50	64.3%	18.4%	76.6%	25.5%	0.0%	5.0%	-3.6%	410	-113.6K	-508	0.00	108.26	N/A	N/A	1	0	214	78
2022-08-30	$13.73	$12.50	74.2%	21.3%	76.8%	32.6%	0.0%	8.4%	-33.8%	631	-116.9K	-463	0.00	121.55	N/A	N/A	0	0	215	78
2022-08-31	$13.65	$12.50	62.4%	17.9%	76.0%	24.2%	62.1%	21.6%	6.5%	488	-121.8K	-500	0.40	106.82	N/A	N/A	78	31	215	78