VERX Options History — September 2022

In September 2022, VERX traded between $12.66 and $15.12. ATM implied volatility averaged 69.5%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded above realized volatility by 14.2% (HV 20d: 55.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.74.

Notable Days

2022-09-16: Highest Volume — 188 contracts
2022-09-12: Largest IV spike — 79.7% change
2022-09-12: Highest IV Rank — 55.2%
2022-09-21: Largest Expected Move — 24.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.80	$12.66	$15.12	$12.66	$13.70
Max Pain	$12.26	$10.00	$12.50	$12.50	$12.50
ATM IV	69.5%	47.4%	107.3%	52.1%	81.2%
Expected Move	18.0%	13.6%	24.9%	14.9%	23.3%
HV 20d	55.3%	43.0%	81.3%	81.3%	46.2%
HV 60d	67.4%	63.7%	71.9%	71.9%	63.7%
IV Rank	27.7%	11.3%	55.2%	16.8%	36.1%
IV Percentile	54.9%	10.3%	97.6%	19.4%	81.3%
Term Structure	-1.4%	-40.4%	58.9%	12.5%	-20.5%
VWIV	62.9%	33.4%	78.6%	61.7%	74.1%
Skew 25d	14.4%	-14.6%	46.5%	-14.6%	18.1%
Skew 10d	14.3%	-20.6%	58.5%	-18.0%	15.9%
Call IV 25d	55.4%	34.6%	82.2%	67.2%	59.1%
Put IV 25d	69.8%	45.0%	98.0%	52.6%	77.1%
Bid-Ask Spread %	113.81	107.01	120.55	110.62	113.58
Gamma HHI	0.39	0.31	0.46	0.43	0.44
Net GEX	2.0K	-706	3.4K	-706	2.2K
Net DEX	-119.7K	-189.8K	-73.3K	-77.8K	-100.1K
Net VEX	-477	-534	-415	-476	-459
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.00	5.00	0.00	0.32
Total Volume	63.143	0	188	30	123
Total OI	295.429	249	330	294	271

Daily Data (21 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
2022-09-01	$12.66	$12.50	52.1%	14.9%	81.3%	16.8%	0.0%	-14.6%	12.5%	-706	-77.8K	-476	0.00	110.62	N/A	N/A	30	0	216	78
2022-09-02	$12.72	$12.50	54.9%	15.7%	81.0%	18.8%	0.0%	-13.8%	2.2%	-116	-83.2K	-495	0.00	107.01	N/A	N/A	0	0	246	78
2022-09-06	$13.28	$12.50	79.0%	23.6%	78.8%	34.4%	61.7%	36.3%	-5.2%	600	-116.4K	-529	0.29	116.93	N/A	N/A	108	31	246	78
2022-09-07	$13.80	$12.50	93.2%	16.3%	73.3%	44.9%	58.0%	7.4%	-6.6%	1.4K	-132.0K	-506	0.29	110.27	N/A	N/A	108	31	246	78
2022-09-08	$14.33	$12.50	64.0%	15.8%	43.0%	23.4%	0.0%	5.1%	0.6%	2.1K	-152.9K	-505	0.00	111.45	N/A	N/A	0	0	246	78
2022-09-09	$15.12	$12.50	59.7%	14.4%	46.0%	20.3%	33.4%	10.5%	4.3%	3.2K	-189.8K	-534	0.00	113.63	N/A	N/A	31	0	246	78
2022-09-12	$14.96	$12.50	107.3%	14.5%	45.3%	55.2%	0.0%	-7.3%	7.5%	3.4K	-183.9K	-479	0.00	118.77	N/A	N/A	0	2	245	79
2022-09-13	$14.58	$12.50	84.3%	14.9%	46.5%	38.4%	46.6%	0.1%	7.9%	3.3K	-171.0K	-458	0.25	116.13	N/A	N/A	129	32	245	80
2022-09-14	$14.73	$12.50	50.7%	14.5%	46.6%	13.7%	73.9%	39.9%	-13.3%	2.8K	-161.3K	-477	0.00	110.85	N/A	N/A	5	0	245	80
2022-09-15	$14.73	$10.00	47.4%	13.6%	46.5%	11.3%	0.0%	46.5%	58.9%	2.5K	-171.7K	-508	0.00	120.44	N/A	N/A	0	0	250	80
2022-09-16	$13.71	$10.00	80.5%	23.1%	53.3%	35.6%	75.3%	40.3%	-12.7%	2.6K	-140.3K	-457	0.38	112.19	N/A	N/A	136	52	250	80
2022-09-19	$13.59	$12.50	65.5%	18.8%	53.4%	24.6%	60.2%	8.9%	-14.1%	2.1K	-95.3K	-469	2.50	110.41	N/A	N/A	4	10	201	48
2022-09-20	$13.52	$12.50	66.2%	19.0%	52.4%	25.1%	0.0%	28.1%	8.3%	2.2K	-98.5K	-465	0.00	109.40	N/A	N/A	0	0	205	58
2022-09-21	$13.69	$12.50	86.8%	24.9%	52.0%	40.2%	0.0%	22.3%	-40.4%	2.1K	-93.8K	-485	0.00	110.42	N/A	N/A	0	0	205	58
2022-09-22	$13.49	$12.50	52.4%	15.0%	52.0%	14.9%	62.5%	9.3%	13.6%	2.2K	-98.6K	-466	5.00	118.53	N/A	N/A	1	5	205	58
2022-09-23	$13.23	$12.50	55.6%	15.9%	52.2%	17.3%	0.0%	-0.5%	-2.4%	1.7K	-73.3K	-415	0.00	115.71	N/A	N/A	0	0	206	63
2022-09-26	$13.38	$12.50	65.5%	18.8%	52.0%	24.6%	60.8%	21.2%	-8.2%	2.1K	-96.2K	-470	0.33	112.65	N/A	N/A	91	30	206	63
2022-09-27	$13.25	$12.50	84.8%	24.3%	52.0%	38.8%	78.6%	19.3%	-17.4%	1.6K	-76.9K	-446	0.33	115.58	N/A	N/A	92	30	206	63
2022-09-28	$13.78	$12.50	53.5%	15.3%	54.0%	15.8%	60.8%	1.6%	10.2%	2.2K	-98.9K	-455	0.33	114.89	N/A	N/A	92	30	207	63
2022-09-29	$13.64	$12.50	74.9%	21.5%	54.1%	31.5%	71.3%	24.5%	-14.2%	2.1K	-101.7K	-467	0.32	120.55	N/A	N/A	93	30	207	63
2022-09-30	$13.70	$12.50	81.2%	23.3%	46.2%	36.1%	74.1%	18.1%	-20.5%	2.2K	-100.1K	-459	0.32	113.58	N/A	N/A	93	30	208	63