VERX Options History — October 2022

In October 2022, VERX traded between $14.04 and $17.96. ATM implied volatility averaged 65.4%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded above realized volatility by 17.6% (HV 20d: 47.9%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.28.

Notable Days

2022-10-28: Highest Volume — 515 contracts
2022-10-14: Largest IV spike — 57.9% change
2022-10-14: Highest IV Rank — 50.2%
2022-10-14: Largest Expected Move — 28.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.83	$14.04	$17.96	$14.04	$17.96
Max Pain	$16.67	$12.50	$17.50	$12.50	$15.00
ATM IV	65.4%	48.4%	100.4%	68.8%	60.2%
Expected Move	18.6%	13.7%	28.8%	19.7%	17.3%
HV 20d	47.9%	41.3%	50.7%	46.8%	47.7%
HV 60d	61.0%	59.8%	63.8%	63.8%	59.9%
IV Rank	24.5%	12.1%	50.2%	27.0%	20.7%
IV Percentile	45.4%	7.9%	94.8%	58.7%	33.7%
Term Structure	-9.4%	-47.7%	21.0%	0.9%	-8.2%
VWIV	65.5%	47.5%	95.3%	73.6%	72.6%
Skew 25d	20.6%	6.8%	48.5%	7.0%	7.4%
Skew 10d	28.3%	-19.3%	129.5%	12.3%	23.9%
Call IV 25d	62.8%	46.9%	90.4%	68.2%	58.0%
Put IV 25d	83.4%	54.9%	119.6%	75.2%	65.5%
Bid-Ask Spread %	114.48	91.84	131.80	116.50	91.84
Gamma HHI	0.41	0.29	0.49	0.41	0.29
Net GEX	5.8K	2.1K	12.0K	2.1K	9.9K
Net DEX	-232.9K	-452.0K	-102.4K	-102.4K	-429.2K
Net VEX	-725	-1.9K	-359	-457	-1.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.28	0.08	0.44	0.32	0.44
Total Volume	209.81	108	515	124	515
Total OI	373.571	271	741	271	741

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
2022-10-03	$14.04	$12.50	68.8%	19.7%	46.8%	27.0%	73.6%	7.0%	0.9%	2.1K	-102.4K	-457	0.32	116.50	N/A	N/A	94	30	208	63
2022-10-04	$15.07	$12.50	59.8%	17.1%	50.7%	20.3%	66.8%	13.1%	16.2%	3.5K	-145.8K	-448	0.32	120.10	N/A	N/A	93	30	213	63
2022-10-05	$15.38	$12.50	57.9%	16.6%	49.5%	19.0%	64.2%	8.5%	21.0%	3.9K	-169.8K	-479	0.31	118.54	N/A	N/A	96	30	223	63
2022-10-06	$15.49	$17.50	59.6%	16.9%	48.1%	20.2%	47.5%	8.0%	-29.2%	4.1K	-175.1K	-475	0.31	130.83	N/A	N/A	96	30	224	63
2022-10-07	$14.75	$17.50	61.4%	22.0%	47.8%	21.6%	82.3%	38.9%	-20.9%	3.8K	-143.2K	-437	0.31	131.80	N/A	N/A	96	30	224	63
2022-10-10	$14.78	$17.50	64.8%	13.7%	47.7%	24.0%	63.5%	22.6%	0.4%	4.0K	-146.3K	-411	0.31	124.92	N/A	N/A	96	30	224	63
2022-10-11	$14.44	$17.50	67.9%	16.7%	47.5%	26.3%	88.7%	7.0%	-16.2%	3.3K	-117.8K	-395	0.31	128.74	N/A	N/A	96	30	224	63
2022-10-12	$14.49	$17.50	64.1%	18.4%	47.4%	23.5%	67.7%	20.9%	-26.8%	3.6K	-119.2K	-416	0.31	124.90	N/A	N/A	96	30	219	63
2022-10-13	$14.94	$17.50	63.6%	18.2%	48.7%	23.2%	71.8%	16.3%	-17.6%	4.0K	-135.8K	-359	0.38	123.32	N/A	N/A	78	30	219	63
2022-10-14	$14.65	$17.50	100.4%	28.8%	41.3%	50.2%	95.3%	48.5%	-36.3%	4.1K	-145.0K	-424	0.37	124.74	N/A	N/A	82	30	224	63
2022-10-17	$15.60	$17.50	77.5%	22.2%	46.1%	33.4%	60.7%	39.7%	7.6%	5.0K	-177.9K	-434	0.24	120.87	N/A	N/A	124	30	225	63
2022-10-18	$16.14	$17.50	60.2%	17.3%	46.8%	20.7%	55.6%	17.3%	4.4%	6.5K	-235.4K	-532	0.26	114.97	N/A	N/A	114	30	276	63
2022-10-19	$15.61	$17.50	86.6%	24.8%	49.1%	40.0%	63.1%	34.9%	-47.7%	4.2K	-254.9K	-505	0.26	102.99	N/A	N/A	114	30	299	63
2022-10-20	$15.84	$17.50	83.2%	23.9%	48.5%	37.6%	56.0%	31.8%	-27.7%	7.1K	-246.1K	-529	0.18	105.20	N/A	N/A	163	30	299	63
2022-10-21	$16.58	$17.50	48.4%	13.9%	49.1%	12.1%	47.7%	6.8%	7.8%	5.3K	-311.1K	-593	0.22	109.56	N/A	N/A	139	30	369	63
2022-10-24	$17.07	$17.50	62.5%	17.9%	49.5%	22.4%	57.2%	16.1%	-7.1%	5.5K	-266.4K	-560	0.22	105.88	N/A	N/A	112	25	266	38
2022-10-25	$17.12	$17.50	61.7%	17.7%	49.0%	21.8%	58.0%	29.2%	-2.4%	6.8K	-286.9K	-699	0.08	104.50	N/A	N/A	362	30	306	38
2022-10-26	$17.12	$17.50	49.1%	14.1%	48.2%	12.5%	52.1%	22.2%	1.3%	11.6K	-393.4K	-1.6K	0.09	105.70	N/A	N/A	386	35	560	43
2022-10-27	$17.55	$17.50	59.4%	17.0%	47.7%	20.1%	63.8%	26.8%	-13.8%	11.6K	-436.3K	-1.8K	0.11	102.67	N/A	N/A	358	41	562	53
2022-10-28	$17.91	$17.50	57.3%	16.4%	47.7%	18.5%	68.2%	8.7%	-4.0%	12.0K	-452.0K	-1.8K	0.44	95.49	N/A	N/A	358	157	564	59
2022-10-31	$17.96	$15.00	60.2%	17.3%	47.7%	20.7%	72.6%	7.4%	-8.2%	9.9K	-429.2K	-1.9K	0.44	91.84	N/A	N/A	358	157	564	177