VERX Options History — November 2022

In November 2022, VERX traded between $15.02 and $18.65. ATM implied volatility averaged 53.7%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 13.3% (HV 20d: 66.9%). Max pain ranged from $10.00 to $17.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2022-11-02: Highest Volume — 784 contracts
  • 2022-11-28: Largest IV spike — 33.4% change
  • 2022-11-08: Highest IV Rank — 26.5%
  • 2022-11-28: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.68$15.02$18.65$17.56$17.05
Max Pain$13.57$10.00$17.50$15.00$15.00
ATM IV53.7%40.3%68.1%58.6%52.4%
Expected Move14.9%11.6%17.1%16.8%15.0%
HV 20d66.9%43.8%86.6%43.8%86.6%
HV 60d56.4%45.1%63.0%58.8%62.5%
IV Rank14.7%3.1%26.5%19.5%12.2%
IV Percentile18.9%0.8%57.9%27.8%11.9%
Term Structure-2.8%-13.4%10.4%-7.6%-0.5%
VWIV58.4%45.8%90.6%67.9%56.0%
Skew 25d10.4%3.9%25.0%5.7%18.5%
Skew 10d20.9%3.4%42.8%3.4%31.8%
Call IV 25d50.4%42.9%58.8%58.8%42.9%
Put IV 25d60.8%52.8%82.3%64.5%61.4%
Bid-Ask Spread %95.3781.07105.4893.04101.27
Gamma HHI0.280.220.580.280.31
Net GEX11.7K-14.3K23.2K9.1K12.2K
Net DEX-388.1K-699.5K-157.1K-368.8K-376.7K
Net VEX-2.3K-3.0K-1.7K-1.8K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.001.010.300.00
Total Volume413.76207846810
Total OI1,046.817411,1717411,084

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$17.56$15.0058.6%16.8%43.8%19.5%67.9%5.7%-7.6%9.1K-368.8K-1.8K0.3093.04N/AN/A523158564177
2022-11-02$16.95$17.5052.5%15.0%46.1%15.0%90.6%25.0%-3.5%11.3K-475.4K-2.6K0.25101.35N/AN/A626158739178
2022-11-03$17.16$10.0043.7%14.9%46.2%8.5%61.9%9.8%10.4%15.8K-600.8K-3.0K0.2581.07N/AN/A626158842178
2022-11-04$16.33$10.0054.4%13.9%46.3%16.4%52.4%11.6%-7.9%11.1K-364.6K-2.5K0.2298.19N/AN/A626138842178
2022-11-07$16.66$10.0062.8%14.4%46.5%22.6%62.2%7.5%-2.3%10.8K-397.5K-2.5K0.2295.71N/AN/A626138842180
2022-11-08$16.71$10.0068.1%12.2%45.3%26.5%51.7%10.5%-5.5%12.2K-375.5K-2.3K0.2289.57N/AN/A635138842180
2022-11-09$16.03$10.0051.2%14.7%48.5%14.1%58.4%5.1%0.2%8.6K-290.2K-2.1K0.3092.15N/AN/A457138842179
2022-11-10$18.65$10.0056.3%16.1%70.8%17.8%52.6%14.4%-1.0%20.2K-681.6K-2.8K0.9585.79N/AN/A206196835179
2022-11-11$18.52$12.5052.1%14.9%70.2%14.7%54.5%7.3%-9.0%19.2K-699.5K-3.0K0.9284.33N/AN/A209193868237
2022-11-14$17.43$15.0053.3%15.3%71.9%15.6%56.1%8.7%-12.3%20.7K-438.4K-2.5K1.0088.01N/AN/A196196900271
2022-11-15$17.65$15.0049.3%14.1%71.2%12.7%45.8%8.0%-1.9%23.2K-501.8K-2.6K1.0194.81N/AN/A195196882271
2022-11-16$17.22$15.0050.0%14.3%70.6%13.2%51.8%7.2%-2.6%21.3K-464.5K-2.6K0.9991.57N/AN/A195193883271
2022-11-17$16.92$15.0040.3%11.6%71.0%3.1%53.8%4.2%3.7%20.1K-422.4K-2.3K0.9999.96N/AN/A195193883269
2022-11-18$15.07$15.0052.8%15.1%80.7%12.5%50.8%6.8%0.2%-14.3K-247.0K-2.1K0.3798.92N/AN/A20275883265
2022-11-21$15.02$15.0056.0%16.0%79.7%14.9%56.5%20.1%-2.8%5.7K-157.1K-1.7K0.4199.06N/AN/A19882818204
2022-11-22$15.28$15.0054.1%15.5%80.1%13.5%63.4%17.5%-0.5%6.2K-230.5K-2.1K0.4296.52N/AN/A19884818207
2022-11-23$15.90$15.0057.0%16.3%81.7%15.7%63.9%9.6%-3.0%8.0K-280.0K-2.2K0.39104.17N/AN/A21684822207
2022-11-25$16.43$15.0044.8%12.8%82.1%6.4%56.0%10.8%-0.3%9.5K-286.4K-2.1K0.38103.86N/AN/A83849207
2022-11-28$15.70$15.0059.7%17.1%82.9%17.8%0.0%3.9%-13.4%7.5K-232.1K-1.9K0.00105.48N/AN/A10849204
2022-11-29$16.00$15.0057.6%16.5%83.3%16.1%0.0%6.4%-0.1%8.3K-259.7K-1.9K0.0098.05N/AN/A300850204
2022-11-30$17.05$15.0052.4%15.0%86.6%12.2%0.0%18.5%-0.5%12.2K-376.7K-2.0K0.00101.27N/AN/A00880204