VERX Options History — December 2022

In December 2022, VERX traded between $14.06 and $17.26. ATM implied volatility averaged 60.5%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded below realized volatility by 2.8% (HV 20d: 63.3%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.17.

Notable Days

  • 2022-12-01: Highest Volume — 200 contracts
  • 2022-12-13: Largest IV spike — 88.7% change
  • 2022-12-13: Highest IV Rank — 45.9%
  • 2022-12-05: Largest Expected Move — 22.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.43$14.06$17.26$17.26$14.45
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV60.5%47.4%96.8%52.9%62.1%
Expected Move17.5%13.6%22.2%15.2%17.8%
HV 20d63.3%43.6%86.6%85.7%43.7%
HV 60d61.7%60.9%62.5%62.1%61.3%
IV Rank18.1%8.4%45.9%12.7%17.0%
IV Percentile33.8%2.8%92.9%13.5%39.3%
Term Structure-4.7%-20.7%33.6%4.3%-4.1%
VWIV85.0%65.4%104.5%104.5%65.4%
Skew 25d15.1%-9.0%57.3%8.0%25.6%
Skew 10d20.6%-17.8%151.8%11.4%41.6%
Call IV 25d48.2%36.6%68.0%40.5%50.4%
Put IV 25d63.3%44.0%97.5%48.5%76.0%
Bid-Ask Spread %114.3898.98124.65101.20119.78
Gamma HHI0.290.230.400.320.29
Net GEX6.8K-4.8K13.1K13.1K5.8K
Net DEX-234.6K-422.1K-94.3K-422.1K-106.3K
Net VEX-1.8K-2.4K-1.1K-2.2K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.002.000.000.00
Total Volume15.04802002000
Total OI1,039.3338691,2111,084872

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$17.26$15.0052.9%15.2%85.7%12.7%0.0%8.0%4.3%13.1K-422.1K-2.2K0.00101.20N/AN/A2000880204
2022-12-02$16.75$15.0047.6%13.6%86.3%8.6%0.0%-2.0%1.2%12.2K-421.4K-2.4K0.00102.84N/AN/A00955204
2022-12-05$15.92$15.0058.1%22.2%86.4%16.6%104.5%57.3%20.1%9.5K-344.4K-2.4K2.00123.16N/AN/A12955204
2022-12-06$15.46$0.0069.4%20.0%86.6%25.1%0.0%11.2%-12.9%7.4K-264.0K-2.1K0.00118.62N/AN/A300955202
2022-12-07$15.59$0.0064.2%17.7%86.6%21.2%0.0%27.2%33.6%7.3K-272.5K-2.0K0.00115.22N/AN/A20957202
2022-12-08$15.21$0.0064.4%18.6%85.9%21.3%0.0%13.6%-13.0%6.0K-241.0K-1.9K0.00119.09N/AN/A60957202
2022-12-09$15.62$0.0057.3%19.2%65.1%16.0%0.0%33.4%-13.8%6.4K-256.6K-1.9K0.00108.27N/AN/A80963202
2022-12-12$16.07$0.0051.3%22.2%66.4%11.4%0.0%32.3%-3.8%7.2K-281.7K-1.7K0.00103.69N/AN/A00958202
2022-12-13$16.32$0.0096.8%15.6%63.7%45.9%0.0%32.1%-13.9%10.1K-343.8K-2.1K0.0098.98N/AN/A500958202
2022-12-14$15.79$0.0066.5%19.1%64.3%22.9%65.4%6.6%0.4%6.4K-385.8K-2.3K0.00108.99N/AN/A201,008202
2022-12-15$15.37$15.0053.7%15.4%64.4%13.2%0.0%17.0%0.9%2.4K-265.7K-1.9K0.00118.54N/AN/A001,009202
2022-12-16$15.18$15.0062.7%18.0%64.3%20.0%0.0%11.7%-16.6%-4.8K-236.6K-1.7K0.00122.63N/AN/A001,009202
2022-12-19$14.98$15.0061.8%17.7%49.5%19.3%0.0%9.7%-9.5%7.5K-178.2K-1.8K0.00117.80N/AN/A0079475
2022-12-20$15.41$15.0055.9%16.0%50.5%14.9%0.0%13.3%-6.4%8.1K-180.5K-1.6K0.00122.23N/AN/A0079475
2022-12-21$15.39$15.0053.8%15.4%50.2%13.3%0.0%-2.6%-20.7%8.1K-172.3K-1.7K0.00117.65N/AN/A0079475
2022-12-22$15.03$15.0058.9%16.9%48.6%17.2%0.0%17.6%-20.4%5.8K-100.9K-1.1K0.00111.57N/AN/A2079475
2022-12-23$14.81$15.0047.4%13.6%46.9%8.4%0.0%8.0%-11.2%6.7K-132.9K-1.4K0.00116.88N/AN/A0079475
2022-12-27$14.52$15.0063.3%18.1%44.8%20.5%0.0%-3.1%-13.6%5.7K-94.3K-1.2K0.00109.39N/AN/A3079475
2022-12-28$14.06$15.0062.0%17.8%45.0%19.5%0.0%9.3%3.9%5.8K-108.5K-1.3K0.00120.76N/AN/A8079775
2022-12-29$14.88$15.0060.4%17.3%43.6%15.7%0.0%-9.0%-4.0%6.4K-117.2K-1.3K0.00124.65N/AN/A2079975
2022-12-30$14.45$15.0062.1%17.8%43.7%17.0%0.0%25.6%-4.1%5.8K-106.3K-1.3K0.00119.78N/AN/A0079775