VERX Options History — January 2023

In January 2023, VERX traded between $12.11 and $14.73. ATM implied volatility averaged 67.5%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 12.2% (HV 20d: 55.3%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 2.20.

Notable Days

2023-01-30: Highest Volume — 50 contracts
2023-01-05: Largest IV spike — 87.0% change
2023-01-31: Highest IV Rank — 41.4%
2023-01-31: Largest Expected Move — 26.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.84	$12.11	$14.73	$14.64	$13.57
Max Pain	$12.79	$12.50	$15.00	$15.00	$12.50
ATM IV	67.5%	46.5%	93.2%	68.7%	93.2%
Expected Move	18.8%	13.3%	26.7%	19.7%	26.7%
HV 20d	55.3%	40.6%	60.8%	43.7%	55.3%
HV 60d	63.6%	60.5%	66.3%	61.3%	63.3%
IV Rank	21.3%	4.8%	41.4%	22.2%	41.4%
IV Percentile	51.0%	2.0%	91.3%	60.3%	91.3%
Term Structure	-13.7%	-27.9%	8.4%	-11.4%	-27.6%
VWIV	55.1%	51.2%	58.9%	58.9%	51.2%
Skew 25d	13.8%	-31.2%	46.0%	-31.2%	46.0%
Skew 10d	6.5%	-37.8%	36.9%	-37.8%	4.7%
Call IV 25d	46.3%	30.2%	81.9%	81.9%	55.9%
Put IV 25d	60.1%	43.8%	101.9%	50.7%	101.9%
Bid-Ask Spread %	115.80	105.12	123.88	111.72	113.27
Gamma HHI	0.24	0.20	0.31	0.30	0.24
Net GEX	2.6K	1.5K	5.6K	5.6K	3.8K
Net DEX	-18.4K	-90.2K	20.6K	-90.2K	-61.2K
Net VEX	-686	-1.1K	-454	-1.1K	-878
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.20	0.00	20.00	0.32	0.50
Total Volume	9.6	0	50	0	3
Total OI	922.35	872	974	872	973

Daily Data (20 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
2023-01-03	$14.64	$15.00	68.7%	19.7%	43.7%	22.2%	0.0%	-31.2%	-11.4%	5.6K	-90.2K	-1.1K	0.00	111.72	N/A	N/A	0	0	797	75
2023-01-04	$14.73	$15.00	46.5%	13.3%	40.6%	4.8%	0.0%	-2.8%	1.5%	5.6K	-85.0K	-1.1K	0.00	113.52	N/A	N/A	0	0	797	75
2023-01-05	$13.04	$0.00	86.9%	24.2%	57.9%	36.4%	0.0%	11.7%	-20.4%	3.7K	-43.5K	-884	0.32	120.22	N/A	N/A	31	10	797	75
2023-01-06	$12.47	$0.00	64.3%	18.1%	58.9%	18.8%	0.0%	4.0%	-3.5%	2.6K	-5.5K	-632	20.00	120.64	N/A	N/A	1	20	818	85
2023-01-09	$12.91	$0.00	67.6%	17.8%	60.8%	21.3%	58.9%	28.4%	-19.0%	2.2K	-14.7K	-614	5.50	116.04	N/A	N/A	2	11	819	85
2023-01-10	$12.65	$12.50	80.2%	14.4%	59.5%	31.2%	0.0%	13.6%	8.4%	2.4K	-6.8K	-637	0.00	114.34	N/A	N/A	0	0	821	96
2023-01-11	$12.55	$12.50	61.4%	17.6%	57.8%	16.5%	0.0%	9.3%	-4.3%	1.8K	-5.0K	-609	0.00	116.23	N/A	N/A	0	0	821	96
2023-01-12	$12.50	$12.50	66.8%	19.1%	56.9%	20.7%	0.0%	17.6%	-14.5%	2.0K	2.7K	-592	0.00	107.06	N/A	N/A	3	0	821	96
2023-01-13	$12.43	$12.50	56.6%	16.2%	56.5%	12.8%	0.0%	16.0%	-5.8%	1.9K	4.4K	-596	0.00	109.07	N/A	N/A	0	0	821	96
2023-01-17	$12.38	$12.50	62.3%	17.9%	56.3%	17.2%	0.0%	16.8%	-17.7%	2.1K	3.3K	-572	0.00	115.16	N/A	N/A	0	0	821	96
2023-01-18	$12.29	$12.50	75.8%	21.7%	56.3%	27.7%	0.0%	14.7%	-26.8%	2.0K	2.2K	-588	0.00	119.52	N/A	N/A	0	0	821	96
2023-01-19	$12.11	$12.50	77.1%	22.1%	56.3%	28.7%	0.0%	25.9%	-25.6%	1.6K	16.5K	-467	0.00	123.88	N/A	N/A	0	0	821	96
2023-01-20	$12.14	$12.50	47.4%	13.6%	54.6%	5.5%	51.2%	4.6%	1.3%	1.5K	11.9K	-509	0.00	122.28	N/A	N/A	3	0	821	96
2023-01-23	$12.31	$12.50	55.4%	15.9%	55.3%	11.8%	0.0%	2.9%	-4.8%	1.6K	20.6K	-454	0.04	120.63	N/A	N/A	25	1	820	96
2023-01-24	$12.43	$12.50	67.6%	19.4%	55.6%	21.4%	0.0%	28.8%	-18.1%	2.0K	440	-589	0.00	115.25	N/A	N/A	10	0	845	97
2023-01-25	$12.50	$12.50	60.4%	17.3%	55.8%	15.7%	0.0%	4.0%	-27.9%	1.9K	-5.7K	-577	0.00	119.72	N/A	N/A	6	0	855	97
2023-01-26	$12.66	$12.50	79.1%	22.7%	56.1%	30.4%	0.0%	14.6%	-25.7%	2.7K	-26.9K	-807	0.00	118.40	N/A	N/A	15	0	861	97
2023-01-27	$13.30	$12.50	58.8%	16.9%	58.6%	14.5%	0.0%	30.7%	-5.1%	3.2K	-47.9K	-827	0.00	113.99	N/A	N/A	1	0	876	97
2023-01-30	$13.13	$12.50	74.2%	21.3%	54.3%	26.5%	0.0%	19.7%	-27.0%	2.8K	-37.7K	-737	0.00	105.12	N/A	N/A	50	0	877	97
2023-01-31	$13.57	$12.50	93.2%	26.7%	55.3%	41.4%	0.0%	46.0%	-27.6%	3.8K	-61.2K	-878	0.50	113.27	N/A	N/A	2	1	876	97