VERX Options History — February 2023 In February 2023, VERX traded between $13.88 and $15.62. ATM implied volatility averaged 61.2%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 8.9% (HV 20d: 52.3%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.11.
Notable Days 2023-02-27 : Highest Volume — 90 contracts2023-02-07 : Largest IV spike — 61.3% change2023-02-07 : Highest IV Rank — 49.1%2023-02-02 : Largest Expected Move — 19.9%Monthly Statistics Metric Avg Min Max Open Close Price $14.94 $13.88 $15.62 $13.88 $15.59 Max Pain $14.87 $12.50 $15.00 $12.50 $15.00 ATM IV 61.2% 41.8% 103.2% 56.7% 59.0% Expected Move 16.4% 12.0% 19.9% 16.3% 16.9% HV 20d 52.3% 46.5% 65.3% 55.8% 50.8% HV 60d 58.0% 50.3% 67.3% 63.5% 50.3% IV Rank 16.3% 1.1% 49.1% 12.8% 14.6% IV Percentile 35.0% 0.4% 96.0% 22.2% 31.3% Term Structure -4.0% -22.4% 20.3% 12.4% -13.3% VWIV 54.8% 43.2% 72.4% 59.4% 59.7% Skew 25d 15.5% 2.4% 56.9% 56.9% 21.0% Skew 10d 30.8% 8.4% 118.9% 68.1% 12.2% Call IV 25d 47.2% 35.3% 59.9% 45.9% 36.8% Put IV 25d 62.7% 47.6% 102.8% 102.8% 57.9% Bid-Ask Spread % 104.78 94.50 119.60 119.60 107.21 Gamma HHI 0.24 0.20 0.32 0.25 0.28 Net GEX 6.1K 3.0K 8.2K 3.0K 6.5K Net DEX -149.7K -193.8K -57.0K -57.0K -193.8K Net VEX -1.1K -1.5K -736 -736 -1.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.11 0.00 0.80 0.00 0.00 Total Volume 11.105 0 90 0 5 Total OI 1,045.895 976 1,123 976 1,123
Daily Data (19 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 2023-02-01 $13.88 $12.50 56.7% 16.3% 55.8% 12.8% 0.0% 56.9% 12.4% 3.0K -57.0K -736 0.00 119.60 N/A N/A 0 0 878 98 2023-02-02 $15.23 $15.00 83.8% 19.9% 65.3% 34.0% 59.4% 22.7% -5.5% 7.2K -173.1K -1.2K 0.00 100.36 N/A N/A 48 0 878 98 2023-02-03 $15.62 $15.00 76.3% 16.1% 46.5% 28.1% 43.2% 11.7% -7.2% 5.8K -165.9K -1.1K 0.20 112.26 N/A N/A 15 3 910 108 2023-02-06 $14.55 $15.00 64.0% 17.1% 51.2% 18.5% 56.3% 2.4% 0.8% 6.4K -144.9K -1.3K 0.00 94.50 N/A N/A 20 0 921 110 2023-02-07 $14.52 $15.00 103.2% 19.8% 50.3% 49.1% 0.0% 5.7% -18.9% 7.7K -181.1K -1.5K 0.00 100.34 N/A N/A 1 0 944 110 2023-02-08 $14.43 $15.00 51.7% 14.8% 49.6% 8.9% 0.0% 3.4% -16.0% 6.8K -147.5K -1.3K 0.00 105.77 N/A N/A 4 0 945 110 2023-02-09 $14.74 $15.00 52.9% 15.2% 49.5% 9.8% 0.0% 15.2% 4.9% 6.6K -154.7K -1.3K 0.00 96.62 N/A N/A 0 0 942 110 2023-02-10 $14.21 $15.00 64.7% 18.6% 51.9% 19.1% 0.0% 14.3% -4.7% 5.3K -105.7K -1.0K 0.00 103.14 N/A N/A 0 0 942 110 2023-02-13 $14.46 $15.00 67.5% 19.3% 51.8% 21.2% 0.0% 9.6% -3.2% 6.1K -128.8K -1.0K 0.00 95.13 N/A N/A 0 0 942 110 2023-02-14 $14.70 $15.00 56.7% 16.3% 51.7% 12.8% 0.0% 10.1% -22.4% 8.2K -181.4K -1.3K 0.00 99.96 N/A N/A 0 0 942 110 2023-02-15 $15.21 $15.00 65.3% 18.7% 52.1% 19.5% 0.0% 15.7% -3.7% 7.7K -171.2K -1.1K 0.00 104.58 N/A N/A 0 0 942 110 2023-02-16 $15.20 $15.00 44.1% 12.6% 51.5% 2.9% 45.2% 9.3% 20.3% 5.0K -129.9K -931 0.00 99.27 N/A N/A 23 0 942 110 2023-02-17 $15.36 $15.00 41.8% 12.0% 51.4% 1.1% 72.4% 4.4% -20.1% 5.7K -180.4K -1.1K 0.00 105.42 N/A N/A 0 1 959 110 2023-02-21 $15.17 $15.00 59.9% 17.2% 52.1% 15.3% 0.0% 22.2% 3.4% 7.4K -167.5K -1.2K 0.00 111.08 N/A N/A 0 0 942 109 2023-02-22 $14.88 $15.00 51.7% 14.8% 53.1% 8.9% 0.0% 23.0% 7.3% 4.2K -114.5K -939 0.00 110.88 N/A N/A 1 0 942 109 2023-02-23 $15.27 $15.00 51.2% 14.7% 53.4% 8.5% 0.0% 26.5% -14.0% 5.2K -145.7K -1.0K 0.00 98.12 N/A N/A 0 0 943 109 2023-02-24 $15.35 $15.00 47.8% 13.7% 53.4% 5.9% 0.0% 4.6% 2.0% 4.3K -130.7K -910 0.00 118.01 N/A N/A 0 0 943 109 2023-02-27 $15.54 $15.00 64.0% 18.4% 51.4% 18.6% 47.2% 16.1% 1.5% 6.5K -171.0K -955 0.80 108.61 N/A N/A 50 40 943 109 2023-02-28 $15.59 $15.00 59.0% 16.9% 50.8% 14.6% 59.7% 21.0% -13.3% 6.5K -193.8K -1.2K 0.00 107.21 N/A N/A 5 0 984 139
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