VERX Options History — March 2023 In March 2023, VERX traded between $14.97 and $20.91. ATM implied volatility averaged 56.2%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded below realized volatility by 18.5% (HV 20d: 74.7%). Max pain ranged from $10.00 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 2.87.
Notable Days 2023-03-21 : Highest Volume — 4,103 contracts2023-03-13 : Largest IV spike — 86.0% change2023-03-13 : Highest IV Rank — 38.6%2023-03-13 : Largest Expected Move — 18.3%Monthly Statistics Metric Avg Min Max Open Close Price $18.02 $14.97 $20.91 $15.58 $20.61 Max Pain $15.87 $10.00 $17.50 $15.00 $17.50 ATM IV 56.2% 32.6% 89.7% 58.8% 48.6% Expected Move 15.2% 9.4% 18.3% 16.9% 13.9% HV 20d 74.7% 28.2% 86.5% 50.1% 86.0% HV 60d 62.4% 48.8% 66.6% 50.2% 66.0% IV Rank 13.8% 0.0% 38.6% 14.4% 11.7% IV Percentile 28.3% 0.0% 90.1% 30.2% 7.9% Term Structure -1.2% -20.4% 26.7% -8.7% 3.4% VWIV 46.0% 25.2% 58.6% 40.9% 48.4% Skew 25d 9.1% -9.3% 25.3% 18.2% 4.9% Skew 10d 12.7% -18.1% 43.7% 12.2% -3.6% Call IV 25d 47.0% 31.4% 75.6% 41.4% 47.9% Put IV 25d 56.1% 43.1% 79.1% 59.7% 52.8% Bid-Ask Spread % 102.15 78.28 112.90 105.05 98.67 Gamma HHI 0.48 0.21 0.75 0.24 0.48 Net GEX 87.4K 1.9K 291.3K 7.4K 232.2K Net DEX -1.9M -6.0M -163.8K -216.7K -6.0M Net VEX -4.2K -10.5K -965 -1.3K -10.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.87 0.00 28.00 0.00 0.05 Total Volume 395.435 8 4,103 9 42 Total OI 2,518.174 631 5,636 1,128 5,636
Daily Data (23 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 2023-03-01 $15.58 $15.00 58.8% 16.9% 50.1% 14.4% 40.9% 18.2% -8.7% 7.4K -216.7K -1.3K 0.00 105.05 N/A N/A 9 0 989 139 2023-03-02 $15.63 $15.00 57.9% 16.6% 49.8% 13.7% 56.9% 14.4% -14.0% 6.0K -184.4K -1.1K 0.07 104.90 N/A N/A 14 1 992 139 2023-03-03 $15.24 $15.00 63.1% 18.1% 38.9% 17.8% 43.4% 16.4% -19.8% 6.1K -192.2K -1.2K 0.00 106.83 N/A N/A 8 0 1,003 140 2023-03-06 $14.97 $12.50 69.7% 16.4% 38.2% 23.0% 0.0% 3.5% -0.7% 5.0K -163.8K -1.1K 0.00 108.65 N/A N/A 23 0 1,004 140 2023-03-07 $14.97 $12.50 78.5% 15.4% 28.2% 29.9% 37.3% 21.4% -8.5% 4.9K -164.0K -965 0.56 105.52 N/A N/A 27 15 995 140 2023-03-08 $18.64 $10.00 70.2% 17.2% 82.2% 23.3% 55.7% 7.5% 1.5% 23.2K -609.2K -1.6K 0.60 105.26 N/A N/A 498 299 1,008 152 2023-03-09 $17.95 $15.00 45.0% 17.1% 83.9% 3.7% 47.3% -9.3% -7.6% 8.2K -402.8K -1.8K 0.83 97.82 N/A N/A 140 116 1,187 377 2023-03-10 $17.82 $15.00 48.2% 16.5% 84.1% 6.2% 58.6% -5.0% -3.8% 8.0K -336.7K -1.6K 2.80 105.66 N/A N/A 15 42 1,155 378 2023-03-13 $18.27 $15.00 89.7% 18.3% 82.4% 38.6% 0.0% 21.4% -20.4% 19.2K -541.8K -1.7K 3.14 112.90 N/A N/A 7 22 1,155 347 2023-03-14 $18.48 $15.00 74.4% 13.8% 82.4% 26.6% 0.0% 7.3% 10.3% 19.8K -482.1K -1.6K 1.67 108.52 N/A N/A 3 5 1,155 326 2023-03-15 $18.50 $15.00 52.4% 15.0% 82.5% 9.4% 50.6% -1.6% 1.5% 20.7K -490.2K -1.5K 28.00 105.93 N/A N/A 2 56 1,154 321 2023-03-16 $18.54 $17.50 63.0% 18.1% 82.1% 17.8% 0.0% 11.8% 1.1% 21.8K -505.1K -1.6K 22.00 111.24 N/A N/A 3 66 1,152 356 2023-03-17 $18.24 $17.50 53.8% 15.4% 82.5% 10.5% 32.3% 2.4% 0.4% 3.4K -429.8K -1.4K 3.30 105.01 N/A N/A 10 33 1,153 312 2023-03-20 $17.55 $17.50 54.3% 15.6% 84.3% 11.0% 54.2% 8.0% 12.8% 1.9K -196.0K -1.3K 0.45 81.22 N/A N/A 29 13 467 164 2023-03-21 $18.37 $17.50 51.4% 14.7% 85.0% 8.7% 49.2% 9.2% -13.0% 4.2K -281.4K -1.4K 0.00 78.28 N/A N/A 4,103 0 519 169 2023-03-22 $18.26 $17.50 53.0% 15.2% 84.6% 9.9% 51.8% -2.3% 26.7% 179.7K -2.9M -8.7K 0.00 97.77 N/A N/A 151 0 4,617 169 2023-03-23 $18.66 $17.50 52.5% 15.0% 84.5% 9.5% 43.8% 25.3% 11.8% 206.7K -3.8M -9.9K 0.00 109.75 N/A N/A 30 0 4,766 169 2023-03-24 $18.91 $17.50 36.1% 10.3% 84.5% 0.0% 38.3% 14.6% 11.0% 254.9K -4.5M -10.1K 0.00 105.07 N/A N/A 60 0 4,797 169 2023-03-27 $19.45 $17.50 32.6% 9.4% 84.7% 0.0% 25.2% 2.3% -8.6% 291.3K -5.1M -9.5K 0.00 97.29 N/A N/A 22 0 4,798 169 2023-03-28 $19.22 $17.50 43.7% 12.5% 85.1% 8.2% 43.7% 13.2% 5.7% 256.6K -4.4M -9.7K 2.50 92.83 N/A N/A 4 10 4,786 169 2023-03-29 $19.76 $17.50 46.3% 13.3% 85.2% 10.1% 46.8% 21.5% -2.1% 258.2K -5.2M -9.6K 0.01 108.04 N/A N/A 1,521 14 4,790 162 2023-03-30 $20.91 $17.50 49.3% 14.1% 86.5% 12.3% 49.9% 3.5% -7.6% 170.0K -5.7M -7.2K 0.03 97.22 N/A N/A 1,640 42 3,860 173 2023-03-31 $20.61 $17.50 48.6% 13.9% 86.0% 11.7% 48.4% 4.9% 3.4% 232.2K -6.0M -10.5K 0.05 98.67 N/A N/A 40 2 5,475 161
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