VERX Options History — April 2023

In April 2023, VERX traded between $20.39 and $22.88. ATM implied volatility averaged 56.1%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 15.3% (HV 20d: 40.7%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.62.

Notable Days

2023-04-03: Highest Volume — 289 contracts
2023-04-06: Largest IV drop — 22.2% change
2023-04-25: Highest IV Rank — 24.1%
2023-04-25: Largest Expected Move — 18.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.82	$20.39	$22.88	$21.14	$20.69
Max Pain	$21.05	$17.50	$22.50	$17.50	$22.50
ATM IV	56.1%	48.0%	65.3%	50.7%	57.7%
Expected Move	16.2%	14.5%	18.7%	14.5%	16.5%
HV 20d	40.7%	29.8%	85.1%	85.1%	29.8%
HV 60d	59.6%	59.0%	60.5%	60.5%	59.9%
IV Rank	17.3%	11.3%	24.1%	13.3%	18.5%
IV Percentile	28.8%	7.1%	60.3%	10.7%	34.1%
Term Structure	-7.0%	-22.0%	3.7%	3.7%	-9.8%
VWIV	54.3%	37.7%	60.0%	50.8%	51.8%
Skew 25d	8.2%	0.2%	23.3%	0.2%	5.1%
Skew 10d	15.0%	-18.8%	36.2%	-10.7%	33.4%
Call IV 25d	53.6%	45.0%	60.4%	49.1%	58.2%
Put IV 25d	61.8%	49.3%	82.7%	49.3%	63.3%
Bid-Ask Spread %	78.16	41.51	103.51	89.41	103.51
Gamma HHI	0.54	0.39	0.76	0.48	0.61
Net GEX	138.1K	51.5K	223.0K	223.0K	53.8K
Net DEX	-6.7M	-9.7M	-919.4K	-6.8M	-951.3K
Net VEX	-8.1K	-9.8K	-5.6K	-9.5K	-5.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.62	0.01	8.60	0.62	0.39
Total Volume	74.211	0	289	289	32
Total OI	5,367.947	2,975	6,500	5,636	2,991

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
2023-04-03	$21.14	$17.50	50.7%	14.5%	85.1%	13.3%	50.8%	0.2%	3.7%	223.0K	-6.8M	-9.5K	0.62	89.41	N/A	N/A	178	111	5,473	163
2023-04-04	$21.62	$17.50	52.3%	15.0%	84.9%	14.5%	37.7%	9.1%	-22.0%	191.5K	-7.3M	-9.8K	0.19	85.11	N/A	N/A	52	10	5,654	266
2023-04-05	$22.12	$17.50	61.7%	17.7%	40.0%	21.4%	57.3%	3.9%	-5.3%	223.0K	-8.1M	-9.7K	0.80	85.76	N/A	N/A	15	12	5,671	266
2023-04-06	$22.19	$22.50	48.0%	16.3%	36.2%	11.3%	56.9%	11.4%	-3.1%	187.7K	-8.7M	-9.6K	0.01	62.20	N/A	N/A	172	2	5,667	272
2023-04-10	$22.30	$22.50	52.9%	16.2%	35.6%	15.0%	60.0%	5.0%	-2.8%	198.0K	-8.9M	-9.6K	3.17	78.10	N/A	N/A	23	73	5,839	274
2023-04-11	$22.03	$20.00	57.4%	15.8%	36.2%	18.2%	54.4%	8.6%	-3.4%	203.7K	-8.4M	-9.4K	0.60	80.57	N/A	N/A	58	35	5,840	343
2023-04-12	$22.08	$20.00	55.1%	15.8%	36.3%	16.5%	55.1%	6.3%	-6.5%	194.4K	-8.7M	-8.7K	3.11	81.69	N/A	N/A	19	59	5,896	358
2023-04-13	$22.88	$20.00	55.7%	16.0%	37.3%	17.0%	56.6%	12.1%	-5.2%	158.4K	-9.7M	-8.8K	0.18	70.46	N/A	N/A	60	11	5,905	411
2023-04-14	$22.57	$20.00	56.0%	16.1%	38.2%	17.2%	55.5%	9.4%	-5.0%	157.4K	-9.5M	-8.8K	1.59	57.20	N/A	N/A	29	46	5,955	423
2023-04-17	$22.41	$20.00	51.8%	14.9%	37.5%	14.1%	52.0%	9.3%	-0.5%	141.0K	-9.3M	-7.9K	8.60	43.48	N/A	N/A	5	43	5,959	465
2023-04-18	$22.02	$22.50	56.7%	16.3%	34.5%	17.8%	0.0%	5.8%	-11.2%	152.0K	-9.0M	-7.4K	0.74	84.41	N/A	N/A	27	20	5,961	500
2023-04-19	$22.57	$22.50	59.9%	17.2%	32.5%	20.1%	59.6%	1.7%	-8.9%	112.5K	-9.5M	-7.9K	1.75	80.55	N/A	N/A	4	7	5,975	520
2023-04-20	$22.34	$22.50	53.6%	15.4%	32.8%	15.4%	0.0%	23.3%	-3.8%	88.6K	-9.3M	-7.4K	1.00	88.01	N/A	N/A	3	3	5,978	522
2023-04-21	$22.06	$22.50	57.8%	16.6%	33.4%	18.5%	56.6%	20.5%	-8.1%	81.3K	-9.0M	-7.1K	0.36	85.29	N/A	N/A	153	55	5,977	519
2023-04-24	$21.55	$22.50	54.6%	15.7%	35.2%	16.2%	54.2%	1.4%	-7.5%	77.1K	-1.5M	-7.1K	0.10	83.35	N/A	N/A	20	2	2,695	296
2023-04-25	$20.96	$22.50	65.3%	18.7%	36.2%	24.1%	56.8%	17.3%	-13.7%	67.0K	-1.3M	-6.7K	4.31	93.08	N/A	N/A	13	56	2,675	300
2023-04-26	$20.75	$22.50	61.8%	17.7%	36.1%	21.5%	0.0%	2.1%	-12.1%	62.4K	-1.2M	-6.4K	0.00	91.34	N/A	N/A	0	2	2,687	304
2023-04-27	$20.39	$22.50	56.3%	16.2%	35.7%	17.5%	0.0%	3.6%	-8.3%	51.5K	-919.4K	-5.6K	0.00	41.51	N/A	N/A	0	0	2,687	304
2023-04-28	$20.69	$22.50	57.7%	16.5%	29.8%	18.5%	51.8%	5.1%	-9.8%	53.8K	-951.3K	-5.7K	0.39	103.51	N/A	N/A	23	9	2,687	304