VERS Options History — August 2024

In August 2024, VERS traded between $38.69 and $43.41. ATM implied volatility averaged 30.8%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 3.1% (HV 20d: 33.9%). Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.67.

Notable Days

  • 2024-08-05: Highest Volume — 9 contracts
  • 2024-08-14: Largest IV drop — 54.1% change
  • 2024-08-06: Highest IV Rank — 100.0%
  • 2024-08-06: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.35$38.69$43.41$41.94$42.61
ATM IV30.8%21.4%56.7%29.3%23.7%
Expected Move7.3%6.1%10.0%8.4%6.8%
HV 20d33.9%26.3%36.3%28.9%26.3%
HV 60d24.1%20.0%25.5%20.0%25.0%
IV Rank37.7%13.0%100.0%40.0%18.9%
IV Percentile55.6%15.5%100.0%85.3%42.1%
Term Structure0.5%-3.6%3.8%-2.8%0.9%
Skew 25d0.6%-3.5%3.1%-2.7%1.0%
Skew 10d0.3%-10.1%4.0%0.6%0.3%
Call IV 25d26.1%22.3%37.8%30.7%26.0%
Put IV 25d26.7%23.5%35.6%28.0%26.9%
Bid-Ask Spread %131.64121.86139.27137.22133.55
Gamma HHI0.220.210.230.230.22
Net GEX1.7K5892.0K6982.0K
Net DEX-31.1K-42.5K-8.2K-21.5K-38.9K
Net VEX-135-199-120-184-121
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.670.008.000.008.00
Total Volume0.9550940
Total OI17.13616252316

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-08-01$41.94$0.0029.3%8.4%28.9%40.0%0.0%-2.7%-2.8%698-21.5K-1840.00137.22N/AN/A40158
2024-08-02$40.22$0.0032.2%9.2%31.8%48.8%0.0%0.9%-3.6%717-16.0K-1990.00136.68N/AN/A80178
2024-08-05$38.81$0.0045.0%8.7%32.8%87.3%0.0%-2.4%1.9%589-8.2K-1948.00129.64N/AN/A18178
2024-08-06$39.16$0.0056.7%10.0%33.3%100.0%0.0%-3.5%-3.1%1.4K-24.2K-1300.00139.27N/AN/A00160
2024-08-07$38.69$0.0039.6%8.3%32.9%57.9%0.0%0.0%-0.4%1.5K-23.5K-1270.00121.86N/AN/A00160
2024-08-08$39.57$0.0046.1%8.6%34.3%74.1%0.0%3.1%3.8%1.4K-24.2K-1270.00137.82N/AN/A00160
2024-08-09$39.72$0.0036.2%7.8%33.8%49.6%0.0%1.3%-2.1%1.6K-24.0K-1240.00128.34N/AN/A00160
2024-08-12$39.34$0.0049.4%7.3%33.3%82.1%0.0%1.4%-1.3%1.6K-23.6K-1200.00129.19N/AN/A00160
2024-08-13$40.62$0.0048.8%7.3%35.2%80.6%0.0%1.3%-0.3%1.7K-27.0K-1270.00126.01N/AN/A00160
2024-08-14$40.40$0.0022.4%6.4%34.3%15.5%0.0%1.1%0.4%1.8K-27.7K-1260.00127.74N/AN/A00160
2024-08-15$41.45$0.0022.7%6.5%35.9%16.3%0.0%0.8%2.6%1.9K-31.5K-1280.00130.19N/AN/A00160
2024-08-16$41.88$0.0022.4%6.4%36.2%15.6%0.0%1.7%0.4%2.0K-33.8K-1300.00131.84N/AN/A00160
2024-08-19$42.52$0.0022.0%6.3%36.2%14.5%0.0%0.9%0.8%1.9K-38.6K-1300.00134.45N/AN/A00160
2024-08-20$42.77$0.0021.9%6.3%36.3%14.4%0.0%1.9%2.2%2.0K-39.0K-1280.00131.56N/AN/A00160
2024-08-21$43.36$0.0021.4%6.1%34.9%13.0%0.0%1.4%2.5%1.9K-42.5K-1260.00132.03N/AN/A00160
2024-08-22$42.55$0.0021.6%6.2%35.5%13.7%0.0%0.8%3.3%2.0K-40.1K-1270.00130.25N/AN/A00160
2024-08-23$43.41$0.0021.6%6.2%36.2%13.5%0.0%1.5%3.2%1.9K-42.5K-1240.00129.94N/AN/A00160
2024-08-26$43.02$0.0023.3%6.7%36.3%17.8%0.0%-0.0%1.1%2.0K-41.5K-1240.00130.55N/AN/A00160
2024-08-27$42.83$0.0023.6%6.8%35.7%18.5%0.0%1.0%1.2%2.0K-39.8K-1250.00135.64N/AN/A00160
2024-08-28$42.33$0.0022.7%6.5%34.8%16.2%0.0%0.4%0.5%2.0K-38.2K-1220.00130.87N/AN/A00160
2024-08-29$42.47$0.0024.6%7.1%30.8%21.0%0.0%0.3%-1.1%2.0K-38.8K-1230.00131.55N/AN/A00160
2024-08-30$42.61$0.0023.7%6.8%26.3%18.9%0.0%1.0%0.9%2.0K-38.9K-1210.00133.55N/AN/A00160