VERX Options History — May 2023

In May 2023, VERX traded between $19.52 and $21.92. ATM implied volatility averaged 56.0%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 23.9% (HV 20d: 32.1%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.46.

Notable Days

  • 2023-05-17: Highest Volume — 1,434 contracts
  • 2023-05-10: Largest IV drop — 36.0% change
  • 2023-05-04: Highest IV Rank — 35.1%
  • 2023-05-01: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.75$19.52$21.92$20.77$21.55
Max Pain$20.34$20.00$22.50$22.50$20.00
ATM IV56.0%44.1%80.2%66.2%60.6%
Expected Move15.0%12.7%19.0%19.0%17.4%
HV 20d32.1%26.3%36.8%29.3%33.8%
HV 60d56.0%54.7%57.4%57.2%56.2%
IV Rank17.3%8.5%35.1%24.8%20.6%
IV Percentile31.2%3.2%82.5%62.7%48.4%
Term Structure-1.6%-28.7%20.6%-15.8%-11.5%
VWIV51.1%34.1%67.7%34.1%54.7%
Skew 25d6.7%-14.4%27.0%12.6%3.5%
Skew 10d12.3%-17.8%41.6%26.6%14.5%
Call IV 25d49.1%26.8%68.6%50.5%52.3%
Put IV 25d55.8%37.7%82.3%63.1%55.8%
Bid-Ask Spread %103.2575.41120.6675.41106.10
Gamma HHI0.470.320.680.640.42
Net GEX30.9K8.2K69.4K61.6K13.4K
Net DEX-946.5K-1.4M-439.8K-1.1M-1.3M
Net VEX-5.6K-7.5K-3.7K-5.8K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.003.201.000.17
Total Volume9201,434421
Total OI3,150.0452,7864,6162,9932,944

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$20.77$22.5066.2%19.0%29.3%24.8%34.1%12.6%-15.8%61.6K-1.1M-5.8K1.0075.41N/AN/A222,690303
2023-05-02$20.20$22.5057.8%16.6%29.4%18.5%0.0%-14.4%-5.2%42.5K-761.4K-5.0K0.00104.75N/AN/A4002,692305
2023-05-03$20.01$22.5062.7%18.0%28.0%22.1%0.0%14.6%-11.2%42.5K-768.9K-5.0K0.00102.48N/AN/A1802,732305
2023-05-04$20.10$20.0080.2%12.9%26.4%35.1%64.0%5.0%6.5%48.5K-906.9K-5.3K0.33108.05N/AN/A1552,725305
2023-05-05$20.14$20.0065.8%13.0%26.3%24.5%50.0%2.8%0.1%43.0K-815.0K-4.9K0.0092.73N/AN/A802,724302
2023-05-08$20.44$20.0067.5%15.9%27.1%25.7%51.0%10.3%-16.4%43.1K-797.9K-4.6K0.1794.65N/AN/A3562,727302
2023-05-09$21.00$20.0078.5%17.8%29.1%33.8%67.5%26.9%-28.7%69.4K-1.2M-5.6K0.0993.81N/AN/A7672,760308
2023-05-10$20.80$20.0050.2%14.4%29.1%13.0%67.7%11.2%-2.7%24.6K-745.4K-4.4K0.0794.32N/AN/A7252,802310
2023-05-11$19.73$20.0046.1%13.2%30.5%9.9%43.8%6.7%4.6%30.0K-641.7K-4.2K0.3396.05N/AN/A1552,800309
2023-05-12$19.80$20.0044.6%12.8%30.6%8.8%48.4%0.8%6.3%15.3K-547.9K-3.9K3.20105.26N/AN/A10322,791307
2023-05-15$19.52$20.0045.5%13.0%30.7%9.5%51.0%8.3%2.3%12.4K-439.8K-3.7K0.4594.15N/AN/A44202,787316
2023-05-16$20.40$20.0045.0%12.9%35.3%9.1%45.2%-4.2%4.2%22.0K-679.7K-3.9K0.8293.80N/AN/A65532,816311
2023-05-17$20.75$20.0053.3%15.3%34.6%15.3%45.0%27.0%5.6%50.4K-955.4K-4.4K1.03120.66N/AN/A7077272,865338
2023-05-18$21.42$20.0055.9%16.0%36.8%17.2%53.0%1.7%20.6%17.1K-1.1M-7.3K0.00115.11N/AN/A503,5651,046
2023-05-19$21.42$20.0044.1%12.7%36.6%8.5%0.0%6.8%-2.9%24.7K-1.2M-7.0K0.00107.59N/AN/A503,5701,046
2023-05-22$21.92$20.0045.5%13.0%36.6%9.4%46.1%14.6%-1.4%31.6K-1.4M-6.8K0.40101.63N/AN/A521,790996
2023-05-23$21.50$20.0053.3%15.3%35.8%15.2%0.0%-5.2%-9.3%8.2K-989.1K-6.6K0.00111.86N/AN/A001,795998
2023-05-24$21.50$20.0049.3%14.1%35.6%12.2%0.0%-1.1%-5.8%21.2K-1.1M-6.7K0.00113.47N/AN/A001,795998
2023-05-25$21.25$20.0048.5%13.9%35.2%11.7%0.0%-13.4%10.7%16.4K-1.1M-7.5K0.00111.21N/AN/A001,945998
2023-05-26$21.08$20.0060.2%17.2%35.1%20.3%46.5%21.6%-3.7%21.0K-1.2M-7.5K0.00108.47N/AN/A1001,945998
2023-05-30$21.17$20.0052.2%15.0%35.1%14.4%49.6%10.8%19.1%21.8K-1.1M-6.9K0.75119.87N/AN/A431,942998
2023-05-31$21.55$20.0060.6%17.4%33.8%20.6%54.7%3.5%-11.5%13.4K-1.3M-6.8K0.17106.10N/AN/A1831,9401,004