VERX Options History — June 2023

In June 2023, VERX traded between $18.52 and $22.88. ATM implied volatility averaged 55.6%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 16.1% (HV 20d: 39.5%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 3.13.

Notable Days

  • 2023-06-21: Highest Volume — 618 contracts
  • 2023-06-12: Largest IV spike — 68.4% change
  • 2023-06-13: Highest IV Rank — 35.5%
  • 2023-06-01: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.79$18.52$22.88$21.68$19.56
Max Pain$20.36$20.00$22.50$20.00$20.00
ATM IV55.6%38.6%80.8%62.6%38.6%
Expected Move14.9%11.1%18.0%18.0%11.1%
HV 20d39.5%22.6%49.6%33.5%49.3%
HV 60d37.5%32.4%56.1%56.1%37.9%
IV Rank16.9%4.4%35.5%22.1%4.4%
IV Percentile32.2%0.8%86.1%54.8%0.8%
Term Structure-1.6%-12.8%9.8%-5.8%9.8%
VWIV47.5%38.7%55.9%44.1%38.7%
Skew 25d8.4%-17.6%25.0%1.2%9.5%
Skew 10d13.1%-17.5%64.9%-17.5%15.8%
Call IV 25d44.3%32.2%54.9%47.4%39.2%
Put IV 25d52.7%33.5%69.7%48.6%48.7%
Bid-Ask Spread %105.1086.65120.03120.03102.40
Gamma HHI0.470.240.770.450.36
Net GEX53.6K-93.5K168.9K41.8K39.9K
Net DEX-1.6M-3.0M-565.9K-1.7M-726.6K
Net VEX-6.1K-7.3K-5.0K-7.0K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.130.0020.330.001.00
Total Volume76.810618022
Total OI2,709.3811,3423,4623,0682,297

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$21.68$20.0062.6%18.0%33.5%22.1%0.0%1.2%-5.8%41.8K-1.7M-7.0K0.00120.03N/AN/A002,0671,001
2023-06-02$21.64$20.0054.2%15.5%33.6%15.9%0.0%22.3%-7.0%41.0K-1.8M-6.9K0.00114.96N/AN/A002,0671,001
2023-06-05$21.48$22.5053.4%16.4%33.8%15.3%0.0%6.0%-8.1%39.2K-1.6M-7.3K0.00116.89N/AN/A002,2171,001
2023-06-06$21.80$22.5068.4%15.8%33.8%26.3%0.0%25.0%-12.8%43.6K-1.8M-7.0K0.00114.47N/AN/A002,2171,001
2023-06-07$22.24$22.5079.1%15.6%33.2%34.3%44.1%14.6%-10.6%52.9K-2.4M-6.9K0.00115.85N/AN/A12802,2171,001
2023-06-08$22.88$20.0050.2%15.5%34.1%13.0%46.5%7.5%-6.1%93.0K-2.9M-7.2K0.00110.40N/AN/A2202,3441,001
2023-06-09$22.82$20.0042.5%13.3%26.7%7.2%46.0%17.5%1.4%168.9K-2.9M-6.5K0.02106.95N/AN/A4812,3501,001
2023-06-12$22.80$20.0071.5%15.8%26.8%28.6%0.0%21.4%-7.2%107.5K-3.0M-6.7K0.0099.68N/AN/A5502,3921,004
2023-06-13$22.61$20.0080.8%12.9%26.3%35.5%55.1%10.9%2.0%112.9K-2.8M-6.7K0.0597.86N/AN/A2212,4371,004
2023-06-14$22.53$20.0045.4%13.0%22.6%9.4%45.6%13.1%2.1%166.7K-2.7M-6.3K0.0094.63N/AN/A4602,4371,005
2023-06-15$20.18$20.0053.3%15.3%46.3%15.2%50.3%0.2%5.7%-93.5K-565.9K-5.6K0.2486.65N/AN/A71172,4281,005
2023-06-16$20.70$20.0046.9%13.5%45.7%10.5%44.2%-0.2%2.8%29.4K-1.3M-5.2K0.23103.19N/AN/A62142,4591,003
2023-06-20$20.13$20.0048.5%13.9%46.7%11.7%49.2%5.4%2.7%27.3K-969.1K-5.2K0.0098.36N/AN/A1501,228114
2023-06-21$19.35$20.0043.9%12.6%47.3%8.3%54.7%-17.6%2.6%24.3K-885.3K-5.0K0.0199.34N/AN/A61351,230114
2023-06-22$19.39$20.0060.1%17.2%47.1%20.2%44.9%9.6%8.8%43.4K-949.3K-5.2K7.00106.61N/AN/A171,786119
2023-06-23$18.87$20.0055.9%16.0%47.7%17.2%55.9%2.4%-3.5%39.5K-917.9K-5.2K19.00101.28N/AN/A3571,785122
2023-06-26$18.52$20.0057.9%16.6%47.9%18.6%42.7%11.5%-1.0%34.9K-721.6K-5.1K4.21105.17N/AN/A19801,787178
2023-06-27$18.74$20.0050.4%14.5%48.3%13.1%0.0%2.4%-5.6%33.9K-682.8K-5.3K20.33103.89N/AN/A3611,798258
2023-06-28$19.26$20.0054.3%15.6%49.6%16.0%52.8%0.1%-4.9%37.8K-805.1K-6.2K1.16106.87N/AN/A891031,798318
2023-06-29$19.50$20.0049.0%14.1%49.4%12.1%41.3%13.6%1.2%40.3K-739.8K-6.4K0.00101.62N/AN/A4801,885420
2023-06-30$19.56$20.0038.6%11.1%49.3%4.4%38.7%9.5%9.8%39.9K-726.6K-6.3K1.00102.40N/AN/A11111,877420