VERX Options History — July 2023

In July 2023, VERX traded between $18.09 and $20.67. ATM implied volatility averaged 59.0%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded above realized volatility by 17.7% (HV 20d: 41.3%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 12.12.

Notable Days

  • 2023-07-06: Highest Volume — 356 contracts
  • 2023-07-05: Largest IV spike — 58.9% change
  • 2023-07-31: Highest IV Rank — 63.3%
  • 2023-07-31: Largest Expected Move — 23.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.29$18.09$20.67$18.92$20.67
Max Pain$19.00$17.50$20.00$20.00$20.00
ATM IV59.0%40.2%80.5%41.2%80.5%
Expected Move16.3%11.5%23.1%11.8%23.1%
HV 20d41.3%31.8%50.5%50.3%36.2%
HV 60d38.9%38.1%40.1%38.1%40.1%
IV Rank28.2%5.5%63.3%6.3%63.3%
IV Percentile46.8%1.2%90.9%1.6%90.9%
Term Structure-5.5%-25.7%33.1%5.4%-25.7%
VWIV56.6%43.8%66.9%51.0%43.8%
Skew 25d10.2%-13.3%34.3%-1.2%34.3%
Skew 10d18.9%-4.2%45.0%8.5%20.6%
Call IV 25d51.2%35.7%59.6%55.1%40.7%
Put IV 25d61.4%44.9%78.4%53.9%74.9%
Bid-Ask Spread %98.3987.36112.61110.7893.13
Gamma HHI0.260.230.360.360.24
Net GEX23.0K10.1K38.1K36.2K17.5K
Net DEX-544.0K-850.2K-283.9K-589.2K-850.2K
Net VEX-6.3K-6.8K-5.7K-5.8K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.120.00154.00154.000.00
Total Volume59.75035615532
Total OI2,438.652,0372,7862,3172,050

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$18.92$20.0041.2%11.8%50.3%6.3%51.0%-1.2%5.4%36.2K-589.2K-5.8K154.00110.78N/AN/A11541,887430
2023-07-05$18.53$20.0065.5%18.8%50.5%24.2%53.6%9.3%-4.5%25.9K-429.0K-6.1K0.00109.42N/AN/A2201,888543
2023-07-06$18.13$17.5066.6%17.6%50.0%25.1%0.0%-13.3%-14.6%26.8K-385.3K-5.8K0.1697.51N/AN/A308481,897543
2023-07-07$18.09$17.5075.7%16.3%48.9%31.8%0.0%-8.8%-7.6%21.4K-295.7K-5.7K38.5098.31N/AN/A2771,897583
2023-07-10$18.62$17.5071.5%18.9%49.0%28.6%52.8%8.5%-23.4%29.6K-510.4K-6.5K0.7489.76N/AN/A35261,897659
2023-07-11$18.63$17.5069.0%16.1%49.1%26.8%0.0%22.1%-4.7%21.0K-283.9K-6.0K0.0094.63N/AN/A0171,924684
2023-07-12$18.88$17.5040.2%11.5%49.7%5.5%61.7%12.8%33.1%25.4K-511.0K-6.5K2.20107.30N/AN/A10221,924701
2023-07-13$18.88$17.5061.0%17.5%49.8%20.9%0.0%16.0%-8.8%24.0K-401.3K-6.2K0.0095.96N/AN/A201,929693
2023-07-14$18.76$17.5058.6%16.8%49.8%34.3%53.8%13.1%-4.5%21.8K-323.8K-6.1K0.0096.21N/AN/A10801,930693
2023-07-17$19.63$17.5057.9%16.6%36.8%33.4%56.8%13.7%-9.1%38.1K-642.8K-6.8K6.6097.00N/AN/A5332,037693
2023-07-18$19.89$20.0050.1%14.4%35.9%23.1%66.9%27.0%11.8%36.3K-809.4K-6.8K0.02112.61N/AN/A11622,038715
2023-07-19$19.66$20.0060.4%17.3%34.8%36.7%64.9%5.1%-16.7%27.5K-625.2K-6.6K0.0499.04N/AN/A5422,042715
2023-07-20$19.18$20.0045.1%12.9%33.0%16.5%61.5%22.9%0.6%26.6K-562.6K-6.5K14.00110.25N/AN/A1142,060714
2023-07-21$19.20$20.0052.4%15.0%32.9%26.1%0.0%-0.0%-7.0%10.1K-381.9K-6.1K0.3887.36N/AN/A1352,060726
2023-07-24$19.48$20.0056.3%16.1%31.8%31.3%58.7%16.6%-7.2%11.2K-520.2K-6.1K0.8394.41N/AN/A12101,338700
2023-07-25$20.35$20.0057.8%16.6%34.1%33.2%55.6%-3.6%-5.8%15.4K-744.5K-6.6K0.4589.71N/AN/A22101,345710
2023-07-26$20.34$20.0057.8%16.6%34.1%33.3%54.6%9.4%-8.5%16.5K-730.4K-6.2K0.0798.53N/AN/A1511,337700
2023-07-27$19.76$20.0056.3%16.2%34.8%31.3%43.8%7.2%-5.7%12.7K-619.2K-6.2K0.1497.20N/AN/A1421,340701
2023-07-28$20.17$20.0056.6%16.2%35.3%31.7%0.0%12.3%-7.2%15.0K-663.8K-6.1K0.0088.72N/AN/A001,347703
2023-07-31$20.67$20.0080.5%23.1%36.2%63.3%0.0%34.3%-25.7%17.5K-850.2K-6.4K0.0093.13N/AN/A3201,347703