VERX Options History — August 2023

In August 2023, VERX traded between $17.78 and $22.77. ATM implied volatility averaged 51.2%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 2.2% (HV 20d: 49.0%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.31.

Notable Days

  • 2023-08-02: Highest Volume — 247 contracts
  • 2023-08-09: Largest IV drop — 25.9% change
  • 2023-08-07: Highest IV Rank — 61.1%
  • 2023-08-08: Largest Expected Move — 22.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.68$17.78$22.77$20.91$22.34
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV51.2%38.0%78.3%76.0%39.9%
Expected Move14.1%10.9%22.1%21.8%11.4%
HV 20d49.0%33.7%56.2%33.7%50.4%
HV 60d44.4%40.2%46.4%40.2%46.4%
IV Rank24.7%7.2%61.1%57.4%9.7%
IV Percentile26.5%0.8%88.5%85.7%1.6%
Term Structure0.3%-28.9%23.8%-28.9%-0.3%
VWIV48.4%32.5%77.9%54.2%77.9%
Skew 25d7.7%-7.2%35.9%12.8%0.1%
Skew 10d11.8%-7.8%40.0%20.5%0.1%
Call IV 25d45.6%32.3%63.1%54.8%39.9%
Put IV 25d53.3%31.1%83.1%67.5%39.9%
Bid-Ask Spread %97.2273.98112.5495.8598.36
Gamma HHI0.340.240.460.240.44
Net GEX16.8K-2.3K41.3K19.1K41.1K
Net DEX-760.7K-1.7M158.8K-841.6K-1.6M
Net VEX-4.9K-6.1K-4.0K-6.1K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.003.330.000.00
Total Volume5502471114
Total OI1,977.2611,7672,1242,0192,123

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$20.91$20.0076.0%21.8%33.7%57.4%0.0%12.8%-28.9%19.1K-841.6K-6.1K0.0095.85N/AN/A1101,316703
2023-08-02$20.05$20.0056.5%16.2%36.6%31.5%0.0%12.7%23.8%14.6K-647.3K-6.1K0.2594.95N/AN/A197501,306703
2023-08-03$19.87$20.0069.0%14.3%35.6%48.1%54.2%6.2%-0.1%8.6K-478.5K-5.4K0.0097.23N/AN/A2001,209753
2023-08-04$19.25$20.0064.5%16.9%37.8%42.1%0.0%-0.1%-20.4%7.3K-326.5K-5.3K0.00103.64N/AN/A001,203753
2023-08-07$18.76$20.0078.3%14.4%37.9%61.1%55.7%-2.7%-5.0%-958-103.7K-4.9K0.0086.98N/AN/A1201,203753
2023-08-08$17.78$20.0071.1%22.1%42.5%51.5%76.2%9.1%-2.8%121158.8K-4.5K0.1673.98N/AN/A192311,212753
2023-08-09$19.45$20.0052.7%15.1%53.4%26.8%0.0%19.3%-17.3%1.2K-208.0K-4.8K1.67101.70N/AN/A351,204784
2023-08-10$19.13$20.0052.9%15.2%53.8%27.2%0.0%-4.7%-1.0%-2.3K-142.0K-4.7K0.0093.22N/AN/A101,201786
2023-08-11$19.13$20.0052.3%15.0%53.8%26.3%0.0%-7.2%1.4%-2.3K-160.6K-4.7K0.00108.85N/AN/A101,201786
2023-08-14$19.52$20.0041.6%11.9%51.7%12.1%0.0%3.8%5.0%-582-228.1K-4.4K0.00106.59N/AN/A041,201786
2023-08-15$20.33$20.0042.8%12.3%53.6%13.6%43.6%3.1%4.2%13.5K-548.3K-4.4K0.0096.15N/AN/A701,201786
2023-08-16$20.52$20.0044.6%12.8%53.4%16.1%41.9%19.1%3.8%11.6K-606.6K-4.5K0.0093.39N/AN/A2701,201786
2023-08-17$20.20$20.0045.4%13.0%52.9%17.0%32.5%-4.9%12.9%9.9K-559.6K-4.5K0.00112.54N/AN/A17001,214786
2023-08-18$20.69$20.0040.5%11.6%53.4%10.5%36.7%8.2%6.0%11.7K-626.1K-4.2K3.33108.56N/AN/A3101,094786
2023-08-21$21.82$20.0045.8%13.1%56.2%17.6%45.2%1.5%0.1%23.7K-873.3K-4.0K0.0192.34N/AN/A16311,037730
2023-08-22$22.14$20.0047.8%13.7%54.5%20.4%47.8%35.9%16.5%27.8K-1.2M-4.7K0.02108.57N/AN/A16631,187730
2023-08-23$22.01$20.0044.1%12.7%54.6%15.4%44.2%18.1%0.6%26.9K-1.2M-4.9K0.06101.33N/AN/A5031,188732
2023-08-24$22.20$20.0043.7%12.5%53.2%14.8%49.3%-1.2%2.0%28.5K-1.3M-4.9K0.00109.09N/AN/A4601,188732
2023-08-25$22.14$20.0041.7%11.9%53.0%12.1%41.5%13.2%6.1%32.4K-1.4M-4.8K0.0083.28N/AN/A1501,226732
2023-08-28$22.07$20.0040.4%11.6%52.5%10.3%40.7%16.0%0.5%34.8K-1.3M-4.7K0.7589.82N/AN/A16121,228732
2023-08-29$22.46$20.0038.0%10.9%52.7%7.2%38.0%15.3%4.7%41.3K-1.6M-5.5K0.1686.82N/AN/A1931,378740
2023-08-30$22.77$20.0047.4%13.6%49.9%19.7%77.9%4.2%-5.9%38.9K-1.7M-5.6K0.0092.90N/AN/A1001,381743
2023-08-31$22.34$20.0039.9%11.4%50.4%9.7%0.0%0.1%-0.3%41.1K-1.6M-5.5K0.0098.36N/AN/A1401,380743