VERX Options History — September 2023

In September 2023, VERX traded between $20.48 and $23.09. ATM implied volatility averaged 50.3%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 15.0% (HV 20d: 35.3%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.46.

Notable Days

  • 2023-09-27: Highest Volume — 268 contracts
  • 2023-09-07: Largest IV spike — 106.1% change
  • 2023-09-07: Highest IV Rank — 86.4%
  • 2023-09-20: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.77$20.48$23.09$22.63$23.09
Max Pain$22.38$20.00$22.50$20.00$22.50
ATM IV50.3%33.9%97.1%50.3%40.7%
Expected Move12.2%9.7%14.7%14.4%11.7%
HV 20d35.3%30.0%49.5%48.5%34.3%
HV 60d42.5%40.2%46.9%46.3%40.2%
IV Rank24.1%1.8%86.4%23.7%11.5%
IV Percentile25.8%0.4%98.8%23.4%6.0%
Term Structure7.7%-8.7%25.5%-8.7%13.5%
VWIV43.6%34.9%56.3%52.3%45.7%
Skew 25d3.8%-4.2%14.5%2.3%-1.4%
Skew 10d13.6%-7.2%95.3%-7.2%-1.7%
Call IV 25d42.2%33.1%52.5%43.6%45.6%
Put IV 25d46.0%37.5%57.0%45.8%44.2%
Bid-Ask Spread %99.5983.52124.54111.2291.07
Gamma HHI0.420.300.610.400.48
Net GEX36.7K24.8K64.7K42.3K44.4K
Net DEX-1.2M-1.7M-841.4K-1.7M-1.6M
Net VEX-5.2K-6.0K-4.7K-5.3K-5.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.003.330.000.00
Total Volume47.802682935
Total OI1,848.31,2862,3862,1341,550

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$22.63$20.0050.3%14.4%48.5%23.7%0.0%2.3%-8.7%42.3K-1.7M-5.3K0.00111.22N/AN/A0291,391743
2023-09-05$21.84$22.5084.2%14.6%49.5%69.1%52.3%4.8%14.6%31.1K-1.3M-5.4K0.0090.75N/AN/A20411,391772
2023-09-06$21.68$22.5047.1%11.5%44.4%19.4%40.1%7.8%5.7%46.1K-1.5M-6.0K0.0088.19N/AN/A0201,591772
2023-09-07$22.23$22.5097.1%11.7%33.5%86.4%39.5%7.1%4.3%47.1K-1.6M-5.8K0.0093.73N/AN/A401,591791
2023-09-08$21.91$22.5067.1%11.5%33.4%46.1%0.0%0.4%5.2%50.4K-1.6M-5.5K0.0085.09N/AN/A101,593791
2023-09-11$21.94$22.5044.5%10.5%33.3%15.9%39.2%3.2%4.0%64.7K-1.6M-5.4K2.0083.52N/AN/A121,592791
2023-09-12$21.44$22.5066.4%11.9%34.5%45.2%34.9%-1.8%4.1%49.7K-1.3M-5.3K2.0088.88N/AN/A481,591793
2023-09-13$20.77$22.5039.3%11.3%34.1%9.0%39.8%1.9%8.4%36.1K-1.0M-5.4K0.2790.00N/AN/A2261,591795
2023-09-14$20.76$22.5038.9%11.1%34.0%8.8%0.0%3.0%10.7%36.3K-1.0M-5.0K0.0095.72N/AN/A3701,591767
2023-09-15$20.48$22.5033.9%9.7%33.8%1.8%43.0%-0.8%6.3%24.9K-967.4K-4.7K0.00108.38N/AN/A901,556767
2023-09-18$21.23$22.5039.2%11.2%35.2%9.3%39.4%5.5%14.3%27.1K-877.0K-4.9K0.00102.43N/AN/A1901,061277
2023-09-19$20.83$22.5049.1%14.1%30.0%23.3%0.0%14.5%10.9%27.2K-841.4K-4.9K0.00112.47N/AN/A001,079277
2023-09-20$21.21$22.5051.3%14.7%30.3%26.4%44.0%-2.5%17.6%27.7K-848.9K-4.9K0.00124.54N/AN/A301,079277
2023-09-21$21.59$22.5046.0%13.2%31.1%19.0%52.1%3.7%0.7%28.4K-984.1K-4.9K3.33111.62N/AN/A3101,079277
2023-09-22$21.95$22.5040.4%11.6%31.5%11.0%40.4%12.1%8.4%30.1K-1.0M-5.0K0.00114.62N/AN/A20101,081281
2023-09-25$22.59$22.5040.4%11.6%33.2%11.0%0.0%-0.4%-0.1%24.8K-1.1M-4.9K0.0098.09N/AN/A101,005281
2023-09-26$22.16$22.5044.2%12.7%33.9%16.4%56.3%-4.2%3.6%24.8K-1.0M-4.8K0.00105.74N/AN/A1001,005281
2023-09-27$22.55$22.5044.9%12.9%33.9%17.4%45.8%8.0%4.6%25.7K-1.1M-4.7K0.0199.04N/AN/A26531,012281
2023-09-28$22.45$22.5041.3%11.9%33.6%12.3%42.1%12.6%25.5%45.3K-1.4M-5.2K0.1296.75N/AN/A5261,239284
2023-09-29$23.09$22.5040.7%11.7%34.3%11.5%45.7%-1.4%13.5%44.4K-1.6M-5.3K0.0091.07N/AN/A3501,260290