VERX Options History — October 2023

In October 2023, VERX traded between $22.09 and $24.38. ATM implied volatility averaged 55.5%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 16.4% (HV 20d: 39.0%). 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 6 of 22 days. Put/call ratio averaged 0.30.

Notable Days

  • 2023-10-17: Highest Volume — 1,424 contracts
  • 2023-10-30: Largest IV spike — 21.7% change
  • 2023-10-30: Highest IV Rank — 53.0%
  • 2023-10-30: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.38$22.09$24.38$23.06$24.09
Max Pain$22.05$20.00$22.50$22.50$22.50
ATM IV55.5%42.3%70.0%46.9%70.0%
Expected Move16.4%13.2%20.1%13.5%20.1%
HV 20d39.0%34.1%41.6%34.1%39.6%
HV 60d42.0%40.2%42.8%40.2%41.4%
IV Rank32.4%13.7%53.0%20.2%52.9%
IV Percentile48.6%8.3%88.9%19.0%88.5%
Term Structure-4.7%-21.6%16.6%3.5%-21.6%
VWIV56.3%29.2%74.1%35.1%74.1%
Skew 25d4.8%-6.3%16.0%16.0%1.5%
Skew 10d15.1%-10.1%47.4%0.8%-0.6%
Call IV 25d54.7%33.2%74.7%33.2%74.7%
Put IV 25d59.6%49.0%76.2%49.2%76.2%
Bid-Ask Spread %69.0053.56103.7298.0064.68
Gamma HHI0.520.360.720.450.71
Net GEX78.5K44.6K175.0K46.7K99.6K
Net DEX-2.5M-4.5M-1.3M-1.6M-2.9M
Net VEX-6.5K-8.3K-5.1K-5.1K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.002.500.430.00
Total Volume125.31821,4243038
Total OI2,308.3641,5763,5601,5762,632

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$23.06$22.5046.9%13.5%34.1%20.2%35.1%16.0%3.5%46.7K-1.6M-5.1K0.4398.00N/AN/A2191,286290
2023-10-03$22.09$22.5050.2%14.4%35.2%24.9%49.7%3.9%16.6%44.6K-1.3M-5.2K1.0094.17N/AN/A111,305299
2023-10-04$23.34$22.5048.8%14.0%40.0%23.0%50.6%-3.8%3.1%62.8K-2.1M-5.4K0.00103.72N/AN/A34201,513300
2023-10-05$23.18$22.5047.9%14.7%39.3%21.6%53.4%12.8%-5.1%57.3K-2.0M-6.4K0.4062.55N/AN/A35141,585300
2023-10-06$24.00$20.0042.3%15.9%40.4%13.7%58.3%-0.4%-5.7%54.6K-2.3M-6.3K0.0674.36N/AN/A5331,594308
2023-10-09$24.38$20.0046.6%15.8%40.6%19.8%54.8%2.9%-5.3%56.6K-2.5M-5.9K0.8165.21N/AN/A21171,596307
2023-10-10$24.29$20.0045.9%16.6%39.4%18.8%50.6%1.1%-6.5%57.8K-2.5M-6.0K0.0065.19N/AN/A1601,606317
2023-10-11$24.11$20.0047.4%13.6%37.1%20.9%49.5%6.1%-0.8%61.7K-2.5M-5.7K0.2267.57N/AN/A1841,605317
2023-10-12$23.35$22.5054.9%15.7%39.6%31.6%49.7%5.7%-2.9%60.9K-2.1M-5.9K0.0756.03N/AN/A3021,608339
2023-10-13$23.34$22.5046.0%13.2%39.1%19.0%29.2%9.8%1.1%76.2K-2.0M-5.8K0.0065.64N/AN/A301,598341
2023-10-16$22.88$22.5055.4%15.9%38.5%32.3%53.3%9.3%9.2%66.0K-1.8M-5.7K0.7657.08N/AN/A21161,601341
2023-10-17$23.25$22.5053.7%15.4%37.8%29.8%54.9%1.9%-0.6%75.5K-2.1M-5.5K0.0172.34N/AN/A1,410141,609340
2023-10-18$24.05$22.5059.0%16.9%38.9%37.3%55.8%1.7%-12.6%117.9K-4.0M-8.0K0.0071.70N/AN/A45202,777353
2023-10-19$23.80$22.5057.5%16.5%39.0%35.2%68.9%4.7%-8.6%175.0K-4.5M-8.3K0.2466.10N/AN/A41103,191353
2023-10-20$22.91$22.5067.9%19.5%41.6%49.9%64.9%-6.3%-12.2%76.6K-4.3M-7.8K0.0980.92N/AN/A4743,205355
2023-10-23$22.95$22.5063.6%18.2%40.4%44.0%62.8%0.0%-9.1%84.8K-2.2M-7.3K0.0053.64N/AN/A3002,298278
2023-10-24$23.34$22.5061.9%17.8%40.1%41.5%63.7%2.9%-6.3%90.9K-2.4M-7.6K0.0057.28N/AN/A1302,315278
2023-10-25$23.09$22.5061.4%17.6%39.9%40.8%68.2%1.8%-10.8%89.1K-2.3M-7.4K2.5058.69N/AN/A252,318278
2023-10-26$23.14$22.5065.2%18.7%39.9%46.2%61.0%13.5%-14.0%96.4K-2.3M-7.2K0.0069.10N/AN/A2502,318283
2023-10-27$22.79$22.5057.6%16.5%39.0%35.3%59.8%8.6%2.1%92.3K-2.2M-7.0K0.0060.43N/AN/A3702,332283
2023-10-30$22.90$22.5070.0%20.1%39.0%53.0%69.4%12.1%-17.4%84.6K-2.2M-7.0K0.0053.56N/AN/A202,349283
2023-10-31$24.09$22.5070.0%20.1%39.6%52.9%74.1%1.5%-21.6%99.6K-2.9M-7.1K0.0064.68N/AN/A3802,349283