VERX Options History — November 2023

In November 2023, VERX traded between $21.98 and $28.95. ATM implied volatility averaged 54.2%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 18.9% (HV 20d: 73.1%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 5.36.

Notable Days

  • 2023-11-09: Highest Volume — 2,713 contracts
  • 2023-11-20: Largest IV spike — 41.8% change
  • 2023-11-07: Highest IV Rank — 78.6%
  • 2023-11-01: Largest Expected Move — 24.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.13$21.98$28.95$23.59$27.89
Max Pain$20.12$20.00$22.50$22.50$20.00
ATM IV54.2%32.3%88.1%86.0%32.3%
Expected Move14.2%9.2%24.7%24.7%9.2%
HV 20d73.1%34.4%87.7%35.7%85.7%
HV 60d51.9%36.0%57.7%40.0%57.6%
IV Rank30.5%0.0%78.6%75.7%0.0%
IV Percentile38.5%0.0%98.0%97.6%0.0%
Term Structure-0.8%-27.2%28.4%-27.2%4.1%
VWIV58.2%24.5%142.9%73.2%142.9%
Skew 25d5.8%-0.3%30.5%5.1%10.1%
Skew 10d9.3%-1.1%17.5%13.8%8.2%
Call IV 25d46.9%35.3%72.7%72.7%35.3%
Put IV 25d52.7%41.6%85.9%77.8%45.4%
Bid-Ask Spread %77.1139.6498.5563.2198.55
Gamma HHI0.490.280.800.700.30
Net GEX67.1K5.7K133.7K93.6K40.8K
Net DEX-3.8M-6.4M-806.5K-2.6M-3.3M
Net VEX-7.0K-8.9K-5.4K-7.0K-7.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.360.0055.560.000.07
Total Volume425.143112,71360425
Total OI3,558.0952,0186,0242,6522,435

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$23.59$22.5086.0%24.7%35.7%75.7%73.2%5.1%-27.2%93.6K-2.6M-7.0K0.0063.21N/AN/A6002,369283
2023-11-02$23.18$20.0078.9%15.5%36.2%65.6%52.6%5.7%-2.9%95.1K-2.4M-6.7K0.3465.27N/AN/A44152,360283
2023-11-03$23.55$20.0075.5%12.8%34.4%60.7%57.3%30.5%28.4%102.6K-2.6M-6.7K55.5682.33N/AN/A95002,392298
2023-11-06$21.98$20.0075.6%16.7%41.4%60.9%54.4%4.2%-7.0%60.6K-1.6M-6.5K6.9368.70N/AN/A694782,399779
2023-11-07$23.41$20.0088.1%17.6%47.9%78.6%58.9%5.8%-8.8%88.2K-2.6M-7.4K15.5768.70N/AN/A671,0432,6731,279
2023-11-08$22.46$20.0079.0%22.6%49.9%65.7%66.6%4.4%-16.2%5.7K-806.5K-8.9K22.9370.76N/AN/A541,2382,6842,279
2023-11-09$27.30$20.0051.0%14.6%85.3%26.0%47.7%6.6%-1.5%99.3K-6.0M-5.4K1.4180.06N/AN/A1,1281,5852,7333,291
2023-11-10$27.27$20.0051.6%14.8%85.3%26.9%49.7%5.3%-6.3%105.3K-6.2M-6.3K0.2488.23N/AN/A220522,7852,363
2023-11-13$27.19$20.0047.4%13.6%84.8%20.9%45.6%3.7%13.2%70.2K-6.4M-5.7K0.0186.80N/AN/A33242,8002,389
2023-11-14$27.66$20.0042.6%12.2%84.8%14.2%45.7%2.3%-0.1%41.3K-5.9M-5.4K0.1290.74N/AN/A291362,5262,391
2023-11-15$26.04$20.0040.1%11.5%87.7%10.6%44.3%3.8%11.2%133.7K-4.7M-6.0K0.3295.12N/AN/A207662,4222,416
2023-11-16$26.26$20.0049.4%14.2%87.5%23.8%97.7%9.2%8.9%120.0K-5.0M-7.2K0.0092.96N/AN/A1502,6242,454
2023-11-17$26.35$20.0042.5%12.2%86.0%14.0%41.9%-0.3%-0.2%40.4K-5.2M-6.9K0.6982.59N/AN/A1392,6302,454
2023-11-20$27.17$20.0060.3%17.3%86.4%39.2%41.1%1.9%-21.6%40.4K-3.1M-6.9K1.1176.25N/AN/A62691,673345
2023-11-21$27.09$20.0043.0%12.3%86.4%14.6%42.8%2.2%-3.0%42.6K-2.9M-6.8K0.0089.64N/AN/A1101,655414
2023-11-22$27.19$20.0034.0%9.7%86.2%1.9%24.5%3.5%16.7%38.1K-2.9M-7.2K0.2176.54N/AN/A227471,666414
2023-11-24$27.88$20.0039.2%11.2%86.4%9.2%46.1%4.1%4.4%49.0K-3.7M-7.5K0.1062.22N/AN/A102101,893458
2023-11-27$28.04$20.0036.6%10.5%85.9%5.6%45.2%0.7%-3.6%52.3K-3.8M-7.4K6.8839.64N/AN/A161101,965464
2023-11-28$28.26$20.0039.5%11.3%85.9%9.7%86.2%5.9%-0.6%48.4K-3.9M-8.1K0.0063.06N/AN/A27701,981581
2023-11-29$28.95$20.0044.7%12.8%84.7%17.0%0.0%7.7%-5.7%41.3K-3.7M-8.4K0.0077.85N/AN/A3701,839581
2023-11-30$27.89$20.0032.3%9.2%85.7%0.0%142.9%10.1%4.1%40.8K-3.3M-7.6K0.0798.55N/AN/A396291,854581