VERX Options History — December 2023

In December 2023, VERX traded between $25.75 and $29.59. ATM implied volatility averaged 44.6%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 3.8% (HV 20d: 48.4%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.60.

Notable Days

  • 2023-12-05: Highest Volume — 191 contracts
  • 2023-12-11: Largest IV spike — 34.9% change
  • 2023-12-12: Highest IV Rank — 40.9%
  • 2023-12-22: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.61$25.75$29.59$27.73$26.91
Max Pain$24.75$20.00$25.00$20.00$25.00
ATM IV44.6%32.7%61.3%32.7%38.2%
Expected Move11.9%9.4%15.2%9.4%11.0%
HV 20d48.4%32.5%85.5%85.3%37.3%
HV 60d57.9%57.1%59.0%57.5%57.2%
IV Rank17.4%0.7%40.9%0.7%8.4%
IV Percentile21.5%0.8%69.0%0.8%3.6%
Term Structure0.3%-15.6%21.7%-0.9%9.3%
VWIV41.0%24.0%46.1%43.6%36.2%
Skew 25d4.0%-0.4%13.5%0.8%-0.4%
Skew 10d5.5%-10.2%14.5%-1.4%-10.2%
Call IV 25d40.8%38.4%46.0%42.4%42.0%
Put IV 25d44.8%40.9%55.6%43.1%41.6%
Bid-Ask Spread %85.3568.08101.42100.5180.89
Gamma HHI0.340.260.420.300.34
Net GEX47.6K36.1K61.8K49.0K43.7K
Net DEX-2.9M-4.2M-1.7M-3.3M-2.1M
Net VEX-9.3K-9.8K-8.7K-9.2K-9.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.003.730.030.24
Total Volume57.0501914021
Total OI2,623.22,1813,0362,5972,384

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$27.73$20.0032.7%9.4%85.3%0.7%0.0%0.8%-0.9%49.0K-3.3M-9.2K0.03100.51N/AN/A3911,987610
2023-12-04$28.41$25.0043.9%11.4%85.5%16.4%43.6%4.2%1.3%50.7K-3.6M-9.8K1.9276.02N/AN/A13252,017611
2023-12-05$29.59$25.0042.2%11.5%80.9%14.0%44.3%4.3%0.9%60.0K-4.2M-9.3K0.2081.73N/AN/A159322,058622
2023-12-06$28.91$25.0047.6%10.3%79.9%21.6%38.4%1.4%4.7%56.5K-3.8M-9.6K0.1481.90N/AN/A114162,198632
2023-12-07$28.79$25.0046.9%11.6%77.7%20.6%46.1%4.4%-0.3%53.2K-3.8M-9.5K2.1279.89N/AN/A25532,275644
2023-12-08$28.61$25.0040.1%11.5%37.2%11.1%39.2%3.8%-2.1%58.1K-3.8M-9.5K0.0075.07N/AN/A14902,293623
2023-12-11$28.69$25.0054.1%10.9%37.2%30.8%41.0%3.9%1.0%59.6K-3.8M-9.5K0.0782.67N/AN/A1512,385623
2023-12-12$28.86$25.0061.3%11.1%37.2%40.9%44.4%3.0%-3.2%61.8K-3.9M-9.4K0.1268.08N/AN/A6582,398623
2023-12-13$27.91$25.0040.0%11.5%38.9%10.9%42.1%2.9%-0.6%42.3K-3.4M-9.1K0.4674.15N/AN/A37172,380629
2023-12-14$27.23$25.0040.8%11.7%33.1%12.1%41.4%2.5%1.6%39.3K-3.2M-9.1K1.3183.77N/AN/A13172,392624
2023-12-15$26.75$25.0033.8%9.7%33.8%2.1%24.0%6.5%21.7%38.1K-3.1M-9.4K0.0797.34N/AN/A2922,395641
2023-12-18$26.91$25.0045.3%13.0%33.8%18.3%43.4%2.9%-0.9%37.6K-2.1M-9.1K0.5689.76N/AN/A1691,799382
2023-12-19$27.33$25.0044.8%12.8%32.5%17.6%46.1%1.0%-15.6%40.8K-2.2M-8.7K0.1891.77N/AN/A2851,822378
2023-12-20$25.75$25.0044.1%12.6%38.8%16.7%44.0%13.5%-0.6%36.1K-1.7M-8.7K0.1994.36N/AN/A134261,826383
2023-12-21$26.37$25.0041.3%11.9%39.9%12.8%38.8%5.6%13.7%45.5K-2.0M-9.1K0.0073.86N/AN/A1101,939403
2023-12-22$26.97$25.0053.1%15.2%39.7%29.4%43.3%5.4%-13.7%46.8K-2.2M-9.1K3.7381.70N/AN/A11411,941403
2023-12-26$26.61$25.0045.4%13.0%39.8%18.6%0.0%7.9%0.2%42.3K-2.1M-9.4K0.0099.92N/AN/A001,941440
2023-12-27$26.68$25.0046.9%13.5%39.6%20.7%0.0%2.6%0.3%43.3K-2.1M-9.3K0.00101.42N/AN/A101,941440
2023-12-28$27.22$25.0049.8%14.3%39.3%24.8%40.1%3.1%-11.3%46.3K-2.3M-9.5K0.0092.11N/AN/A801,942440
2023-12-29$26.91$25.0038.2%11.0%37.3%8.4%36.2%-0.4%9.3%43.7K-2.1M-9.0K0.2480.89N/AN/A1741,944440