VERX Options History — January 2024

In January 2024, VERX traded between $23.56 and $26.82. ATM implied volatility averaged 46.4%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 4.2% (HV 20d: 42.2%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 3.57.

Notable Days

  • 2024-01-19: Highest Volume — 316 contracts
  • 2024-01-09: Largest IV spike — 58.0% change
  • 2024-01-09: Highest IV Rank — 50.9%
  • 2024-01-02: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.04$23.56$26.82$26.82$24.30
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV46.4%35.6%68.3%52.6%45.1%
Expected Move12.9%10.2%15.1%15.1%12.9%
HV 20d42.2%33.8%49.6%37.3%45.4%
HV 60d59.0%57.2%60.4%57.2%59.6%
IV Rank20.0%4.7%50.9%28.7%18.1%
IV Percentile28.5%2.4%84.9%46.8%26.6%
Term Structure7.3%-8.1%18.2%-8.1%6.9%
VWIV47.3%36.9%70.2%52.3%45.3%
Skew 25d1.1%-10.8%10.1%6.6%-10.8%
Skew 10d2.3%-25.6%23.3%-25.6%-19.2%
Call IV 25d45.7%37.0%55.0%45.4%55.0%
Put IV 25d46.7%41.9%52.0%52.0%44.2%
Bid-Ask Spread %83.8371.4396.8284.0294.02
Gamma HHI0.260.200.350.350.20
Net GEX28.7K6.7K44.4K44.4K6.7K
Net DEX-1.4M-2.1M-828.0K-2.1M-992.3K
Net VEX-8.5K-9.5K-7.4K-8.7K-8.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.570.0055.000.030.27
Total Volume69.28663163514
Total OI2,584.9052,3922,8792,3922,749

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$26.82$25.0052.6%15.1%37.3%28.7%52.3%6.6%-8.1%44.4K-2.1M-8.7K0.0384.02N/AN/A3411,949443
2024-01-03$25.80$25.0049.2%14.1%38.2%23.9%48.7%-2.9%-4.3%38.9K-1.7M-8.6K0.1488.96N/AN/A76111,978444
2024-01-04$25.67$25.0042.2%13.2%34.2%14.0%44.1%5.4%4.0%34.6K-1.7M-7.9K0.2571.43N/AN/A85211,990444
2024-01-05$25.29$25.0054.5%12.3%33.8%31.3%41.9%3.3%7.2%37.1K-1.5M-8.4K0.0076.99N/AN/A1902,015457
2024-01-08$24.95$25.0043.3%12.3%33.9%15.5%42.9%4.0%14.5%30.7K-1.3M-7.8K0.3377.65N/AN/A622,010457
2024-01-09$25.50$25.0068.3%12.6%35.4%50.9%43.7%3.9%11.8%40.1K-1.6M-8.4K0.0085.52N/AN/A3402,015454
2024-01-10$25.67$25.0042.3%12.1%35.6%14.2%42.3%5.3%6.6%20.1K-1.6M-7.7K0.0083.57N/AN/A2202,160454
2024-01-11$23.60$25.0045.0%12.9%44.9%17.9%44.5%10.1%7.2%26.9K-828.0K-7.4K1.2772.23N/AN/A45572,148454
2024-01-12$23.56$25.0044.5%12.7%44.1%17.2%36.9%0.7%9.0%26.4K-889.2K-7.8K0.6483.59N/AN/A22142,164499
2024-01-16$24.23$25.0044.4%12.7%45.4%17.1%46.7%1.9%7.3%26.6K-1.0M-7.6K1.6585.32N/AN/A60992,158506
2024-01-17$25.52$25.0046.7%13.4%49.6%20.3%47.3%1.6%5.9%29.0K-1.5M-8.5K0.3673.98N/AN/A127462,146597
2024-01-18$25.15$25.0035.6%10.2%49.6%4.7%39.6%0.1%18.2%19.7K-1.4M-8.7K0.6085.15N/AN/A532,257621
2024-01-19$25.36$25.0045.2%13.0%49.3%18.3%45.4%2.3%5.7%27.1K-1.7M-9.2K0.0077.08N/AN/A31602,258621
2024-01-22$25.49$25.0046.1%13.2%44.8%19.5%46.6%1.2%8.0%35.9K-1.7M-9.5K0.2585.25N/AN/A821,959515
2024-01-23$25.10$25.0045.6%13.1%44.1%18.9%49.1%1.8%8.7%34.2K-1.6M-9.2K55.0089.32N/AN/A1551,963515
2024-01-24$24.45$25.0045.3%13.0%43.8%18.4%45.0%0.4%8.8%26.9K-1.3M-8.9K0.0091.68N/AN/A1001,963568
2024-01-25$24.33$25.0044.9%12.9%43.7%17.8%54.1%-2.8%8.7%25.5K-1.2M-8.8K0.0078.12N/AN/A601,968568
2024-01-26$24.76$25.0044.0%12.6%44.4%16.5%60.5%-3.2%10.1%29.0K-1.4M-8.8K0.1786.29N/AN/A611,971568
2024-01-29$25.30$25.0046.0%13.2%44.5%19.4%46.0%-0.1%7.3%31.7K-1.6M-8.8K13.9493.50N/AN/A162231,970568
2024-01-30$25.02$25.0044.6%12.8%44.5%17.5%70.2%-6.0%10.6%9.9K-1.3M-9.0K0.0096.82N/AN/A801,986753
2024-01-31$24.30$25.0045.1%12.9%45.4%18.1%45.3%-10.8%6.9%6.7K-992.3K-8.9K0.2794.02N/AN/A1131,996753