VERX Options History — February 2024

In February 2024, VERX traded between $24.42 and $33.19. ATM implied volatility averaged 57.7%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 15.8% (HV 20d: 41.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.47.

Notable Days

  • 2024-02-29: Highest Volume — 1,652 contracts
  • 2024-02-29: Largest IV drop — 28.6% change
  • 2024-02-27: Highest IV Rank — 57.9%
  • 2024-02-27: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.74$24.42$33.19$25.13$33.19
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV57.7%42.9%69.8%42.9%46.1%
Expected Move17.0%13.2%20.0%14.9%13.2%
HV 20d41.8%32.6%101.4%45.5%101.4%
HV 60d44.5%38.6%68.1%59.9%68.1%
IV Rank38.6%15.0%57.9%15.0%21.3%
IV Percentile65.9%16.7%90.1%16.7%33.7%
Term Structure-8.2%-17.6%0.4%-2.9%0.4%
VWIV62.2%47.3%77.8%77.8%47.3%
Skew 25d3.3%-5.0%16.8%-5.0%5.6%
Skew 10d6.6%-16.0%37.0%1.3%18.1%
Call IV 25d60.4%45.4%69.1%59.2%45.4%
Put IV 25d63.7%51.0%84.2%54.2%51.0%
Bid-Ask Spread %81.0134.6495.3785.0674.60
Gamma HHI0.290.200.410.240.29
Net GEX26.1K-16.6K80.8K10.4K80.8K
Net DEX-2.3M-7.3M-1.4M-1.4M-7.3M
Net VEX-10.1K-12.4K-8.9K-8.9K-12.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.002.000.000.57
Total Volume194.881,6523171,652
Total OI3,136.12,7443,5962,7563,596

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-02-01$25.13$25.0042.9%14.9%45.5%15.0%77.8%-5.0%-2.9%10.4K-1.4M-8.9K0.0085.06N/AN/A31612,006750
2024-02-02$25.73$25.0045.5%15.5%46.3%18.6%54.3%0.2%-4.2%18.6K-2.0M-9.9K0.0074.94N/AN/A2702,165751
2024-02-05$25.44$25.0046.1%15.7%46.2%19.5%55.3%0.4%-4.7%12.1K-1.8M-9.6K0.2481.52N/AN/A2562,159751
2024-02-06$25.17$25.0045.6%15.5%46.1%18.8%54.6%1.8%-4.3%8.8K-1.7M-9.4K1.9283.80N/AN/A13252,157754
2024-02-07$25.09$25.0054.6%15.7%45.4%31.6%54.9%8.1%-6.4%-938-1.7M-9.2K0.1082.34N/AN/A2122,150761
2024-02-08$25.78$25.0055.8%16.0%46.4%33.2%65.3%5.8%-5.9%11.8K-2.0M-9.4K0.7382.82N/AN/A3022192,156761
2024-02-09$26.48$25.0058.4%16.7%35.0%40.3%54.2%2.1%-9.0%19.6K-2.4M-10.7K1.7580.29N/AN/A16282,474951
2024-02-12$25.87$25.0060.0%17.2%36.4%42.8%59.0%2.8%-8.6%10.5K-2.1M-10.4K0.2957.13N/AN/A68202,483931
2024-02-13$25.24$25.0060.4%17.3%36.7%43.4%62.1%1.8%-8.2%4.0K-1.8M-9.9K0.0480.55N/AN/A5322,524918
2024-02-14$25.93$25.0059.8%17.1%33.1%42.4%60.6%0.6%-10.7%8.0K-2.3M-10.1K0.5477.55N/AN/A41222,514903
2024-02-15$26.03$25.0059.9%17.2%32.6%42.6%59.7%0.8%-7.0%33.1K-2.2M-10.2K2.0034.64N/AN/A19382,538925
2024-02-16$25.34$25.0057.2%16.4%34.0%38.5%58.9%6.3%-5.2%-16.6K-1.9M-9.7K0.3894.91N/AN/A1662,545896
2024-02-20$24.55$25.0061.9%17.8%35.8%45.8%73.8%-0.3%-14.5%36.0K-1.7M-9.0K0.3388.33N/AN/A622,188556
2024-02-21$24.42$25.0063.7%18.3%35.4%48.5%63.2%-3.6%-10.5%36.1K-1.7M-9.0K0.0086.41N/AN/A63002,188556
2024-02-22$25.15$25.0066.2%19.0%35.8%52.4%70.4%5.7%-17.6%46.5K-2.3M-10.5K0.0087.94N/AN/A902,514556
2024-02-23$24.63$25.0067.3%19.3%36.6%54.1%68.1%3.8%-15.0%46.9K-2.2M-10.7K0.0887.64N/AN/A1212,521556
2024-02-26$25.11$25.0067.8%19.4%36.7%54.8%69.1%16.8%-12.3%47.8K-2.3M-10.2K0.1193.98N/AN/A1822,509557
2024-02-27$25.31$25.0069.8%20.0%36.0%57.9%69.3%5.0%-9.5%48.3K-2.4M-10.4K0.1395.37N/AN/A2432,514559
2024-02-28$25.30$25.0064.5%18.5%35.7%49.8%65.5%6.5%-7.6%60.9K-2.7M-12.0K0.1290.38N/AN/A225262,869560
2024-02-29$33.19$25.0046.1%13.2%101.4%21.3%47.3%5.6%0.4%80.8K-7.3M-12.4K0.5774.60N/AN/A1,0496033,014582