VERX Options History — March 2024

In March 2024, VERX traded between $29.23 and $33.64. ATM implied volatility averaged 43.9%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 61.1% (HV 20d: 105.0%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.34.

Notable Days

  • 2024-03-04: Highest Volume — 1,793 contracts
  • 2024-03-22: Largest IV spike — 33.3% change
  • 2024-03-11: Highest IV Rank — 39.4%
  • 2024-03-08: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.13$29.23$33.64$33.64$31.74
Max Pain$29.25$25.00$35.00$25.00$30.00
ATM IV43.9%35.8%57.8%48.1%36.8%
Expected Move12.3%10.3%15.4%13.8%10.5%
HV 20d105.0%45.4%110.2%101.2%45.4%
HV 60d70.2%68.0%71.2%68.0%69.7%
IV Rank17.9%5.5%39.4%24.4%7.0%
IV Percentile24.0%2.8%72.2%40.9%3.6%
Term Structure8.2%-6.8%19.1%-2.2%14.4%
VWIV44.5%35.9%55.6%50.2%36.5%
Skew 25d3.3%-3.1%15.9%1.4%0.4%
Skew 10d4.3%-4.3%18.0%-1.6%4.8%
Call IV 25d43.4%31.9%51.3%51.3%36.3%
Put IV 25d46.7%36.7%57.4%52.7%36.7%
Bid-Ask Spread %81.6562.6098.1179.4991.30
Gamma HHI0.350.240.670.330.39
Net GEX116.5K44.4K284.3K72.4K148.0K
Net DEX-5.5M-7.4M-4.3M-7.0M-7.4M
Net VEX-16.0K-19.6K-13.7K-13.9K-19.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.011.011.010.34
Total Volume320.95321,79327047
Total OI4,296.952,9635,0754,2224,703

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$33.64$25.0048.1%13.8%101.2%24.4%50.2%1.4%-2.2%72.4K-7.0M-13.9K1.0179.49N/AN/A1341363,1731,049
2024-03-04$30.20$35.0056.7%13.8%110.0%37.7%47.9%-0.5%0.9%44.4K-4.9M-13.7K0.2783.34N/AN/A1,4103833,2101,011
2024-03-05$29.73$30.0049.9%13.6%110.2%27.2%48.1%1.2%2.8%73.2K-5.3M-15.4K0.1864.32N/AN/A92173,495817
2024-03-06$29.62$30.0044.0%13.7%110.0%18.0%50.8%5.3%3.0%81.4K-5.4M-15.5K0.1669.67N/AN/A5893,582804
2024-03-07$29.76$30.0043.0%12.9%110.0%16.5%45.3%0.5%3.6%79.0K-5.4M-15.2K0.2162.60N/AN/A408853,548805
2024-03-08$29.53$30.0045.2%15.4%109.9%19.9%55.0%1.4%-6.8%73.5K-5.1M-14.0K0.0173.89N/AN/A17023,393776
2024-03-11$29.23$30.0057.8%12.8%109.8%39.4%45.9%8.7%4.3%73.0K-5.0M-13.8K0.1975.71N/AN/A93183,425775
2024-03-12$29.91$30.0049.4%12.5%109.4%26.4%55.6%15.9%6.4%83.6K-5.5M-14.1K0.0290.38N/AN/A48483,475763
2024-03-13$29.54$25.0044.1%12.7%109.0%18.3%50.9%2.5%6.2%216.0K-5.8M-14.0K0.2771.04N/AN/A81223,896762
2024-03-14$30.00$25.0043.5%12.5%108.8%17.3%44.9%2.4%10.2%284.3K-6.3M-14.3K0.0887.78N/AN/A255203,913780
2024-03-15$29.74$25.0040.6%11.7%109.0%12.9%40.7%1.1%11.6%86.5K-5.2M-14.0K0.7570.06N/AN/A59444,279796
2024-03-18$29.92$30.0040.3%11.6%108.3%12.4%40.8%1.2%11.7%83.2K-4.3M-14.1K0.0377.55N/AN/A15552,676287
2024-03-19$30.06$30.0038.2%11.0%107.2%9.2%38.2%2.5%11.8%98.4K-4.5M-14.5K0.2689.10N/AN/A9882552,808289
2024-03-20$29.91$30.0036.7%10.5%107.2%6.8%36.6%-3.1%12.0%123.7K-5.3M-18.7K0.1384.63N/AN/A327443,489539
2024-03-21$29.48$30.0035.8%10.3%107.3%5.5%35.9%1.9%13.7%144.7K-5.0M-18.4K0.6889.98N/AN/A1631113,671579
2024-03-22$29.77$30.0047.8%13.7%106.8%23.9%47.6%11.5%19.0%129.9K-5.7M-19.6K0.5892.69N/AN/A95553,783690
2024-03-25$30.17$30.0037.9%10.9%106.7%8.7%38.3%1.2%12.5%152.0K-5.7M-19.6K0.8291.25N/AN/A57473,857735
2024-03-26$30.06$30.0037.7%10.8%106.8%8.4%38.0%0.5%19.1%146.1K-5.5M-19.6K0.2390.18N/AN/A2663,857782
2024-03-27$30.49$30.0043.7%12.5%106.8%17.6%43.5%10.3%8.6%137.1K-6.3M-19.5K0.4798.11N/AN/A34163,879788
2024-03-28$31.74$30.0036.8%10.5%45.4%7.0%36.5%0.4%14.4%148.0K-7.4M-19.1K0.3491.30N/AN/A35123,902801