VERX Options History — April 2024

In April 2024, VERX traded between $28.05 and $32.56. ATM implied volatility averaged 56.8%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 26.6% (HV 20d: 30.2%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.87.

Notable Days

  • 2024-04-23: Highest Volume — 962 contracts
  • 2024-04-10: Largest IV spike — 60.3% change
  • 2024-04-29: Highest IV Rank — 64.4%
  • 2024-04-29: Largest Expected Move — 20.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.50$28.05$32.56$32.05$29.20
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV56.8%28.8%72.8%66.8%67.8%
Expected Move17.1%8.3%20.9%19.1%19.4%
HV 20d30.2%21.6%45.3%45.3%39.7%
HV 60d67.8%66.1%69.2%69.1%68.1%
IV Rank40.7%0.0%64.4%53.2%57.1%
IV Percentile64.2%0.0%93.7%87.7%88.5%
Term Structure-3.2%-22.5%38.6%27.9%-5.3%
VWIV63.1%48.5%74.1%66.0%65.6%
Skew 25d4.5%-9.4%56.5%56.5%-8.3%
Skew 10d1.9%-30.7%57.3%57.3%-30.7%
Call IV 25d59.6%33.5%76.8%39.3%75.8%
Put IV 25d64.1%37.1%95.8%95.8%67.4%
Bid-Ask Spread %81.1664.02116.64116.6475.49
Gamma HHI0.370.270.630.350.32
Net GEX130.0K59.9K198.7K134.9K99.9K
Net DEX-5.6M-8.8M-1.2M-7.4M-4.4M
Net VEX-19.8K-23.3K-18.0K-18.8K-23.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.870.0015.571.110.00
Total Volume266.68219623651
Total OI5,613.5454,7336,4724,7336,472

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-04-01$32.05$30.0066.8%19.1%45.3%53.2%66.0%56.5%27.9%134.9K-7.4M-18.8K1.11116.64N/AN/A1731923,940793
2024-04-02$31.81$30.0045.5%13.0%22.6%20.4%48.5%17.2%18.2%143.4K-8.0M-18.6K0.11100.87N/AN/A3744,044913
2024-04-03$32.09$30.0028.8%8.3%21.6%0.0%0.0%1.6%38.6%147.9K-8.2M-18.0K0.8291.38N/AN/A17144,045917
2024-04-04$31.80$30.0046.1%16.2%22.0%25.3%54.6%-1.3%-5.0%152.2K-7.6M-18.9K0.4275.27N/AN/A202844,062931
2024-04-05$31.69$30.0045.6%16.2%22.1%24.6%0.0%0.7%-4.7%162.3K-7.7M-19.7K0.0073.58N/AN/A204,232964
2024-04-08$32.20$30.0043.4%19.0%22.2%21.4%58.1%3.4%-19.6%162.0K-8.4M-18.3K1.3973.34N/AN/A1021424,231964
2024-04-09$32.56$30.0034.5%16.0%21.6%8.3%60.3%6.2%-6.5%153.1K-8.8M-18.6K15.5779.69N/AN/A71094,2971,066
2024-04-10$31.88$30.0055.3%15.9%22.5%38.8%55.5%1.6%-4.2%158.6K-8.2M-19.1K0.8377.14N/AN/A654,2991,172
2024-04-11$32.20$30.0057.6%16.5%21.8%42.2%56.7%1.4%-8.4%148.6K-8.6M-18.6K5.0071.63N/AN/A231154,3031,177
2024-04-12$31.35$30.0060.2%17.3%24.0%45.9%61.5%4.1%-7.7%158.9K-7.5M-19.6K1.0074.90N/AN/A4064074,3181,258
2024-04-15$30.31$30.0056.8%16.3%27.0%40.9%63.7%6.9%0.5%184.7K-5.6M-20.6K5.4073.77N/AN/A623354,4521,665
2024-04-16$29.89$30.0062.0%17.8%27.4%48.6%63.4%2.3%-8.7%190.7K-4.5M-20.5K0.0085.72N/AN/A1704,4721,870
2024-04-17$29.30$30.0063.9%18.3%28.2%51.3%63.6%8.0%-10.3%198.7K-3.0M-19.4K2.2272.82N/AN/A9204,4621,870
2024-04-18$29.10$30.0060.6%17.4%28.2%46.5%60.7%1.2%-5.9%135.0K-1.9M-18.9K0.3777.66N/AN/A158594,4531,907
2024-04-19$28.44$30.0054.0%15.5%28.9%36.8%63.6%8.8%-2.7%59.9K-1.2M-18.5K0.0685.20N/AN/A376214,5241,931
2024-04-22$29.94$30.0061.7%17.7%34.4%48.1%60.7%10.6%7.8%72.6K-4.0M-19.4K0.0386.28N/AN/A6823,6131,383
2024-04-23$28.05$30.0070.5%20.2%41.1%61.1%71.9%6.1%-15.3%61.4K-2.9M-19.2K1.9083.49N/AN/A3326303,6541,384
2024-04-24$28.79$30.0065.0%18.6%42.4%53.0%69.7%-8.5%-8.3%75.6K-3.6M-20.7K0.6981.39N/AN/A5463743,8471,385
2024-04-25$29.36$30.0064.9%18.6%42.7%52.8%74.1%-9.4%-10.6%83.7K-4.1M-22.0K2.2185.84N/AN/A1112454,2041,641
2024-04-26$29.60$30.0065.6%18.8%40.0%53.9%70.6%-4.7%-17.0%89.3K-4.5M-22.0K0.0564.02N/AN/A14974,2891,846
2024-04-29$29.30$30.0072.8%20.9%39.7%64.4%72.5%-6.4%-22.5%85.7K-4.1M-22.4K0.0079.41N/AN/A29714,3971,851
2024-04-30$29.20$30.0067.8%19.4%39.7%57.1%65.6%-8.3%-5.3%99.9K-4.4M-23.3K0.0075.49N/AN/A014,6201,852