VERX Options History — May 2024

In May 2024, VERX traded between $29.21 and $33.64. ATM implied volatility averaged 47.5%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 13.0% (HV 20d: 34.5%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.51.

Notable Days

  • 2024-05-13: Highest Volume — 685 contracts
  • 2024-05-08: Largest IV drop — 46.3% change
  • 2024-05-07: Highest IV Rank — 91.8%
  • 2024-05-02: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.70$29.21$33.64$29.21$32.80
Max Pain$25.68$25.00$30.00$30.00$25.00
ATM IV47.5%31.8%91.5%73.9%36.2%
Expected Move13.0%9.1%22.7%21.2%10.4%
HV 20d34.5%23.3%42.7%39.4%29.9%
HV 60d59.8%30.6%68.0%68.0%31.5%
IV Rank27.4%4.4%91.8%66.0%10.8%
IV Percentile31.1%0.4%99.6%93.7%6.0%
Term Structure-1.6%-24.6%17.0%-18.3%-6.1%
VWIV48.1%36.3%82.5%78.3%49.4%
Skew 25d6.0%-6.2%33.5%20.3%33.5%
Skew 10d10.3%-7.6%47.1%21.9%-3.8%
Call IV 25d44.5%30.7%84.0%53.1%48.4%
Put IV 25d50.5%34.6%82.0%73.4%82.0%
Bid-Ask Spread %94.2580.81106.8395.7998.41
Gamma HHI0.360.280.530.330.31
Net GEX152.8K100.8K204.2K101.0K164.8K
Net DEX-7.4M-10.3M-4.3M-4.3M-8.1M
Net VEX-22.1K-24.4K-17.9K-23.1K-24.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.007.130.110.10
Total Volume153.727268572
Total OI6,471.8185,5107,6986,4716,092

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-05-01$29.21$30.0073.9%21.2%39.4%66.0%0.0%20.3%-18.3%101.0K-4.3M-23.1K0.0095.79N/AN/A074,6201,851
2024-05-02$29.39$30.0079.1%22.7%39.6%73.6%78.3%-6.2%-23.7%102.8K-4.6M-22.9K0.1183.71N/AN/A162184,6201,847
2024-05-03$29.48$30.0078.7%22.6%39.7%73.0%82.5%-5.0%-24.6%100.8K-4.5M-21.9K0.0086.89N/AN/A1404,5411,812
2024-05-06$29.94$25.0079.0%12.4%39.6%73.5%50.2%-1.7%7.1%109.9K-4.8M-21.2K0.4498.20N/AN/A45204,5491,812
2024-05-07$30.08$25.0091.5%16.0%39.4%91.8%64.7%2.6%-2.5%112.0K-5.1M-21.3K0.0580.81N/AN/A246124,5781,832
2024-05-08$29.73$25.0049.1%11.4%39.0%29.8%39.6%4.0%6.5%146.1K-4.4M-18.1K0.0988.72N/AN/A611534,6541,786
2024-05-09$30.54$25.0041.0%13.7%40.2%17.9%49.5%2.3%-15.3%197.8K-6.6M-20.8K0.5586.60N/AN/A47265,0761,837
2024-05-10$31.99$25.0035.0%13.4%42.7%9.1%46.1%1.8%-2.0%193.7K-8.6M-19.7K0.3585.40N/AN/A63225,0671,830
2024-05-13$31.65$25.0033.0%11.4%41.0%6.1%39.8%-2.0%13.8%154.3K-8.5M-17.9K0.0692.65N/AN/A644415,0891,830
2024-05-14$31.52$25.0040.0%13.9%40.6%16.4%44.2%8.1%2.4%202.1K-8.6M-23.9K0.0796.22N/AN/A8665,7101,871
2024-05-15$31.77$25.0044.1%12.7%39.7%22.4%42.4%1.1%10.4%204.2K-9.3M-23.2K0.4095.72N/AN/A62255,7851,877
2024-05-16$32.53$25.0033.7%9.7%40.1%7.1%39.4%5.7%17.0%146.7K-10.3M-23.2K0.0091.71N/AN/A6905,8041,893
2024-05-17$32.53$25.0032.5%9.3%38.7%5.4%41.4%1.5%-5.8%147.4K-10.2M-23.1K0.0085.94N/AN/A22505,8051,893
2024-05-20$33.02$25.0037.3%10.7%35.1%12.5%37.1%7.1%2.6%148.2K-7.9M-22.2K0.02100.70N/AN/A5714,4891,021
2024-05-21$32.83$25.0031.8%9.1%24.0%4.4%36.3%-1.3%2.1%149.7K-7.8M-21.9K0.0495.00N/AN/A13054,5001,022
2024-05-22$33.41$25.0038.3%11.0%23.3%13.9%38.3%5.1%-3.2%158.7K-8.1M-21.7K0.35103.99N/AN/A150524,5761,027
2024-05-23$33.21$25.0031.8%9.1%23.3%4.4%48.0%23.6%7.5%157.1K-8.4M-23.9K0.25100.38N/AN/A53134,7091,076
2024-05-24$33.64$25.0036.3%10.4%23.4%10.9%40.2%10.5%-13.1%161.4K-8.8M-22.3K0.1094.00N/AN/A250254,7511,076
2024-05-28$32.75$25.0036.3%10.4%25.6%10.9%44.2%5.3%-0.2%170.6K-8.3M-23.3K7.13102.85N/AN/A151074,9181,074
2024-05-29$33.23$25.0038.6%11.1%25.6%14.3%51.3%11.1%-3.0%166.5K-8.7M-22.4K0.00106.83N/AN/A704,9311,158
2024-05-30$32.12$25.0048.4%13.9%29.3%28.7%49.4%5.0%13.2%164.8K-7.5M-22.8K0.10103.03N/AN/A1014,9331,158
2024-05-31$32.80$25.0036.2%10.4%29.9%10.8%0.0%33.5%-6.1%164.8K-8.1M-24.4K0.0098.41N/AN/A024,9331,159