VERX Options History — June 2024

In June 2024, VERX traded between $33.28 and $35.91. ATM implied volatility averaged 40.4%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 7.8% (HV 20d: 32.6%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 4.66.

Notable Days

2024-06-06: Highest Volume — 278 contracts
2024-06-05: Largest IV spike — 47.7% change
2024-06-05: Highest IV Rank — 46.2%
2024-06-05: Largest Expected Move — 17.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.68	$33.28	$35.91	$33.28	$35.91
Max Pain	$33.42	$25.00	$35.00	$25.00	$35.00
ATM IV	40.4%	32.6%	60.4%	45.1%	33.9%
Expected Move	11.8%	9.2%	17.3%	12.9%	9.7%
HV 20d	32.6%	29.8%	35.7%	30.0%	30.4%
HV 60d	33.3%	31.5%	33.9%	31.6%	33.6%
IV Rank	17.0%	5.5%	46.2%	23.9%	7.4%
IV Percentile	20.9%	2.0%	76.6%	36.5%	4.0%
Term Structure	2.0%	-22.8%	17.8%	-0.8%	17.8%
VWIV	43.2%	27.9%	60.2%	45.1%	33.5%
Skew 25d	1.9%	-20.8%	16.8%	5.2%	2.6%
Skew 10d	5.5%	-17.2%	18.0%	15.0%	6.0%
Call IV 25d	37.8%	24.8%	55.8%	44.3%	34.2%
Put IV 25d	39.7%	30.2%	49.7%	49.5%	36.8%
Bid-Ask Spread %	101.31	79.89	122.76	100.70	111.53
Gamma HHI	0.39	0.28	0.54	0.28	0.54
Net GEX	137.0K	63.9K	217.1K	168.2K	65.2K
Net DEX	-8.9M	-10.8M	-5.5M	-8.7M	-6.7M
Net VEX	-20.3K	-22.1K	-18.4K	-21.8K	-18.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.66	0.00	34.00	5.00	0.00
Total Volume	51.579	2	278	12	57
Total OI	5,744.895	4,029	6,551	6,092	4,151

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2024-06-03	$33.28	$25.00	45.1%	12.9%	30.0%	23.9%	45.1%	5.2%	-0.8%	168.2K	-8.7M	-21.8K	5.00	100.70	N/A	N/A	2	10	4,933	1,159
2024-06-04	$33.50	$25.00	40.9%	11.7%	29.8%	17.7%	39.5%	-8.0%	0.7%	164.2K	-9.0M	-21.2K	0.00	109.85	N/A	N/A	0	13	4,934	1,169
2024-06-05	$34.69	$25.00	60.4%	17.3%	31.6%	46.2%	60.2%	0.9%	-22.8%	198.0K	-10.3M	-21.3K	0.00	109.93	N/A	N/A	7	0	4,929	1,162
2024-06-06	$33.32	$35.00	37.7%	9.9%	35.2%	13.0%	44.1%	9.1%	-7.9%	164.6K	-8.7M	-21.0K	33.75	98.77	N/A	N/A	8	270	4,931	1,162
2024-06-07	$34.39	$35.00	35.0%	9.2%	35.7%	9.1%	0.0%	2.0%	-5.2%	154.3K	-9.5M	-22.1K	0.00	122.76	N/A	N/A	2	0	4,931	1,422
2024-06-10	$33.97	$35.00	37.9%	12.2%	32.8%	13.3%	41.2%	16.6%	-12.6%	147.2K	-9.1M	-21.2K	34.00	98.75	N/A	N/A	1	34	4,931	1,422
2024-06-11	$34.46	$35.00	45.5%	16.8%	32.6%	24.5%	57.9%	-10.3%	-11.1%	146.6K	-9.7M	-21.3K	0.00	107.18	N/A	N/A	64	0	4,931	1,456
2024-06-12	$35.09	$35.00	40.6%	11.6%	32.8%	17.3%	40.6%	5.0%	5.8%	148.4K	-10.3M	-21.5K	0.25	89.59	N/A	N/A	40	10	4,982	1,456
2024-06-13	$35.21	$35.00	38.0%	10.9%	32.8%	13.4%	48.3%	-4.2%	12.5%	155.4K	-10.4M	-20.7K	0.00	85.46	N/A	N/A	35	0	4,982	1,456
2024-06-14	$35.56	$35.00	40.1%	11.5%	32.1%	16.5%	40.7%	5.3%	6.1%	160.7K	-10.8M	-21.1K	0.30	88.00	N/A	N/A	43	13	4,981	1,456
2024-06-17	$35.19	$35.00	45.5%	13.1%	32.5%	24.5%	47.5%	-20.8%	-2.8%	150.2K	-10.5M	-19.9K	0.09	79.89	N/A	N/A	68	6	4,988	1,464
2024-06-18	$35.13	$35.00	38.2%	10.9%	32.3%	13.7%	0.0%	-1.3%	7.0%	147.6K	-10.4M	-19.9K	0.00	100.77	N/A	N/A	9	0	5,014	1,465
2024-06-20	$34.50	$35.00	36.4%	10.4%	33.1%	11.2%	40.8%	14.0%	16.9%	155.3K	-9.8M	-19.5K	2.79	105.50	N/A	N/A	29	81	5,013	1,465
2024-06-21	$34.95	$35.00	38.7%	11.1%	32.8%	14.5%	39.8%	4.4%	10.4%	217.1K	-9.9M	-19.5K	0.50	102.87	N/A	N/A	10	5	5,013	1,538
2024-06-24	$34.43	$35.00	45.8%	13.1%	33.3%	24.9%	41.1%	-9.1%	-2.1%	63.9K	-5.8M	-19.1K	1.25	103.94	N/A	N/A	4	5	2,993	1,036
2024-06-25	$34.13	$35.00	36.6%	10.5%	33.2%	11.3%	35.6%	7.0%	15.6%	64.3K	-5.5M	-18.5K	1.06	91.78	N/A	N/A	16	17	2,997	1,037
2024-06-26	$35.30	$35.00	32.6%	9.3%	33.5%	5.5%	50.8%	16.8%	13.5%	65.0K	-6.3M	-18.9K	4.24	106.80	N/A	N/A	21	89	3,012	1,037
2024-06-27	$35.84	$35.00	39.0%	11.2%	33.5%	14.9%	27.9%	0.1%	-2.3%	66.3K	-6.7M	-18.6K	0.57	110.85	N/A	N/A	7	4	3,025	1,120
2024-06-28	$35.91	$35.00	33.9%	9.7%	30.4%	7.4%	33.5%	2.6%	17.8%	65.2K	-6.7M	-18.4K	0.00	111.53	N/A	N/A	57	0	3,031	1,120