VERX Options History — July 2024

In July 2024, VERX traded between $35.48 and $39.95. ATM implied volatility averaged 55.1%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 30.5% (HV 20d: 24.6%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2024-07-17: Highest Volume — 1,406 contracts
  • 2024-07-18: Largest IV spike — 45.7% change
  • 2024-07-25: Highest IV Rank — 73.3%
  • 2024-07-25: Largest Expected Move — 22.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.44$35.48$39.95$35.75$39.80
Max Pain$32.05$30.00$35.00$35.00$35.00
ATM IV55.1%30.6%78.9%30.6%69.1%
Expected Move15.7%8.8%22.6%8.8%19.8%
HV 20d24.6%19.4%30.1%30.1%29.8%
HV 60d30.6%25.9%33.6%33.6%29.4%
IV Rank38.4%2.5%73.3%2.5%58.9%
IV Percentile64.5%0.4%96.0%0.4%90.9%
Term Structure-6.9%-33.1%14.3%14.3%-21.9%
VWIV55.0%31.9%75.5%35.0%75.5%
Skew 25d-0.0%-29.0%20.1%-4.8%9.2%
Skew 10d-0.5%-22.8%45.0%2.8%22.4%
Call IV 25d55.2%36.6%77.4%37.2%70.0%
Put IV 25d55.1%32.5%79.2%32.5%79.2%
Bid-Ask Spread %96.9172.89132.17117.3488.28
Gamma HHI0.510.320.650.520.34
Net GEX93.9K66.5K137.7K66.5K125.1K
Net DEX-9.2M-12.3M-6.5M-6.8M-12.3M
Net VEX-19.4K-23.4K-17.0K-18.1K-20.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.002.921.500.83
Total Volume192.59111,40645220
Total OI5,265.1364,1966,7094,1966,709

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-07-01$35.75$35.0030.6%8.8%30.1%2.5%35.0%-4.8%14.3%66.5K-6.8M-18.1K1.50117.34N/AN/A18273,0761,120
2024-07-02$35.71$35.0042.8%12.3%29.9%20.5%0.0%11.6%13.6%69.3K-6.6M-18.3K0.00121.47N/AN/A013,0771,147
2024-07-03$35.48$35.0058.4%16.7%30.1%43.2%0.0%6.3%-16.2%67.2K-6.5M-18.2K1.31132.17N/AN/A26343,0771,148
2024-07-05$35.96$30.0058.3%14.3%27.9%43.1%51.1%2.9%1.6%67.4K-6.8M-18.1K1.0088.23N/AN/A443,0981,179
2024-07-08$36.01$30.0041.3%14.3%23.1%18.2%48.7%4.4%-5.6%71.4K-6.8M-18.0K0.0083.82N/AN/A803,0981,183
2024-07-09$35.95$30.0054.3%14.3%20.7%37.3%0.0%-2.8%-3.8%68.1K-6.9M-17.3K0.7597.49N/AN/A863,1001,183
2024-07-10$36.44$30.0048.9%14.0%20.3%29.4%48.5%-9.8%9.0%66.7K-7.3M-17.0K0.7388.76N/AN/A3622653,1001,190
2024-07-11$36.72$30.0052.6%15.1%20.0%34.8%53.3%-8.6%-0.1%84.9K-7.9M-19.6K2.9289.60N/AN/A12353,4621,447
2024-07-12$37.11$30.0048.0%13.8%19.4%28.1%31.9%5.9%6.4%93.5K-8.3M-18.8K1.1899.08N/AN/A11133,4611,482
2024-07-15$37.03$30.0054.4%15.6%19.5%37.4%57.8%-5.5%0.0%84.7K-8.3M-18.7K0.1672.89N/AN/A4473,4651,495
2024-07-16$37.94$30.0056.8%16.3%20.8%41.0%54.5%-6.5%-10.6%92.1K-8.8M-18.3K0.1992.29N/AN/A68133,4671,501
2024-07-17$37.34$30.0044.0%12.6%21.4%22.3%35.6%-29.0%-7.4%99.1K-8.4M-18.2K0.1295.55N/AN/A1,2511553,5141,513
2024-07-18$37.20$30.0064.1%18.4%21.4%51.7%60.2%-17.8%-4.9%95.4K-10.1M-22.2K0.4894.63N/AN/A50244,1401,582
2024-07-19$37.83$30.0059.8%17.1%20.5%45.4%59.5%-2.5%-13.7%100.7K-10.8M-21.3K0.0693.73N/AN/A3324,1591,606
2024-07-22$38.44$30.0058.6%16.8%20.7%43.7%56.6%5.0%-11.6%106.9K-11.2M-19.3K0.0590.88N/AN/A4324,0651,384
2024-07-23$39.95$30.0063.5%18.2%22.5%50.8%60.3%13.5%-19.4%113.7K-12.2M-19.3K0.9284.25N/AN/A5505084,0851,385
2024-07-24$38.08$35.0054.9%15.7%29.5%38.2%66.3%12.7%-14.1%104.9K-10.9M-23.1K1.0098.33N/AN/A664,5731,849
2024-07-25$37.86$35.0078.9%22.6%27.8%73.3%67.8%20.1%-33.1%105.3K-10.9M-23.4K2.0099.70N/AN/A20404,5731,855
2024-07-26$38.67$35.0063.8%18.3%28.2%51.2%58.4%10.0%-19.2%113.4K-11.3M-20.8K0.6098.91N/AN/A20124,5601,842
2024-07-29$39.40$35.0048.4%13.9%28.6%28.6%61.4%8.3%-10.1%137.7K-12.3M-20.1K0.70100.12N/AN/A56394,5601,841
2024-07-30$38.91$35.0060.0%17.2%29.1%45.7%62.4%-23.3%-5.6%131.7K-11.9M-19.2K0.98104.51N/AN/A1181164,6021,880
2024-07-31$39.80$35.0069.1%19.8%29.8%58.9%75.5%9.2%-21.9%125.1K-12.3M-20.5K0.8388.28N/AN/A1201004,7151,994