VERX Options History — August 2024

In August 2024, VERX traded between $34.37 and $38.49. ATM implied volatility averaged 47.5%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 6.3% (HV 20d: 41.2%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2024-08-07: Highest Volume — 348 contracts
  • 2024-08-13: Largest IV spike — 146.8% change
  • 2024-08-13: Highest IV Rank — 100.0%
  • 2024-08-02: Largest Expected Move — 22.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.56$34.37$38.49$38.13$38.49
Max Pain$25.91$25.00$35.00$35.00$25.00
ATM IV47.5%26.2%101.4%53.3%26.2%
Expected Move11.6%7.5%22.9%15.3%7.5%
HV 20d41.2%34.2%45.8%34.2%34.8%
HV 60d33.4%30.9%34.3%30.9%32.5%
IV Rank26.9%0.0%100.0%35.8%0.0%
IV Percentile36.8%0.0%100.0%65.5%0.0%
Term Structure3.5%-23.3%16.4%8.6%15.4%
VWIV47.3%23.3%102.1%54.6%36.5%
Skew 25d6.0%-9.8%15.6%9.5%12.7%
Skew 10d0.4%-29.4%15.3%10.3%14.3%
Call IV 25d34.6%20.8%86.8%47.1%24.6%
Put IV 25d40.6%32.4%77.0%56.6%37.3%
Bid-Ask Spread %100.5979.98113.69108.37106.81
Gamma HHI0.520.280.780.330.78
Net GEX58.3K-134.6K147.9K147.9K147.1K
Net DEX-8.5M-11.6M-6.2M-11.6M-9.2M
Net VEX-15.1K-22.2K-12.5K-20.1K-12.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.0012.0012.000.17
Total Volume72.2272348137
Total OI5,424.2733,5736,9306,9263,949

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-08-01$38.13$35.0053.3%15.3%34.2%35.8%54.6%9.5%8.6%147.9K-11.6M-20.1K12.00108.37N/AN/A1124,8322,094
2024-08-02$36.97$35.0079.9%22.9%36.0%74.8%90.3%-9.8%-23.3%87.5K-9.5M-22.2K0.0089.80N/AN/A7904,8322,098
2024-08-05$35.96$25.0074.6%15.8%37.5%67.0%69.9%10.1%-14.4%45.2K-8.2M-20.3K0.56112.72N/AN/A54304,7392,098
2024-08-06$36.50$25.0071.0%14.8%37.9%61.8%50.0%0.7%-14.8%53.2K-8.9M-18.9K0.59108.16N/AN/A17104,7072,107
2024-08-07$34.37$25.0070.9%12.9%43.2%61.7%55.2%-9.2%0.2%-756-6.2M-19.2K0.61112.13N/AN/A2161324,7162,117
2024-08-08$35.77$25.0051.1%11.6%45.7%32.7%43.8%9.9%6.8%-15.0K-8.2M-16.0K1.00113.69N/AN/A114,7641,966
2024-08-09$35.43$25.0048.1%11.2%45.6%28.2%38.6%2.6%10.1%-134.6K-8.2M-15.2K0.00106.91N/AN/A0624,7641,966
2024-08-12$35.66$25.0041.1%11.0%45.7%18.0%38.0%8.6%4.1%-65.6K-8.3M-14.0K1.83105.38N/AN/A12224,7641,962
2024-08-13$36.59$25.00101.4%10.3%45.8%100.0%33.2%2.3%12.1%57.4K-9.1M-14.9K0.1793.71N/AN/A3054,7541,962
2024-08-14$36.09$25.0037.6%10.8%45.7%12.1%102.1%13.8%10.0%-64.7K-8.9M-13.5K0.00105.91N/AN/A30004,7731,961
2024-08-15$36.34$25.0034.6%9.9%45.8%8.0%34.5%6.7%-5.2%-12.5K-9.1M-14.2K0.00102.27N/AN/A304,7731,961
2024-08-16$35.87$25.0032.4%9.3%45.5%4.9%32.4%10.7%9.6%75.5K-9.5M-12.9K0.00101.37N/AN/A404,7851,961
2024-08-19$36.25$25.0033.5%9.6%45.2%6.5%30.7%11.6%15.2%78.3K-7.1M-13.2K0.4783.69N/AN/A1572,974599
2024-08-20$35.77$25.0039.7%11.4%42.6%15.0%39.8%0.4%4.8%73.4K-7.1M-13.7K0.0983.11N/AN/A1112,987601
2024-08-21$35.79$25.0038.2%11.0%39.5%13.0%38.2%11.2%16.4%82.2K-7.1M-12.6K0.33102.68N/AN/A932,998601
2024-08-22$35.98$25.0040.2%11.5%39.6%15.6%23.3%12.4%-2.5%79.0K-7.2M-12.5K0.0198.27N/AN/A30423,002604
2024-08-23$37.02$25.0033.0%9.5%40.3%5.8%80.0%11.7%2.2%116.7K-8.0M-13.0K0.0097.43N/AN/A1503,257606
2024-08-26$37.63$25.0041.0%11.8%40.1%16.8%36.7%3.5%0.5%110.5K-8.3M-14.0K0.0479.98N/AN/A8033,241606
2024-08-27$38.01$25.0031.9%9.1%40.2%4.2%32.2%-3.9%-6.5%139.1K-8.7M-13.3K0.0886.51N/AN/A10183,313607
2024-08-28$37.88$25.0034.2%9.8%39.2%7.3%0.0%15.6%15.0%137.6K-8.8M-13.0K0.80111.64N/AN/A543,348615
2024-08-29$37.84$25.0030.3%8.7%36.2%2.0%32.9%1.7%12.6%144.7K-8.8M-12.8K0.00102.37N/AN/A2303,353617
2024-08-30$38.49$25.0026.2%7.5%34.8%0.0%36.5%12.7%15.4%147.1K-9.2M-12.5K0.17106.81N/AN/A613,332617