VERX Options History — October 2024

In October 2024, VERX traded between $39.45 and $42.98. ATM implied volatility averaged 47.8%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 17.0% (HV 20d: 30.8%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.46.

Notable Days

  • 2024-10-28: Highest Volume — 1,233 contracts
  • 2024-10-09: Largest IV spike — 45.9% change
  • 2024-10-28: Highest IV Rank — 54.9%
  • 2024-10-28: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.62$39.45$42.98$39.45$41.83
Max Pain$38.48$30.00$40.00$35.00$40.00
ATM IV47.8%33.7%67.5%34.6%53.6%
Expected Move14.0%9.7%19.4%9.9%15.4%
HV 20d30.8%23.4%34.3%28.3%25.2%
HV 60d34.2%28.8%36.0%34.5%28.8%
IV Rank28.7%10.0%54.9%11.2%36.4%
IV Percentile51.5%8.7%89.7%11.1%69.4%
Term Structure-4.3%-42.8%22.7%22.7%-0.4%
VWIV49.6%21.5%60.2%21.5%60.2%
Skew 25d-5.3%-20.8%14.8%14.8%-7.5%
Skew 10d-3.6%-33.6%37.5%8.9%-8.0%
Call IV 25d51.5%22.4%68.6%22.4%66.7%
Put IV 25d46.2%31.4%67.2%37.2%59.2%
Bid-Ask Spread %104.6088.53120.77120.77119.08
Gamma HHI0.440.320.670.670.34
Net GEX124.7K71.2K191.8K71.2K122.8K
Net DEX-8.6M-11.9M-6.2M-6.2M-10.6M
Net VEX-15.4K-19.2K-8.8K-8.9K-18.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.006.620.440.20
Total Volume212.26131,233396
Total OI4,474.3912,3895,5972,3895,555

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-10-01$39.45$35.0034.6%9.9%28.3%11.2%21.5%14.8%22.7%71.2K-6.2M-8.9K0.44120.77N/AN/A27122,120269
2024-10-02$40.99$35.0033.7%9.7%29.4%10.0%37.2%-7.9%11.4%75.0K-6.9M-8.8K0.07109.10N/AN/A259182,140269
2024-10-03$41.54$30.0038.0%12.7%29.4%15.7%48.5%-12.9%-1.9%99.2K-7.6M-11.0K0.00103.47N/AN/A12202,426273
2024-10-04$40.62$30.0037.4%12.1%30.4%14.9%43.6%13.0%13.6%103.0K-7.5M-11.5K0.0190.28N/AN/A11712,499273
2024-10-07$40.98$35.0041.7%12.5%30.4%20.6%54.2%-3.4%-13.5%105.0K-7.9M-10.3K0.3690.01N/AN/A5141852,537274
2024-10-08$41.27$40.0036.3%13.8%30.1%13.5%51.6%-3.2%-1.6%121.6K-8.3M-14.8K0.3797.14N/AN/A6082222,988798
2024-10-09$40.96$40.0053.0%15.2%29.9%35.6%45.2%-9.8%-14.5%123.0K-8.1M-17.3K0.9096.35N/AN/A3353003,1871,020
2024-10-10$39.63$40.0050.1%14.4%33.1%31.9%50.4%-16.1%-16.7%122.3K-7.3M-18.7K0.0088.53N/AN/A3403,4951,320
2024-10-11$40.23$40.0054.1%15.5%33.1%37.1%55.0%-18.1%-12.3%130.6K-7.8M-18.9K0.0095.13N/AN/A2203,5001,320
2024-10-14$40.86$40.0056.3%16.2%33.3%40.1%60.1%-13.8%-1.8%125.7K-7.9M-18.6K6.6294.37N/AN/A583843,5001,320
2024-10-15$41.33$40.0057.2%16.4%32.9%41.2%55.0%-7.5%-8.6%91.2K-7.9M-19.2K0.0099.96N/AN/A5003,5151,666
2024-10-16$42.66$40.0050.5%14.5%34.0%32.3%58.0%-13.0%-8.5%119.9K-9.1M-18.1K0.5598.45N/AN/A22123,4921,666
2024-10-17$42.42$40.0044.0%12.6%34.3%23.7%52.4%-9.1%4.7%118.9K-9.1M-17.4K0.3399.97N/AN/A73243,4881,665
2024-10-18$42.83$40.0047.8%13.7%34.2%28.7%53.0%-1.8%-14.3%141.1K-9.4M-16.0K0.1298.84N/AN/A7693,5121,689
2024-10-21$42.82$40.0044.3%12.7%33.8%24.0%45.6%-0.6%-1.2%168.9K-9.5M-15.1K0.03109.66N/AN/A3413,4301,549
2024-10-22$42.36$40.0052.8%15.1%32.9%35.3%45.9%4.7%-11.4%154.7K-9.0M-16.0K0.00107.69N/AN/A303,4491,550
2024-10-23$41.80$40.0048.8%14.0%32.1%30.1%39.3%-20.8%-2.8%112.8K-8.4M-17.2K0.50111.11N/AN/A213,4501,550
2024-10-24$42.19$40.0045.8%13.1%32.1%26.1%46.2%-8.6%7.4%125.5K-8.8M-16.5K0.00115.11N/AN/A1503,4501,550
2024-10-25$42.08$40.0047.4%13.6%31.4%28.3%60.2%0.5%3.8%136.9K-8.6M-15.8K0.00119.24N/AN/A303,4521,550
2024-10-28$42.52$40.0067.5%19.4%28.4%54.9%42.3%-11.6%-42.8%137.5K-9.2M-15.5K0.02114.90N/AN/A1,211223,4521,550
2024-10-29$42.85$40.0049.0%14.1%26.7%30.4%56.5%1.9%-1.4%168.9K-11.8M-16.8K0.00116.06N/AN/A5604,0421,555
2024-10-30$42.98$40.0055.1%15.8%23.4%38.5%58.7%9.5%-8.6%191.8K-11.9M-15.0K0.00110.64N/AN/A4404,0011,555
2024-10-31$41.83$40.0053.6%15.4%25.2%36.4%60.2%-7.5%-0.4%122.8K-10.6M-18.0K0.20119.08N/AN/A514,0001,555