VERX Options History — November 2024

In November 2024, VERX traded between $41.94 and $55.03. ATM implied volatility averaged 44.3%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 7.8% (HV 20d: 52.1%). Max pain ranged from $25.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2024-11-06: Highest Volume — 1,065 contracts
  • 2024-11-13: Largest IV drop — 56.3% change
  • 2024-11-12: Highest IV Rank — 59.8%
  • 2024-11-01: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.39$41.94$55.03$41.94$54.38
Max Pain$25.75$25.00$40.00$40.00$25.00
ATM IV44.3%26.7%71.2%57.2%33.4%
Expected Move10.3%7.5%16.4%16.4%9.6%
HV 20d52.1%23.7%59.0%23.8%57.4%
HV 60d38.9%27.7%42.1%27.8%40.2%
IV Rank24.1%0.7%59.8%41.3%9.6%
IV Percentile38.0%0.4%96.0%77.4%9.1%
Term Structure-1.7%-14.9%13.9%-14.9%0.8%
VWIV35.7%25.8%47.6%47.6%25.8%
Skew 25d-0.9%-11.9%12.0%3.8%5.2%
Skew 10d-0.1%-11.7%11.1%2.5%8.1%
Call IV 25d35.4%28.3%51.5%50.2%28.3%
Put IV 25d34.5%26.3%54.0%54.0%33.5%
Bid-Ask Spread %106.6593.57123.11123.11113.80
Gamma HHI0.460.270.590.440.49
Net GEX150.2K80.0K215.2K159.8K132.0K
Net DEX-17.2M-21.0M-10.7M-10.7M-17.9M
Net VEX-10.0K-16.1K-6.7K-16.0K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.002.370.700.00
Total Volume131.6521,0651768
Total OI5,115.653,8526,2995,5554,013

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-11-01$41.94$40.0057.2%16.4%23.8%41.3%47.6%3.8%-14.9%159.8K-10.7M-16.0K0.70123.11N/AN/A1074,0001,555
2024-11-04$42.25$25.0071.0%13.1%23.7%59.5%35.4%8.1%-9.7%143.3K-11.2M-15.5K2.25104.96N/AN/A1433223,9981,548
2024-11-05$43.45$25.0069.4%12.5%25.5%57.5%42.1%12.0%1.8%160.8K-12.2M-16.1K0.38102.50N/AN/A60234,0981,860
2024-11-06$49.71$25.0059.0%11.5%53.0%43.6%39.4%1.1%4.3%80.0K-19.4M-7.4K0.02105.49N/AN/A1,041244,1401,857
2024-11-07$51.16$25.0041.9%8.4%50.9%20.8%37.3%-5.0%5.8%169.6K-20.5M-9.6K0.19108.48N/AN/A79154,4351,864
2024-11-08$52.14$25.0056.3%8.6%51.0%40.0%30.6%-1.5%6.8%150.2K-21.0M-9.6K0.16108.40N/AN/A5184,4061,863
2024-11-11$49.13$25.0054.8%7.5%57.1%38.1%36.4%-5.1%13.9%215.2K-18.5M-11.4K0.28110.09N/AN/A39114,3851,855
2024-11-12$49.83$25.0071.2%11.6%57.1%59.8%39.7%1.8%-0.4%199.6K-18.9M-10.6K0.00110.39N/AN/A1904,3671,863
2024-11-13$51.02$25.0031.1%8.9%56.7%6.5%29.4%-9.9%13.0%176.0K-19.9M-9.3K0.7597.10N/AN/A20154,3701,863
2024-11-14$49.25$25.0036.9%10.6%58.7%14.3%34.8%-1.5%-5.1%212.9K-18.6M-10.3K0.33112.77N/AN/A30104,3721,878
2024-11-15$49.30$25.0042.0%12.0%58.7%21.1%34.9%-1.0%-14.0%135.6K-18.7M-10.8K0.8393.57N/AN/A12104,3761,884
2024-11-18$49.50$25.0031.9%9.1%58.7%7.6%34.9%-8.2%-3.4%150.2K-14.7M-9.9K0.88101.20N/AN/A17153,513339
2024-11-19$51.09$25.0036.6%10.5%58.9%13.9%35.4%7.0%-11.4%140.6K-16.0M-8.8K0.2599.19N/AN/A81203,529348
2024-11-20$52.08$25.0034.6%9.9%58.3%11.1%34.5%3.9%-5.1%151.8K-16.6M-9.4K0.13106.45N/AN/A4763,581353
2024-11-21$53.53$25.0028.3%8.1%58.6%2.8%40.4%-5.1%4.3%143.1K-17.6M-7.8K0.00109.44N/AN/A6603,594359
2024-11-22$54.09$25.0026.7%7.7%58.4%0.7%30.6%-11.9%-1.1%135.3K-18.1M-8.0K2.37106.26N/AN/A19453,596359
2024-11-25$54.71$25.0036.0%10.3%58.4%13.0%35.8%-8.3%-0.9%117.5K-18.3M-6.7K0.00101.82N/AN/A17403,581382
2024-11-26$55.03$25.0034.0%9.8%58.4%10.4%33.7%-4.3%-7.5%114.4K-18.2M-7.0K0.39103.99N/AN/A89353,535382
2024-11-27$54.30$25.0033.8%9.7%59.0%10.1%0.0%0.1%-10.8%115.5K-17.5M-9.2K1.00114.05N/AN/A113,595417
2024-11-29$54.38$25.0033.4%9.6%57.4%9.6%25.8%5.2%0.8%132.0K-17.9M-6.9K0.00113.80N/AN/A6803,595418