VERX Options History — December 2024

In December 2024, VERX traded between $52.51 and $56.59. ATM implied volatility averaged 37.2%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 3.6% (HV 20d: 33.6%). Max pain ranged from $25.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2024-12-06: Highest Volume — 237 contracts
  • 2024-12-30: Largest IV spike — 23.3% change
  • 2024-12-02: Highest IV Rank — 26.0%
  • 2024-12-02: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.24$52.51$56.59$54.78$53.62
Max Pain$46.43$25.00$50.00$25.00$50.00
ATM IV37.2%29.0%45.8%45.8%43.5%
Expected Move10.5%8.3%13.1%13.1%12.5%
HV 20d33.6%26.5%57.8%57.3%29.1%
HV 60d40.9%39.9%42.1%39.9%40.2%
IV Rank14.7%3.7%26.0%26.0%23.0%
IV Percentile22.9%1.6%54.8%54.8%45.2%
Term Structure1.2%-28.1%12.9%-28.1%-7.8%
VWIV36.4%27.7%55.9%44.4%38.2%
Skew 25d-2.4%-19.5%15.0%15.0%-7.6%
Skew 10d0.0%-16.9%14.5%14.5%8.4%
Call IV 25d32.9%21.5%43.4%26.0%32.6%
Put IV 25d30.5%21.3%48.0%41.0%25.0%
Bid-Ask Spread %96.2584.78112.63112.63102.97
Gamma HHI0.300.200.460.400.21
Net GEX102.6K49.9K165.4K125.8K57.2K
Net DEX-14.8M-19.4M-6.6M-18.0M-6.9M
Net VEX-7.0K-8.6K-6.1K-8.6K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.005.000.030.46
Total Volume62.905122373619
Total OI3,585.6671,8734,4424,0461,921

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-12-02$54.78$25.0045.8%13.1%57.3%26.0%44.4%15.0%-28.1%125.8K-18.0M-8.6K0.03112.63N/AN/A3513,628418
2024-12-03$56.59$25.0036.1%10.4%57.7%13.2%32.9%5.9%-0.1%106.2K-19.3M-6.8K0.0498.11N/AN/A11143,628419
2024-12-04$56.39$25.0036.1%10.4%57.8%13.2%35.4%3.2%1.0%115.9K-19.4M-6.1K0.3093.81N/AN/A79243,693421
2024-12-05$56.01$50.0034.8%10.4%36.0%11.4%36.8%-4.7%2.2%113.2K-19.3M-7.2K0.2190.27N/AN/A2863,721436
2024-12-06$56.04$50.0042.4%9.9%35.0%21.5%34.2%-6.5%10.7%123.1K-19.2M-6.8K0.6584.78N/AN/A144933,738442
2024-12-09$54.86$50.0039.4%10.6%35.7%17.5%32.5%3.3%5.4%122.3K-17.9M-7.2K0.0090.31N/AN/A2903,681526
2024-12-10$54.66$50.0036.7%10.0%27.4%14.0%33.9%-8.6%7.1%125.2K-17.8M-7.2K0.0395.72N/AN/A4013,701526
2024-12-11$55.20$50.0041.8%12.0%27.3%20.7%35.1%13.2%-6.0%116.2K-18.2M-6.2K0.0587.02N/AN/A10953,694527
2024-12-12$55.02$50.0033.7%9.7%26.5%10.0%35.3%-16.0%5.0%118.0K-18.3M-6.4K0.0388.83N/AN/A10433,778532
2024-12-13$52.51$50.0033.1%9.5%28.9%9.2%33.2%-8.8%6.3%148.5K-16.4M-7.9K0.0090.08N/AN/A3503,866535
2024-12-16$53.51$50.0037.8%10.8%29.4%15.4%38.9%-19.5%4.3%139.4K-17.2M-7.1K1.7988.44N/AN/A711273,857535
2024-12-17$53.77$50.0040.4%11.6%29.4%18.9%37.7%-7.1%-1.6%129.2K-17.6M-6.4K0.2496.23N/AN/A46113,879499
2024-12-18$52.56$50.0036.5%10.5%29.0%13.7%35.2%6.9%2.3%165.4K-16.7M-7.0K0.23104.23N/AN/A44103,892508
2024-12-19$53.82$50.0044.5%12.8%29.4%24.4%55.9%-6.2%-4.5%120.6K-17.9M-7.0K0.53100.68N/AN/A19103,914516
2024-12-20$53.64$50.0037.2%10.7%27.8%14.6%34.5%0.1%-3.5%49.9K-17.5M-6.6K0.0091.34N/AN/A2603,916526
2024-12-23$52.96$50.0030.1%8.6%27.9%5.3%32.3%-5.3%11.7%55.9K-6.8M-7.5K0.00106.07N/AN/A1501,690183
2024-12-24$53.63$50.0034.0%9.8%28.0%10.4%0.0%3.0%3.3%56.3K-6.8M-7.4K0.0098.18N/AN/A0121,695185
2024-12-26$53.85$50.0032.9%9.4%27.9%8.9%38.1%-3.4%1.9%56.0K-6.9M-6.7K0.0096.78N/AN/A1801,695185
2024-12-27$52.60$50.0029.0%8.3%28.8%3.7%27.7%1.7%12.9%53.3K-6.6M-6.7K0.20108.57N/AN/A2041,704185
2024-12-30$53.00$50.0035.7%10.2%28.9%12.7%35.8%-7.9%1.7%56.5K-6.7M-7.0K5.0096.15N/AN/A3151,715189
2024-12-31$53.62$50.0043.5%12.5%29.1%23.0%38.2%-7.6%-7.8%57.2K-6.9M-6.7K0.46102.97N/AN/A1361,718203