VOX Options History — September 2019

In September 2019, VOX traded between $86.19 and $90.34. ATM implied volatility averaged 14.4%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 2.2% (HV 20d: 16.6%). Max pain ranged from $78.00 to $88.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.44.

Notable Days

2019-09-20: Highest Volume — 18 contracts
2019-09-24: Largest IV spike — 41.8% change
2019-09-03: Highest IV Rank — 11.3%
2019-09-03: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.54	$86.19	$90.34	$86.32	$86.74
Max Pain	$79.20	$78.00	$88.00	$88.00	$82.00
ATM IV	14.4%	9.6%	19.4%	19.4%	13.1%
Expected Move	4.0%	2.8%	5.5%	5.5%	3.7%
HV 20d	16.6%	11.2%	21.2%	20.4%	14.2%
HV 60d	17.3%	16.9%	17.5%	16.9%	17.5%
IV Rank	5.5%	0.0%	11.3%	11.3%	4.0%
IV Percentile	24.6%	0.0%	49.6%	49.6%	17.9%
Term Structure	1.3%	-7.1%	7.0%	-1.0%	2.4%
VWIV	15.3%	11.5%	19.1%	19.1%	13.9%
Skew 25d	5.9%	-1.4%	11.7%	9.1%	6.5%
Skew 10d	7.4%	1.4%	12.9%	12.9%	5.5%
Call IV 25d	11.3%	6.5%	16.9%	13.7%	10.8%
Put IV 25d	17.2%	12.1%	22.8%	22.8%	17.3%
Bid-Ask Spread %	130.05	116.45	152.82	131.26	132.37
Gamma HHI	0.18	0.15	0.20	0.15	0.20
Net GEX	83.3K	68.6K	94.5K	68.6K	83.2K
Net DEX	-1.1M	-1.3M	-808.6K	-852.6K	-808.6K
Net VEX	-3.2K	-3.7K	-2.8K	-3.7K	-2.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.00	4.00	0.00	0.00
Total Volume	2.35	0	18	0	0
Total OI	228.9	219	235	229	225

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2019-09-03	$86.32	$88.00	19.4%	5.5%	20.4%	11.3%	0.0%	9.1%	-1.0%	68.6K	-852.6K	-3.7K	0.00	131.26	N/A	N/A	0	0	213	16
2019-09-04	$87.74	$88.00	16.0%	4.6%	20.8%	7.3%	0.0%	7.5%	-7.1%	77.4K	-964.0K	-3.6K	0.00	132.89	N/A	N/A	0	0	213	16
2019-09-05	$88.79	$78.00	16.3%	4.2%	21.2%	7.7%	19.1%	7.3%	0.4%	77.8K	-1.1M	-3.6K	0.00	124.02	N/A	N/A	2	0	213	16
2019-09-06	$88.85	$78.00	14.8%	3.3%	20.5%	6.0%	0.0%	3.4%	4.8%	83.7K	-1.1M	-3.4K	0.00	124.90	N/A	N/A	0	0	213	16
2019-09-09	$88.85	$78.00	16.8%	4.4%	20.4%	8.3%	0.0%	11.2%	-2.4%	76.2K	-1.1M	-3.5K	0.00	116.45	N/A	N/A	1	0	213	16
2019-09-10	$88.74	$78.00	13.8%	4.4%	19.7%	4.9%	16.7%	6.9%	-2.6%	79.2K	-1.1M	-3.5K	0.00	133.87	N/A	N/A	1	0	214	16
2019-09-11	$89.71	$78.00	12.3%	3.5%	19.6%	3.1%	11.5%	8.8%	1.2%	87.3K	-1.2M	-3.3K	0.00	135.08	N/A	N/A	6	0	213	16
2019-09-12	$90.34	$78.00	15.4%	4.4%	15.9%	6.6%	0.0%	1.6%	-0.4%	81.2K	-1.3M	-3.3K	0.00	152.82	N/A	N/A	2	0	218	16
2019-09-13	$90.07	$78.00	15.6%	4.5%	16.0%	6.9%	0.0%	6.5%	-0.1%	82.5K	-1.3M	-3.4K	0.00	146.33	N/A	N/A	0	0	218	16
2019-09-16	$89.52	$78.00	12.4%	3.6%	16.0%	3.2%	0.0%	11.7%	1.4%	89.1K	-1.2M	-3.3K	0.00	119.77	N/A	N/A	0	0	216	16
2019-09-17	$89.67	$78.00	12.7%	3.6%	15.2%	3.5%	0.0%	3.9%	1.9%	86.1K	-1.2M	-3.2K	0.00	121.67	N/A	N/A	0	0	216	16
2019-09-18	$89.54	$78.00	15.2%	4.4%	14.9%	6.4%	0.0%	7.8%	2.0%	84.6K	-1.2M	-3.2K	0.00	148.91	N/A	N/A	0	0	216	16
2019-09-19	$89.43	$78.00	12.0%	3.4%	15.0%	2.7%	0.0%	-1.4%	1.6%	83.3K	-1.2M	-3.1K	0.00	136.82	N/A	N/A	0	0	216	16
2019-09-20	$88.80	$78.00	9.6%	2.8%	15.3%	0.0%	0.0%	3.3%	4.5%	88.4K	-1.1M	-3.1K	0.00	129.62	N/A	N/A	18	0	216	16
2019-09-23	$88.75	$78.00	11.9%	3.4%	11.2%	2.7%	13.9%	4.8%	7.0%	94.5K	-1.1M	-2.9K	0.00	119.31	N/A	N/A	1	0	207	12
2019-09-24	$87.20	$78.00	17.0%	4.9%	13.0%	8.5%	0.0%	4.1%	0.7%	84.5K	-964.3K	-2.9K	4.00	125.32	N/A	N/A	1	4	207	12
2019-09-25	$88.25	$78.00	12.8%	3.7%	13.5%	3.7%	0.0%	2.3%	3.1%	93.2K	-1.0M	-2.8K	0.00	118.73	N/A	N/A	0	0	208	16
2019-09-26	$87.31	$78.00	13.6%	3.9%	14.2%	4.6%	0.0%	6.8%	4.3%	80.5K	-948.7K	-2.9K	0.00	132.59	N/A	N/A	11	0	208	16
2019-09-27	$86.19	$78.00	16.6%	4.8%	14.0%	8.1%	0.0%	5.7%	5.0%	84.2K	-892.3K	-3.1K	0.00	118.26	N/A	N/A	0	0	219	16
2019-09-30	$86.74	$82.00	13.1%	3.7%	14.2%	4.0%	0.0%	6.5%	2.4%	83.2K	-808.6K	-2.9K	0.00	132.37	N/A	N/A	0	0	209	16