VOX Options History — November 2019 In November 2019, VOX traded between $89.62 and $92.41. ATM implied volatility averaged 14.8%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 5.0% (HV 20d: 9.8%). Max pain ranged from $88.00 to $90.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.13.
Notable Days 2019-11-29 : Highest Volume — 10 contracts2019-11-20 : Largest IV spike — 118.4% change2019-11-20 : Highest IV Rank — 34.1%2019-11-20 : Largest Expected Move — 6.6%Monthly Statistics Metric Avg Min Max Open Close Price $90.96 $89.62 $92.41 $89.68 $92.18 Max Pain $88.10 $88.00 $90.00 $90.00 $88.00 ATM IV 14.8% 7.7% 23.4% 19.9% 10.8% Expected Move 4.1% 2.2% 6.6% 5.7% 3.1% HV 20d 9.8% 5.8% 13.6% 13.6% 6.3% HV 60d 13.9% 11.9% 16.3% 16.3% 11.9% IV Rank 9.6% 0.0% 34.1% 12.0% 7.7% IV Percentile 29.3% 0.0% 74.2% 62.7% 4.8% Term Structure -0.0% -9.8% 7.9% -5.3% 1.0% VWIV 11.2% 9.9% 12.6% 12.5% 9.9% Skew 25d 5.8% -3.8% 18.3% -3.8% 3.8% Skew 10d 7.0% -8.9% 20.1% -8.9% 0.3% Call IV 25d 11.1% 5.5% 20.9% 20.9% 9.3% Put IV 25d 16.9% 8.7% 25.6% 17.1% 13.0% Bid-Ask Spread % 128.52 97.34 161.35 144.58 121.21 Gamma HHI 0.21 0.17 0.24 0.23 0.20 Net GEX 52.9K 31.2K 67.8K 61.1K 60.1K Net DEX -948.8K -1.1M -764.1K -808.5K -1.1M Net VEX -2.0K -2.5K -1.7K -2.3K -1.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.13 0.00 1.00 0.00 0.00 Total Volume 2.35 0 10 0 10 Total OI 176.6 159 190 183 170
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 2019-11-01 $89.68 $90.00 19.9% 5.7% 13.6% 12.0% 0.0% -3.8% -5.3% 61.1K -808.5K -2.3K 0.00 144.58 N/A N/A 0 0 156 27 2019-11-04 $90.17 $88.00 18.3% 4.3% 13.6% 10.1% 0.0% -1.3% 5.1% 38.7K -830.2K -2.5K 0.00 108.18 N/A N/A 1 0 156 27 2019-11-05 $90.22 $88.00 11.9% 3.5% 12.2% 2.6% 0.0% 4.0% 0.6% 43.3K -885.8K -2.3K 0.00 97.34 N/A N/A 0 0 156 27 2019-11-06 $89.62 $88.00 12.6% 4.6% 12.6% 3.5% 12.5% 8.7% 4.4% 39.3K -764.1K -2.4K 0.00 116.03 N/A N/A 6 0 156 27 2019-11-07 $90.04 $88.00 23.4% 4.7% 12.6% 16.1% 12.6% 7.9% -2.4% 40.6K -851.6K -2.4K 0.00 141.11 N/A N/A 1 0 156 27 2019-11-08 $90.46 $88.00 22.1% 4.6% 11.6% 14.5% 0.0% 8.5% 1.0% 52.5K -882.0K -2.2K 0.00 131.82 N/A N/A 1 0 157 27 2019-11-11 $90.44 $88.00 12.1% 3.8% 11.3% 2.9% 0.0% 6.2% -1.1% 40.9K -911.4K -2.2K 0.00 108.00 N/A N/A 0 0 158 27 2019-11-12 $90.55 $88.00 11.3% 3.4% 10.0% 2.0% 10.3% 7.7% 7.9% 31.2K -952.7K -2.0K 0.00 112.23 N/A N/A 3 0 158 27 2019-11-13 $90.64 $88.00 20.9% 6.0% 10.0% 13.2% 0.0% 12.9% -9.8% 51.8K -901.3K -2.1K 0.00 145.41 N/A N/A 2 0 160 27 2019-11-14 $90.86 $88.00 16.7% 4.8% 9.8% 18.3% 0.0% 18.3% 1.6% 46.9K -934.3K -2.0K 0.00 126.61 N/A N/A 7 0 160 27 2019-11-15 $91.41 $88.00 20.1% 5.8% 9.4% 26.9% 0.0% 10.0% -8.3% 60.2K -1.1M -1.9K 0.00 146.03 N/A N/A 1 0 163 27 2019-11-18 $91.79 $88.00 10.1% 2.9% 9.4% 1.2% 11.0% 4.2% 0.6% 59.0K -1.0M -1.9K 0.00 108.18 N/A N/A 2 0 151 8 2019-11-19 $91.81 $88.00 10.5% 3.0% 8.7% 2.2% 10.6% -0.6% 7.5% 55.6K -1.0M -1.8K 1.00 119.10 N/A N/A 3 3 153 8 2019-11-20 $91.04 $88.00 22.9% 6.6% 9.4% 34.1% 0.0% 15.7% -5.2% 58.0K -911.0K -2.1K 0.00 161.35 N/A N/A 1 0 156 11 2019-11-21 $91.20 $88.00 11.6% 3.3% 8.9% 5.0% 0.0% -1.8% -2.5% 61.5K -950.4K -2.0K 0.00 137.03 N/A N/A 0 0 157 11 2019-11-22 $91.35 $88.00 11.8% 3.4% 8.3% 5.6% 12.1% 4.6% -1.7% 67.5K -1.0M -1.9K 0.00 142.98 N/A N/A 1 0 157 11 2019-11-25 $91.56 $88.00 7.7% 2.2% 7.1% 0.0% 0.0% 6.1% 2.3% 67.8K -1.0M -1.8K 1.00 136.99 N/A N/A 1 1 157 11 2019-11-26 $91.81 $88.00 10.1% 2.9% 5.8% 5.8% 10.9% 2.4% -0.3% 64.8K -1.1M -1.7K 0.00 123.87 N/A N/A 0 2 157 12 2019-11-27 $92.41 $88.00 10.9% 3.1% 6.1% 7.8% 0.0% 1.4% 4.6% 56.5K -1.1M -1.8K 0.00 142.45 N/A N/A 1 0 157 12 2019-11-29 $92.18 $88.00 10.8% 3.1% 6.3% 7.7% 9.9% 3.8% 1.0% 60.1K -1.1M -1.7K 0.00 121.21 N/A N/A 10 0 158 12
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