VOX Options History — December 2019

In December 2019, VOX traded between $90.96 and $94.70. ATM implied volatility averaged 12.7%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 5.0% (HV 20d: 7.8%). Max pain ranged from $80.00 to $88.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.25.

Notable Days

2019-12-11: Highest Volume — 8 contracts
2019-12-11: Largest IV spike — 75.3% change
2019-12-04: Highest IV Rank — 34.0%
2019-12-04: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$92.86	$90.96	$94.70	$91.39	$93.94
Max Pain	$81.14	$80.00	$88.00	$88.00	$80.00
ATM IV	12.7%	8.8%	21.6%	18.9%	9.4%
Expected Move	3.8%	2.5%	6.2%	5.4%	2.7%
HV 20d	7.8%	7.0%	8.6%	7.0%	7.8%
HV 60d	11.4%	9.8%	12.2%	12.1%	9.8%
IV Rank	12.6%	2.7%	34.0%	27.5%	4.5%
IV Percentile	21.4%	0.4%	73.8%	64.7%	1.2%
Term Structure	0.8%	-14.6%	10.7%	-14.6%	7.0%
VWIV	15.7%	9.1%	27.8%	27.8%	11.9%
Skew 25d	2.6%	-5.1%	7.2%	-4.3%	3.3%
Skew 10d	5.7%	-0.7%	14.2%	1.1%	1.6%
Call IV 25d	11.5%	5.1%	20.6%	18.9%	9.1%
Put IV 25d	14.1%	9.0%	22.8%	14.6%	12.4%
Bid-Ask Spread %	122.26	102.36	151.73	151.73	115.44
Gamma HHI	0.19	0.17	0.23	0.19	0.17
Net GEX	57.1K	23.3K	84.8K	71.9K	31.1K
Net DEX	-1.2M	-1.5M	-956.4K	-1.0M	-1.2M
Net VEX	-1.3K	-1.9K	-768	-1.8K	-907
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.00	2.00	0.00	0.50
Total Volume	2.095	0	8	2	3
Total OI	175.524	150	186	180	159

Daily Data (21 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
2019-12-02	$91.39	$88.00	18.9%	5.4%	7.0%	27.5%	0.0%	-4.3%	-14.6%	71.9K	-1.0M	-1.8K	0.00	151.73	N/A	N/A	0	2	168	12
2019-12-03	$90.96	$88.00	13.6%	3.9%	7.1%	14.5%	0.0%	0.3%	10.7%	73.4K	-956.4K	-1.9K	0.00	139.95	N/A	N/A	1	0	168	14
2019-12-04	$91.68	$88.00	21.6%	6.2%	7.6%	34.0%	27.8%	-0.4%	0.5%	66.6K	-1.0M	-1.9K	0.50	146.55	N/A	N/A	2	1	168	14
2019-12-05	$91.90	$80.00	16.6%	5.6%	7.1%	21.8%	0.0%	5.7%	-8.8%	66.0K	-1.0M	-1.8K	0.00	136.50	N/A	N/A	0	0	170	15
2019-12-06	$92.55	$80.00	9.7%	3.1%	7.3%	5.0%	0.0%	2.0%	1.7%	77.2K	-1.2M	-1.4K	0.00	139.18	N/A	N/A	0	0	170	15
2019-12-09	$92.20	$80.00	12.9%	4.2%	7.4%	12.8%	14.9%	7.2%	-0.7%	72.5K	-1.2M	-1.6K	0.00	109.60	N/A	N/A	0	1	170	15
2019-12-10	$91.62	$80.00	11.4%	5.0%	7.8%	9.1%	0.0%	5.1%	0.6%	78.2K	-1.1M	-1.6K	0.00	121.88	N/A	N/A	0	0	170	16
2019-12-11	$92.01	$80.00	20.0%	5.7%	7.9%	30.2%	19.6%	6.2%	-8.6%	57.3K	-1.1M	-1.7K	0.00	146.32	N/A	N/A	8	0	170	16
2019-12-12	$92.11	$80.00	12.5%	3.6%	7.9%	12.4%	0.0%	-1.0%	4.0%	77.9K	-1.2M	-1.3K	0.00	135.07	N/A	N/A	0	0	170	16
2019-12-13	$91.87	$80.00	11.8%	3.4%	8.0%	10.6%	0.0%	4.8%	3.5%	84.8K	-1.1M	-1.4K	0.00	116.29	N/A	N/A	0	0	170	16
2019-12-16	$92.48	$80.00	11.3%	3.2%	8.0%	9.3%	0.0%	4.2%	3.4%	73.9K	-1.2M	-1.3K	0.00	102.36	N/A	N/A	0	0	170	16
2019-12-17	$92.58	$80.00	10.3%	3.0%	7.9%	6.8%	0.0%	5.5%	3.7%	79.6K	-1.2M	-1.2K	0.00	111.89	N/A	N/A	5	0	170	16
2019-12-18	$93.10	$80.00	10.7%	3.1%	8.1%	7.7%	0.0%	1.6%	5.0%	67.5K	-1.3M	-937	0.00	116.26	N/A	N/A	2	0	165	16
2019-12-19	$93.83	$80.00	13.0%	3.7%	7.8%	13.8%	16.7%	0.7%	2.2%	52.3K	-1.3M	-937	0.00	106.63	N/A	N/A	4	0	167	16
2019-12-20	$94.30	$80.00	10.1%	2.9%	7.8%	6.2%	0.0%	4.6%	2.3%	27.8K	-1.5M	-826	0.00	105.36	N/A	N/A	3	0	169	16
2019-12-23	$94.18	$80.00	10.4%	3.0%	7.9%	7.0%	0.0%	3.4%	2.9%	26.9K	-1.2M	-804	0.00	107.86	N/A	N/A	2	0	138	12
2019-12-24	$94.19	$80.00	12.8%	3.7%	7.9%	13.2%	0.0%	3.6%	-3.3%	27.4K	-1.2M	-879	0.00	114.08	N/A	N/A	0	0	140	12
2019-12-26	$94.70	$80.00	8.8%	2.5%	8.0%	2.7%	0.0%	5.9%	3.7%	23.3K	-1.2M	-768	0.00	116.59	N/A	N/A	1	0	140	12
2019-12-27	$94.65	$80.00	8.9%	2.6%	7.9%	3.2%	9.7%	1.1%	2.4%	26.0K	-1.2M	-817	0.00	114.56	N/A	N/A	3	0	141	12
2019-12-30	$93.80	$80.00	12.3%	3.5%	8.6%	11.9%	9.1%	-5.1%	-0.5%	36.7K	-1.1M	-1.0K	2.00	113.24	N/A	N/A	2	4	144	12
2019-12-31	$93.94	$80.00	9.4%	2.7%	7.8%	4.5%	11.9%	3.3%	7.0%	31.1K	-1.2M	-907	0.50	115.44	N/A	N/A	2	1	144	15