VOX Options History — January 2020

In January 2020, VOX traded between $94.42 and $99.04. ATM implied volatility averaged 15.5%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 6.8% (HV 20d: 8.7%). Max pain ranged from $80.00 to $97.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.78.

Notable Days

  • 2020-01-10: Highest Volume — 75 contracts
  • 2020-01-13: Largest IV spike — 118.0% change
  • 2020-01-14: Highest IV Rank — 81.4%
  • 2020-01-03: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.90$94.42$99.04$94.78$94.42
Max Pain$93.33$80.00$97.00$80.00$97.00
ATM IV15.5%7.4%33.2%19.4%13.4%
Expected Move4.3%2.7%8.9%5.6%3.8%
HV 20d8.7%7.2%12.6%7.9%12.6%
HV 60d8.7%7.9%9.9%9.9%9.5%
IV Rank24.5%0.0%81.4%30.4%19.0%
IV Percentile38.9%0.0%97.6%73.4%38.5%
Term Structure-1.8%-16.3%2.7%-16.3%2.7%
VWIV13.3%6.3%22.8%11.6%18.1%
Skew 25d2.8%-8.4%11.9%4.0%1.2%
Skew 10d6.0%-4.4%14.8%1.0%1.0%
Call IV 25d12.1%6.3%21.5%6.5%17.3%
Put IV 25d15.0%10.5%22.4%10.5%18.5%
Bid-Ask Spread %107.8365.97153.48119.84127.75
Gamma HHI0.280.140.470.160.28
Net GEX-37.5K-113.5K28.3K24.9K-109.1K
Net DEX-657.3K-1.3M495.8K-1.2M495.8K
Net VEX-1.6K-2.6K-783-783-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.0010.500.810.00
Total Volume13.857075471
Total OI226.524159306159274

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$94.78$80.0019.4%5.6%7.9%30.4%11.6%4.0%-16.3%24.9K-1.2M-7830.81119.84N/AN/A262114514
2020-01-03$94.71$80.0031.0%8.9%7.6%60.6%0.0%-5.5%-16.2%28.3K-1.1M-1.2K0.00142.08N/AN/A0014535
2020-01-06$95.60$90.009.7%3.4%8.1%5.1%0.0%5.0%1.1%9.5K-1.2M-9250.0065.97N/AN/A8014335
2020-01-07$95.85$90.008.7%5.1%7.9%2.6%22.8%5.7%-6.7%13.0K-1.2M-1.0K0.0091.68N/AN/A2014335
2020-01-08$96.58$90.007.4%4.6%7.9%0.0%0.0%-8.4%2.7%9.1K-1.3M-8760.0090.78N/AN/A0014535
2020-01-09$96.64$90.008.8%3.2%7.2%4.4%0.0%3.5%0.8%8.1K-1.3M-8950.0077.30N/AN/A3014535
2020-01-10$96.33$90.0010.9%3.4%7.5%11.2%14.9%5.5%2.3%9.1K-1.2M-9476.50102.02N/AN/A106514635
2020-01-13$97.19$95.0023.8%2.7%7.8%51.9%0.0%11.9%1.6%-27.2K-1.1M-1.5K0.00110.02N/AN/A100146100
2020-01-14$97.43$95.0033.2%3.2%7.6%81.4%6.3%6.9%1.4%-39.9K-1.2M-1.4K0.00108.88N/AN/A10146100
2020-01-15$97.58$95.0011.0%3.2%7.5%11.4%15.4%4.1%2.0%-30.1K-1.2M-1.3K10.5098.65N/AN/A221147100
2020-01-16$98.36$95.0011.2%3.2%7.7%12.1%11.4%1.8%1.6%-36.8K-1.2M-1.4K0.00100.43N/AN/A043148121
2020-01-17$98.99$97.0010.3%3.0%7.7%9.3%10.2%3.0%1.4%-55.3K-1.2M-1.5K0.00120.97N/AN/A02148158
2020-01-21$99.03$97.0011.2%3.2%7.5%12.2%10.0%3.4%-1.7%-65.0K-169.8K-1.6K0.3383.78N/AN/A12450146
2020-01-22$99.04$97.0011.3%3.2%7.5%12.2%9.5%3.3%0.7%-57.2K-190.2K-1.7K0.0096.52N/AN/A13060150
2020-01-23$98.85$97.0016.4%4.7%7.6%28.5%0.0%3.5%0.6%-49.0K-179.6K-1.9K0.00102.75N/AN/A1076150
2020-01-24$97.57$97.0012.2%3.5%9.3%15.1%0.0%5.1%1.8%-68.8K-24.1K-2.1K5.00107.92N/AN/A52577150
2020-01-27$96.17$97.0014.5%4.2%10.9%22.4%16.4%3.2%1.1%-82.8K134.4K-2.5K0.00106.08N/AN/A01482175
2020-01-28$97.27$97.0014.0%4.0%11.5%20.9%0.0%-1.8%0.5%-86.9K46.2K-2.5K0.00105.09N/AN/A0083189
2020-01-29$96.72$97.0020.7%5.9%11.1%42.0%18.1%3.3%-6.7%-67.2K135.1K-2.6K0.00153.48N/AN/A0183189
2020-01-30$95.78$97.0026.6%7.6%11.8%60.7%0.0%0.9%-13.0%-113.5K262.9K-2.5K0.00152.38N/AN/A0183190
2020-01-31$94.42$97.0013.4%3.8%12.6%19.0%0.0%1.2%2.7%-109.1K495.8K-2.5K0.00127.75N/AN/A1083191