VOX Options History — February 2020 In February 2020, VOX traded between $87.27 and $100.60. ATM implied volatility averaged 17.0%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.6% (HV 20d: 15.4%). Max pain ranged from $96.00 to $99.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.94.
Notable Days 2020-02-19 : Highest Volume — 43 contracts2020-02-24 : Largest IV spike — 49.7% change2020-02-28 : Highest IV Rank — 97.7%2020-02-28 : Largest Expected Move — 10.0%Monthly Statistics Metric Avg Min Max Open Close Price $96.76 $87.27 $100.60 $95.67 $87.27 Max Pain $97.11 $96.00 $99.00 $97.00 $99.00 ATM IV 17.0% 10.9% 34.8% 16.2% 34.8% Expected Move 4.9% 3.5% 10.0% 4.6% 10.0% HV 20d 15.4% 13.4% 23.2% 13.5% 23.2% HV 60d 11.1% 9.8% 16.0% 9.8% 16.0% IV Rank 34.0% 12.6% 97.7% 27.9% 97.7% IV Percentile 55.0% 11.1% 99.6% 62.3% 99.6% Term Structure -0.8% -9.2% 6.5% 2.0% -4.5% VWIV 19.5% 11.2% 34.1% 11.2% 34.1% Skew 25d 4.8% -7.8% 15.2% 1.1% -7.8% Skew 10d 7.0% -11.5% 16.3% 14.6% -2.1% Call IV 25d 16.2% 8.1% 39.9% 18.9% 39.9% Put IV 25d 21.0% 15.2% 32.1% 20.0% 32.1% Bid-Ask Spread % 115.57 84.89 153.32 111.47 126.48 Gamma HHI 0.20 0.13 0.32 0.30 0.16 Net GEX -5.4K -106.6K 99.0K -106.6K 8.8K Net DEX -328.1K -800.5K 266.0K 266.0K 71.9K Net VEX -1.7K -2.5K -972 -2.5K -1.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.94 0.00 4.00 0.00 0.00 Total Volume 9.895 0 43 15 20 Total OI 277.368 153 378 286 154
Daily Data (19 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 2020-02-03 $95.67 $97.00 16.2% 4.6% 13.5% 27.9% 11.2% 1.1% 2.0% -106.6K 266.0K -2.5K 0.00 111.47 N/A N/A 15 0 95 191 2020-02-04 $96.55 $97.00 15.4% 4.4% 13.4% 28.7% 14.6% 13.1% -1.7% -98.2K 78.5K -2.4K 0.00 137.20 N/A N/A 15 0 109 193 2020-02-05 $96.56 $97.00 13.1% 3.8% 13.4% 20.4% 13.3% 2.8% 1.2% -95.9K 22.3K -2.3K 0.10 116.38 N/A N/A 10 1 109 193 2020-02-06 $97.67 $96.00 13.5% 3.8% 13.8% 21.7% 14.5% 3.5% 0.6% -59.9K -241.3K -2.2K 0.00 93.82 N/A N/A 9 0 118 194 2020-02-07 $97.67 $96.00 12.8% 3.8% 13.8% 19.2% 0.0% 5.3% 1.6% -65.3K -220.7K -2.2K 0.00 85.72 N/A N/A 0 0 118 194 2020-02-10 $98.11 $96.00 16.7% 4.2% 13.8% 33.2% 0.0% 6.4% 0.3% -36.8K -304.0K -2.1K 4.00 94.65 N/A N/A 1 4 118 193 2020-02-11 $98.65 $96.00 10.9% 3.9% 13.5% 12.6% 0.0% 3.7% -0.4% -23.5K -521.8K -1.6K 0.00 84.89 N/A N/A 2 0 118 197 2020-02-12 $99.53 $96.00 12.1% 3.5% 13.8% 17.0% 0.0% 5.9% 1.0% 26.0K -669.1K -1.5K 0.00 115.23 N/A N/A 4 0 120 197 2020-02-13 $99.58 $96.00 12.3% 3.5% 13.8% 17.7% 27.9% 7.3% 0.6% 67.6K -789.1K -972 3.00 100.04 N/A N/A 2 6 118 197 2020-02-14 $99.52 $96.00 12.1% 3.5% 13.6% 17.0% 0.0% 3.3% 0.1% 58.7K -711.4K -1.2K 3.00 102.53 N/A N/A 1 3 119 203 2020-02-18 $100.18 $96.00 13.5% 3.9% 13.6% 21.9% 12.9% 3.1% -0.0% 99.0K -800.5K -1.1K 0.50 99.11 N/A N/A 12 6 119 206 2020-02-19 $100.60 $97.00 12.6% 3.6% 13.7% 18.7% 15.1% 2.5% -0.1% 9.9K -670.3K -1.5K 0.39 99.63 N/A N/A 31 12 129 211 2020-02-20 $100.11 $97.00 16.8% 4.8% 13.8% 33.6% 13.4% 5.4% -8.9% 36.4K -731.2K -1.4K 0.00 137.81 N/A N/A 18 0 142 223 2020-02-21 $98.69 $97.00 16.7% 4.8% 14.8% 33.2% 16.8% 3.9% -5.8% -4.8K -401.7K -1.6K 3.00 123.88 N/A N/A 2 6 155 223 2020-02-24 $95.83 $99.00 25.0% 7.2% 17.6% 62.8% 0.0% 8.6% -9.2% 27.7K -288.0K -1.5K 0.00 153.32 N/A N/A 0 0 107 46 2020-02-25 $93.41 $99.00 19.3% 5.5% 19.1% 42.4% 34.1% 2.8% 6.5% 21.3K -160.1K -1.5K 0.00 136.63 N/A N/A 0 1 107 46 2020-02-26 $92.85 $99.00 21.5% 6.2% 18.5% 50.3% 26.5% 15.2% 0.0% 18.9K -140.7K -1.5K 0.17 140.12 N/A N/A 6 1 107 47 2020-02-27 $89.90 $99.00 26.9% 7.7% 21.3% 69.5% 0.0% 5.6% 0.9% 13.2K -22.0K -1.4K 0.00 136.92 N/A N/A 0 0 107 47 2020-02-28 $87.27 $99.00 34.8% 10.0% 23.2% 97.7% 34.1% -7.8% -4.5% 8.8K 71.9K -1.3K 0.00 126.48 N/A N/A 20 0 107 47
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