VOX Options History — March 2020

In March 2020, VOX traded between $68.65 and $91.49. ATM implied volatility averaged 52.1%, placing in the 81.3% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 0.7% (HV 20d: 51.5%). Max pain ranged from $85.00 to $96.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.95.

Notable Days

  • 2020-03-16: Highest Volume — 52 contracts
  • 2020-03-25: Largest IV spike — 76.4% change
  • 2020-03-05: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 23.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.37$68.65$91.49$90.96$76.26
Max Pain$88.68$85.00$96.00$96.00$85.00
ATM IV52.1%28.5%80.3%28.5%40.7%
Expected Move14.5%8.2%23.0%8.2%11.7%
HV 20d51.5%27.7%72.4%28.0%70.3%
HV 60d32.5%18.2%44.0%18.2%43.9%
IV Rank81.3%39.0%100.0%75.3%45.7%
IV Percentile98.1%93.7%100.0%96.8%93.7%
Term Structure-10.4%-33.7%7.4%-0.3%-0.7%
VWIV52.1%37.2%66.0%37.2%40.5%
Skew 25d15.1%-11.0%40.6%20.3%17.1%
Skew 10d15.3%-14.8%42.6%-0.7%12.0%
Call IV 25d40.6%19.2%61.9%28.1%25.7%
Put IV 25d55.8%33.2%90.5%48.4%42.8%
Bid-Ask Spread %123.2197.52139.39134.53119.94
Gamma HHI0.180.130.270.160.18
Net GEX9.1K4.5K17.7K16.5K11.7K
Net DEX-43-220.4K184.3K-25.9K-220.4K
Net VEX-1.5K-2.0K-853-1.4K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.0010.000.000.00
Total Volume9.22705223
Total OI192.091153241163239

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$90.96$96.0028.5%8.2%28.0%75.3%0.0%20.3%-0.3%16.5K-25.9K-1.4K0.00134.53N/AN/A2011647
2020-03-03$89.83$96.0032.5%9.3%27.7%89.6%0.0%-0.4%-6.0%16.8K-40.1K-1.4K0.00128.07N/AN/A0011647
2020-03-04$91.49$96.0031.9%9.1%28.4%87.3%0.0%12.0%-7.8%17.7K-38.5K-1.3K0.00131.55N/AN/A1011647
2020-03-05$88.42$88.0042.9%9.5%30.5%100.0%0.0%14.1%-7.0%13.2K27.1K-1.3K0.00108.25N/AN/A0011647
2020-03-06$86.72$88.0041.0%10.1%30.3%94.6%0.0%13.8%-4.5%8.6K100.1K-1.2K0.00117.48N/AN/A2011647
2020-03-09$82.27$88.0057.6%12.9%34.5%100.0%37.2%13.8%-12.9%5.1K179.3K-9020.00111.63N/AN/A12010647
2020-03-10$84.26$88.0052.8%12.6%36.1%90.5%0.0%6.7%-10.3%8.3K126.8K-1.0K0.00107.89N/AN/A0011847
2020-03-11$80.85$88.0040.7%11.7%37.6%66.4%0.0%10.2%-4.4%6.3K184.3K-8710.50113.71N/AN/A10511947
2020-03-12$74.26$88.0053.1%15.2%45.4%91.0%0.0%-11.0%-15.2%6.6K143.5K-1.0K0.00136.06N/AN/A0012948
2020-03-13$77.40$88.0058.7%16.8%49.3%100.0%0.0%0.1%-25.6%5.8K173.9K-1.0K0.00124.40N/AN/A0012948
2020-03-16$72.31$88.0063.6%18.2%52.8%100.0%0.0%11.0%-10.2%4.5K135.0K-8530.00137.23N/AN/A52012741
2020-03-17$73.26$88.0061.4%17.6%53.2%96.2%62.7%40.6%-12.0%9.9K-92.4K-1.9K1.71125.50N/AN/A71217941
2020-03-18$68.65$88.0080.3%23.0%55.4%100.0%0.0%27.8%-31.0%6.1K-10.6K-1.9K0.00125.25N/AN/A0018253
2020-03-19$73.66$88.0076.6%22.0%63.8%95.0%52.9%12.8%-33.7%7.4K-54.7K-1.8K0.00123.99N/AN/A01018249
2020-03-20$69.69$88.0067.1%19.2%65.4%81.9%0.0%39.1%-12.2%5.8K4.1K-1.8K0.00139.39N/AN/A8018259
2020-03-23$68.67$88.0070.7%20.3%65.2%86.8%0.0%28.8%3.3%5.5K7.0K-1.7K0.00134.99N/AN/A0013949
2020-03-24$73.35$88.0035.9%10.3%71.4%39.0%58.5%-3.4%7.4%4.8K17.1K-1.5K0.03135.34N/AN/A36113949
2020-03-25$74.20$88.0063.3%18.1%71.8%76.6%66.0%12.4%-29.2%9.6K-129.5K-1.8K0.00129.66N/AN/A16014449
2020-03-26$75.93$88.0056.5%16.2%72.4%67.3%0.0%17.7%-8.5%10.2K-186.2K-1.9K10.00124.22N/AN/A11016049
2020-03-27$75.10$85.0052.8%15.1%71.9%62.2%47.9%27.1%-7.9%8.8K-119.2K-2.0K0.0897.52N/AN/A12116559
2020-03-30$76.53$85.0038.6%11.1%70.3%42.8%51.1%22.7%-1.0%10.2K-181.7K-2.0K0.00103.90N/AN/A0217859
2020-03-31$76.26$85.0040.7%11.7%70.3%45.7%40.5%17.1%-0.7%11.7K-220.4K-2.0K0.00119.94N/AN/A3017861