VOX Options History — April 2020

In April 2020, VOX traded between $71.77 and $88.25. ATM implied volatility averaged 31.2%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 24.1% (HV 20d: 55.3%). Max pain ranged from $72.00 to $85.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2020-04-16: Highest Volume — 102 contracts
  • 2020-04-07: Largest IV spike — 53.6% change
  • 2020-04-01: Highest IV Rank — 51.7%
  • 2020-04-01: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.10$71.77$88.25$72.76$86.89
Max Pain$75.38$72.00$85.00$85.00$78.00
ATM IV31.2%20.4%45.1%45.1%20.4%
Expected Move8.9%5.8%12.9%12.9%5.8%
HV 20d55.3%39.2%74.5%70.9%39.2%
HV 60d48.3%44.7%50.5%44.7%50.5%
IV Rank32.6%17.8%51.7%51.7%17.8%
IV Percentile85.8%67.5%94.8%94.8%67.5%
Term Structure-0.6%-12.7%10.5%-12.7%1.9%
VWIV36.2%25.2%50.1%42.6%25.2%
Skew 25d7.9%-7.5%17.6%12.5%2.2%
Skew 10d14.0%-3.5%28.1%28.1%16.2%
Call IV 25d29.6%20.3%36.7%36.1%34.7%
Put IV 25d37.4%26.5%48.7%48.7%37.0%
Bid-Ask Spread %105.1845.37128.84111.31119.58
Gamma HHI0.130.110.210.170.13
Net GEX14.7K-5.7K43.8K10.7K26.8K
Net DEX-618.8K-1.1M-87.4K-127.1K-1.1M
Net VEX-3.4K-5.1K-1.9K-2.0K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.0010.000.001.11
Total Volume21.857010280
Total OI358.714246470246445

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$72.76$85.0045.1%12.9%70.9%51.7%42.6%12.5%-12.7%10.7K-127.1K-2.0K0.00111.31N/AN/A8018561
2020-04-02$73.75$72.0037.3%11.1%70.9%41.0%36.5%13.4%-1.9%12.6K-142.6K-2.1K0.0045.37N/AN/A1018561
2020-04-03$71.77$72.0036.6%11.3%71.1%40.0%35.7%9.3%-0.1%13.1K-87.4K-1.9K0.0086.71N/AN/A72018661
2020-04-06$76.99$72.0029.0%8.8%74.5%29.7%28.8%17.6%0.4%22.5K-379.2K-2.5K0.1769.07N/AN/A6123761
2020-04-07$78.51$72.0044.6%10.1%74.3%51.1%50.1%0.9%-3.4%20.3K-494.0K-2.9K1.00128.49N/AN/A1124162
2020-04-08$79.48$72.0035.7%10.2%73.1%38.8%0.0%-2.1%-3.3%21.3K-569.2K-2.6K0.00122.67N/AN/A01024162
2020-04-09$80.47$72.0027.8%8.0%66.1%27.9%0.0%2.1%6.3%14.6K-559.3K-2.9K5.0089.64N/AN/A1524172
2020-04-13$80.24$72.0022.3%6.4%64.6%20.4%34.8%9.0%10.5%9.8K-499.5K-2.7K0.5396.10N/AN/A191023976
2020-04-14$83.10$72.0032.6%9.3%60.0%34.5%33.8%12.0%-7.9%11.0K-755.5K-3.0K0.0094.98N/AN/A47025686
2020-04-15$82.12$72.0033.7%9.7%60.3%36.1%28.6%14.3%-4.7%26.9K-771.3K-3.2K0.00120.53N/AN/A1028186
2020-04-16$82.10$72.0031.3%9.0%54.3%32.8%40.5%12.1%-0.1%29.8K-750.9K-3.1K0.0092.58N/AN/A010228286
2020-04-17$83.51$77.0028.0%8.0%49.4%28.3%0.0%7.9%-2.3%43.8K-837.1K-3.5K1.11105.98N/AN/A910282188
2020-04-20$83.14$77.0033.4%9.6%44.0%35.7%43.1%12.9%6.7%13.9K-776.2K-3.4K0.0089.55N/AN/A095188129
2020-04-21$80.69$78.0036.6%10.5%45.4%40.1%0.0%9.6%2.9%-5.7K-415.9K-5.1K0.0099.94N/AN/A00188219
2020-04-22$82.73$78.0033.8%9.7%40.5%36.2%33.2%9.6%0.3%-3.6K-572.7K-4.8K0.00119.98N/AN/A160188219
2020-04-23$83.26$78.0023.7%6.8%40.5%22.3%0.0%7.8%9.3%6.9K-731.7K-4.8K0.00127.23N/AN/A10203219
2020-04-24$84.15$78.0024.3%7.0%40.0%23.2%47.7%4.2%-3.9%4.2K-743.6K-4.5K0.00122.95N/AN/A01204219
2020-04-27$85.26$78.0022.6%6.5%39.6%20.9%25.5%6.7%-4.7%12.1K-830.5K-4.5K0.71109.38N/AN/A75203220
2020-04-28$83.87$78.0029.2%8.4%40.1%30.0%0.0%-7.5%-1.7%8.8K-762.0K-4.7K10.00127.81N/AN/A110210220
2020-04-29$88.25$78.0027.1%7.8%43.2%27.0%25.2%10.6%-3.4%9.6K-1.1M-3.8K1.11128.84N/AN/A910211230
2020-04-30$86.89$78.0020.4%5.8%39.2%17.8%0.0%2.2%1.9%26.8K-1.1M-4.2K0.00119.58N/AN/A00215230