VOX Options History — May 2020

In May 2020, VOX traded between $85.55 and $93.40. ATM implied volatility averaged 26.2%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 3.9% (HV 20d: 30.1%). Max pain ranged from $78.00 to $90.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.64.

Notable Days

  • 2020-05-07: Highest Volume — 57 contracts
  • 2020-05-13: Largest IV spike — 44.6% change
  • 2020-05-05: Highest IV Rank — 40.1%
  • 2020-05-01: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.45$85.55$93.40$85.74$93.14
Max Pain$87.90$78.00$90.00$78.00$90.00
ATM IV26.2%17.6%36.6%31.6%19.9%
Expected Move6.9%5.0%9.1%9.1%5.7%
HV 20d30.1%22.0%39.9%39.9%22.0%
HV 60d50.7%49.6%51.7%50.6%49.6%
IV Rank25.9%14.0%40.1%33.2%17.1%
IV Percentile76.3%54.0%91.7%85.3%59.9%
Term Structure1.0%-13.8%12.8%-4.7%9.8%
VWIV25.1%15.0%29.9%28.0%15.0%
Skew 25d8.5%1.5%15.9%15.9%9.1%
Skew 10d15.4%7.5%25.0%17.5%25.0%
Call IV 25d21.7%16.1%26.6%23.7%20.7%
Put IV 25d30.2%24.9%39.6%39.6%29.8%
Bid-Ask Spread %102.8564.25134.00111.69132.81
Gamma HHI0.110.080.240.100.08
Net GEX18.8K3.7K49.4K12.9K11.2K
Net DEX-1.1M-1.3M-854.9K-908.5K-1.2M
Net VEX-4.1K-5.3K-2.7K-4.8K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.007.140.000.00
Total Volume12.4505710
Total OI493.5445569445507

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$85.74$78.0031.6%9.1%39.9%33.2%28.0%15.9%-4.7%12.9K-908.5K-4.8K0.00111.69N/AN/A01215230
2020-05-04$86.21$87.0031.9%8.3%37.8%33.6%0.0%9.9%-2.5%12.6K-1.0M-4.0K0.0095.03N/AN/A01215231
2020-05-05$86.70$87.0036.6%6.7%30.1%40.1%0.0%3.5%9.4%17.3K-1.0M-4.5K0.00115.10N/AN/A300215231
2020-05-06$86.77$87.0028.4%6.7%29.8%28.9%26.0%8.4%4.4%23.4K-990.0K-4.4K1.0067.21N/AN/A1010215231
2020-05-07$87.83$87.0035.3%7.0%29.8%38.3%29.9%8.1%5.3%21.2K-1.2M-3.5K7.1481.92N/AN/A750225241
2020-05-08$89.51$87.0022.6%5.9%30.1%20.8%0.0%5.6%1.8%28.7K-1.3M-4.1K0.0076.87N/AN/A20227291
2020-05-11$89.76$87.0026.2%6.0%29.9%25.8%0.0%6.0%12.8%25.2K-1.3M-4.2K0.0064.25N/AN/A80225291
2020-05-12$88.16$87.0020.1%5.0%28.9%17.4%0.0%9.4%7.0%40.5K-1.3M-3.6K4.00109.73N/AN/A520232291
2020-05-13$85.55$87.0029.1%8.3%30.8%29.7%28.8%11.5%-2.7%27.9K-854.9K-4.9K0.0087.34N/AN/A011229311
2020-05-14$86.39$87.0027.3%7.8%30.9%27.3%0.0%6.5%2.3%28.5K-951.7K-3.6K0.25120.57N/AN/A123229322
2020-05-15$87.60$87.0023.5%6.7%30.7%22.1%26.7%15.1%0.9%49.4K-1.1M-5.3K0.59105.66N/AN/A1710244325
2020-05-18$90.47$90.0020.8%6.0%32.4%18.4%24.0%6.9%-2.4%8.7K-966.4K-3.7K0.0095.89N/AN/A120195273
2020-05-19$90.42$90.0024.1%6.9%29.8%23.0%0.0%1.5%-7.9%8.5K-949.3K-3.8K2.00110.56N/AN/A12188273
2020-05-20$92.15$90.0028.6%8.2%29.4%29.0%0.0%3.8%0.4%15.6K-1.2M-2.7K5.00113.81N/AN/A420189273
2020-05-21$91.81$90.0025.4%7.3%29.6%24.7%0.0%9.7%0.1%9.0K-1.1M-3.5K0.00106.38N/AN/A00193303
2020-05-22$92.03$90.0026.9%7.7%29.5%26.7%19.2%9.0%2.9%3.9K-955.1K-4.4K0.0072.25N/AN/A80193303
2020-05-26$92.63$90.0026.7%7.7%29.3%26.5%28.0%8.5%-13.8%3.7K-1.0M-4.7K3.00126.35N/AN/A13201301
2020-05-27$93.40$90.0017.6%5.1%28.3%14.0%0.0%11.6%-0.7%14.0K-1.1M-4.1K0.00134.00N/AN/A00202304
2020-05-28$92.69$90.0022.5%6.4%23.0%20.7%15.0%10.0%-2.5%13.3K-1.2M-3.7K0.00129.63N/AN/A10202304
2020-05-29$93.14$90.0019.9%5.7%22.0%17.1%0.0%9.1%9.8%11.2K-1.2M-3.4K0.00132.81N/AN/A00203304