VOX Options History — June 2020

In June 2020, VOX traded between $90.35 and $97.68. ATM implied volatility averaged 25.9%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 1.8% (HV 20d: 24.1%). Max pain ranged from $80.00 to $94.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.09.

Notable Days

  • 2020-06-04: Highest Volume — 257 contracts
  • 2020-06-10: Largest IV spike — 73.6% change
  • 2020-06-16: Highest IV Rank — 48.3%
  • 2020-06-16: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.62$90.35$97.68$94.36$92.85
Max Pain$84.09$80.00$94.00$90.00$88.00
ATM IV25.9%17.5%42.6%17.6%26.8%
Expected Move7.4%4.9%12.2%5.0%7.7%
HV 20d24.1%21.3%29.0%21.3%29.0%
HV 60d37.7%30.3%49.1%49.1%30.3%
IV Rank25.4%13.8%48.3%14.0%26.6%
IV Percentile72.3%52.4%93.7%53.2%74.6%
Term Structure-0.9%-12.1%14.2%2.4%-7.2%
VWIV24.2%16.7%37.9%18.5%18.5%
Skew 25d9.7%-13.7%27.8%4.6%9.9%
Skew 10d16.4%-0.8%43.5%20.4%13.7%
Call IV 25d23.1%15.2%42.3%16.6%27.0%
Put IV 25d32.7%21.2%49.8%21.2%36.9%
Bid-Ask Spread %127.43110.77145.61116.07138.04
Gamma HHI0.100.060.120.080.11
Net GEX16.9K-10830.6K15.0K30.6K
Net DEX-1.2M-1.6M-854.9K-1.3M-1.1M
Net VEX-3.2K-4.1K-2.5K-3.6K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.007.000.000.00
Total Volume29.2270257120
Total OI530.273479580507508

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$94.36$90.0017.6%5.0%21.3%14.0%18.5%4.6%2.4%15.0K-1.3M-3.6K0.00116.07N/AN/A10203304
2020-06-02$94.39$90.0019.3%5.5%21.3%16.3%20.5%18.2%4.9%21.5K-1.3M-3.2K1.38111.38N/AN/A811204304
2020-06-03$95.58$94.0020.6%5.9%21.5%18.1%0.0%0.8%1.3%18.8K-1.4M-3.1K0.00133.81N/AN/A20210315
2020-06-04$94.30$80.0023.5%4.9%22.5%22.2%30.4%11.1%4.5%10.8K-1.2M-4.0K1.79110.77N/AN/A92165206315
2020-06-05$96.31$80.0017.5%5.6%23.1%13.8%16.7%17.9%1.1%14.5K-1.4M-3.5K0.00115.07N/AN/A50209315
2020-06-08$97.65$80.0026.1%8.6%22.7%25.6%20.0%18.8%-9.5%17.5K-1.6M-2.7K0.67136.94N/AN/A64211315
2020-06-09$97.68$80.0017.8%5.1%22.8%14.2%0.0%-13.7%1.9%18.7K-1.5M-3.1K0.28127.00N/AN/A185217319
2020-06-10$97.10$80.0030.8%8.8%21.6%32.1%31.3%3.1%-8.2%22.8K-1.5M-3.4K0.00145.61N/AN/A010228324
2020-06-11$92.51$81.0026.8%7.7%26.1%26.7%25.1%13.1%-2.4%5.9K-1.0M-3.5K2.00128.65N/AN/A36228334
2020-06-12$92.66$81.0037.1%10.6%26.0%40.8%37.9%22.2%-10.6%-108-959.2K-4.1K7.00128.47N/AN/A17230332
2020-06-15$93.92$81.0030.6%8.8%26.0%31.9%30.5%13.6%-4.3%5.0K-1.1M-4.1K0.67127.71N/AN/A32228339
2020-06-16$95.16$81.0042.6%12.2%24.0%48.3%0.0%15.5%-12.1%8.2K-1.2M-3.5K0.00138.16N/AN/A00229341
2020-06-17$95.27$81.0024.9%7.1%23.9%24.0%24.0%5.4%-6.6%13.8K-1.3M-2.9K0.00117.71N/AN/A100229341
2020-06-18$95.58$81.0023.8%6.8%23.1%22.6%0.0%10.1%8.1%16.6K-1.4M-2.7K0.00120.89N/AN/A00239341
2020-06-19$95.26$81.0019.6%5.6%23.1%16.7%23.4%5.2%2.9%8.6K-1.4M-2.8K2.00125.50N/AN/A36239341
2020-06-22$95.26$81.0023.6%6.8%23.1%22.2%19.0%9.9%1.0%20.1K-1.3M-3.1K0.00118.10N/AN/A50211289
2020-06-23$96.21$88.0023.2%6.7%23.3%21.7%23.5%0.4%14.2%16.1K-1.2M-2.5K1.64121.52N/AN/A89146190289
2020-06-24$93.87$88.0034.6%9.9%24.9%37.3%0.0%27.8%0.2%25.7K-1.1M-2.9K0.00141.83N/AN/A00205289
2020-06-25$93.94$88.0025.4%7.3%24.8%24.7%0.0%7.5%7.4%29.1K-1.1M-2.7K0.00132.60N/AN/A00205289
2020-06-26$90.35$88.0028.4%8.1%28.4%28.9%18.5%3.7%0.3%24.1K-854.9K-2.7K0.07141.08N/AN/A141205289
2020-06-29$91.45$88.0028.7%8.2%28.3%29.2%0.0%7.4%-9.7%28.3K-938.7K-2.8K0.00126.50N/AN/A00217290
2020-06-30$92.85$88.0026.8%7.7%29.0%26.6%0.0%9.9%-7.2%30.6K-1.1M-2.7K0.00138.04N/AN/A200217291