VOX Options History — July 2020

In July 2020, VOX traded between $95.04 and $99.80. ATM implied volatility averaged 24.5%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.2% (HV 20d: 23.3%). Max pain ranged from $88.00 to $95.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 2.34.

Notable Days

  • 2020-07-15: Highest Volume — 436 contracts
  • 2020-07-13: Largest IV spike — 70.7% change
  • 2020-07-13: Highest IV Rank — 47.7%
  • 2020-07-13: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.90$95.04$99.80$95.31$99.44
Max Pain$92.18$88.00$95.00$88.00$95.00
ATM IV24.5%17.6%42.1%22.5%25.4%
Expected Move6.8%4.1%9.6%6.5%7.3%
HV 20d23.3%14.3%30.2%30.2%14.3%
HV 60d25.4%22.8%27.4%27.4%22.8%
IV Rank23.5%14.0%47.7%20.8%24.8%
IV Percentile65.8%46.8%93.3%63.9%69.8%
Term Structure0.1%-11.2%8.7%-0.3%-2.5%
VWIV23.1%13.1%39.7%18.7%20.1%
Skew 25d7.6%-3.1%22.7%-3.1%10.0%
Skew 10d9.3%-12.0%22.3%13.5%8.4%
Call IV 25d21.8%12.9%29.9%29.9%21.1%
Put IV 25d29.4%21.1%39.9%26.8%31.1%
Bid-Ask Spread %97.4761.67137.84111.03106.80
Gamma HHI0.480.120.800.120.72
Net GEX200.4K35.2K345.7K37.6K342.4K
Net DEX-2.6M-3.8M-1.3M-1.3M-3.8M
Net VEX-6.9K-9.8K-3.2K-3.3K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.340.0025.3310.000.00
Total Volume63.7730436112
Total OI855.6365281,1425281,142

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$95.31$88.0022.5%6.5%30.2%20.8%18.7%-3.1%-0.3%37.6K-1.3M-3.3K10.00111.03N/AN/A110237291
2020-07-02$95.04$88.0017.6%5.0%29.8%14.0%13.1%16.2%2.6%38.1K-1.3M-3.2K0.20121.85N/AN/A51238301
2020-07-06$96.57$89.0023.3%4.1%29.4%21.8%14.9%5.1%8.7%37.1K-1.4M-3.5K1.28119.56N/AN/A124159240302
2020-07-07$96.62$89.0018.9%5.9%28.9%15.8%0.0%19.6%0.2%35.2K-1.4M-3.5K0.0084.59N/AN/A10241312
2020-07-08$97.22$89.0020.0%7.1%29.0%17.4%20.8%8.1%6.0%37.1K-1.4M-3.8K0.0066.50N/AN/A430242312
2020-07-09$97.28$89.0026.8%6.8%28.9%26.7%0.0%3.9%5.2%56.3K-1.5M-3.9K0.0085.36N/AN/A00285312
2020-07-10$98.85$89.0024.7%7.3%23.0%23.7%25.2%8.4%3.7%65.1K-1.7M-4.0K0.0084.22N/AN/A180285312
2020-07-13$97.47$89.0042.1%9.6%23.9%47.7%26.8%11.6%-8.6%58.1K-1.7M-4.1K0.0099.04N/AN/A20296312
2020-07-14$97.44$89.0032.1%8.3%23.5%33.9%22.0%7.1%1.1%52.5K-1.7M-3.7K0.00107.10N/AN/A3680295312
2020-07-15$98.72$89.0023.8%6.8%23.5%22.6%24.5%9.9%-1.2%253.1K-3.1M-8.4K0.7061.67N/AN/A257179649312
2020-07-16$98.74$95.0022.8%6.5%23.5%21.2%25.3%-0.4%5.8%294.5K-3.7M-9.5K5.0090.40N/AN/A15785332
2020-07-17$98.61$95.0023.2%6.6%23.5%21.7%29.4%22.7%-2.9%310.2K-3.5M-9.8K0.5383.62N/AN/A179786337
2020-07-20$99.80$95.0022.7%6.5%23.7%21.0%20.5%1.6%-11.2%328.8K-3.6M-9.3K0.00106.33N/AN/A120724230
2020-07-21$99.39$95.0022.1%6.3%23.8%20.2%31.8%1.1%0.6%313.4K-3.5M-9.0K1.4190.76N/AN/A1724727230
2020-07-22$99.23$95.0024.3%7.0%23.7%23.3%0.0%7.4%-1.0%329.7K-3.4M-9.3K0.00116.96N/AN/A00744254
2020-07-23$97.58$95.0022.4%6.4%22.7%20.6%19.1%4.5%-4.3%286.3K-2.8M-9.3K0.0084.29N/AN/A510744254
2020-07-24$97.28$95.0027.4%7.9%22.7%27.5%39.7%4.0%-0.9%266.5K-3.1M-9.1K0.0098.11N/AN/A110794254
2020-07-27$98.28$95.0023.0%6.6%17.1%21.4%21.4%5.4%-0.8%345.7K-3.4M-8.7K0.0085.23N/AN/A50804254
2020-07-28$97.68$95.0023.8%6.8%17.2%22.5%19.7%8.2%6.3%337.7K-3.1M-8.6K25.33100.24N/AN/A376809254
2020-07-29$98.46$95.0031.0%8.9%16.7%32.4%0.0%9.7%-9.5%252.1K-3.6M-9.4K0.00137.84N/AN/A00810330
2020-07-30$98.77$95.0019.7%5.6%14.3%16.9%20.1%6.9%4.9%332.1K-3.4M-9.4K0.00102.74N/AN/A20810330
2020-07-31$99.44$95.0025.4%7.3%14.3%24.8%0.0%10.0%-2.5%342.4K-3.8M-9.1K0.00106.80N/AN/A20812330