VOX Options History — August 2020

In August 2020, VOX traded between $100.43 and $108.97. ATM implied volatility averaged 19.3%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 6.2% (HV 20d: 13.1%). Max pain ranged from $92.00 to $102.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.67.

Notable Days

  • 2020-08-28: Highest Volume — 256 contracts
  • 2020-08-27: Largest IV spike — 69.3% change
  • 2020-08-27: Highest IV Rank — 28.3%
  • 2020-08-27: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.89$100.43$108.97$100.43$108.48
Max Pain$94.67$92.00$102.00$95.00$102.00
ATM IV19.3%15.3%28.0%20.8%23.6%
Expected Move5.6%4.5%8.0%6.0%6.8%
HV 20d13.1%10.8%15.0%13.6%14.3%
HV 60d20.9%20.1%22.8%22.8%20.2%
IV Rank16.4%10.9%28.3%18.5%22.2%
IV Percentile46.5%31.0%77.8%51.6%65.1%
Term Structure0.6%-15.3%14.4%-0.5%2.1%
VWIV20.0%14.5%24.8%18.8%20.3%
Skew 25d5.8%-3.3%18.0%10.2%1.8%
Skew 10d12.0%-1.0%21.6%19.5%2.8%
Call IV 25d18.0%14.8%25.9%19.6%25.9%
Put IV 25d23.8%18.3%35.6%29.8%27.7%
Bid-Ask Spread %108.8981.62139.37101.18118.35
Gamma HHI0.560.090.840.750.13
Net GEX351.4K8.3K634.3K434.0K17.8K
Net DEX-5.0M-7.9M-2.0M-4.3M-2.4M
Net VEX-5.6K-9.0K-2.9K-9.0K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.0012.001.000.00
Total Volume20.952025623
Total OI1,018.4295661,1981,143882

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$100.43$95.0020.8%6.0%13.6%18.5%0.0%10.2%-0.5%434.0K-4.3M-9.0K1.00101.18N/AN/A11813330
2020-08-04$100.63$95.0021.6%6.2%13.6%19.5%0.0%18.0%0.9%429.5K-4.7M-8.4K0.00116.97N/AN/A10814331
2020-08-05$100.68$95.0018.7%5.4%13.5%15.5%18.8%5.8%3.9%510.7K-4.6M-8.4K0.00112.93N/AN/A100815331
2020-08-06$102.69$92.0015.3%6.2%15.0%10.9%0.0%11.2%9.4%523.2K-5.8M-7.1K1.6796.94N/AN/A610813331
2020-08-07$102.83$92.0017.7%6.1%14.1%14.1%0.0%2.2%-2.8%498.3K-5.8M-7.3K1.2590.65N/AN/A45809341
2020-08-10$102.31$92.0020.5%5.7%13.1%18.1%21.0%-0.2%1.9%530.3K-5.6M-7.2K0.0081.62N/AN/A50812337
2020-08-11$101.47$92.0026.1%6.3%13.6%25.7%18.4%11.1%-2.8%443.2K-5.2M-7.4K0.0084.57N/AN/A30817337
2020-08-12$102.37$92.0020.2%5.8%13.2%17.5%0.0%8.8%-7.2%611.4K-5.9M-6.1K0.0096.25N/AN/A140822337
2020-08-13$102.65$92.0018.8%5.4%13.2%15.6%0.0%1.4%-4.9%634.3K-6.3M-6.2K0.0098.69N/AN/A011831337
2020-08-14$102.53$92.0017.7%5.1%13.2%14.1%0.0%7.7%-4.1%622.9K-6.2M-6.1K0.00108.85N/AN/A10831348
2020-08-17$102.85$92.0018.3%5.2%12.7%14.9%14.5%7.3%-1.1%564.6K-6.2M-5.3K0.00104.88N/AN/A10832348
2020-08-18$103.65$92.0016.8%4.8%12.7%12.9%17.1%4.1%1.8%474.8K-7.3M-3.8K12.00112.55N/AN/A112833348
2020-08-19$103.38$92.0017.5%5.0%12.7%13.9%0.0%7.2%4.4%554.4K-7.4M-3.9K0.00113.84N/AN/A00834354
2020-08-20$104.36$92.0015.6%4.5%10.8%11.3%0.0%4.3%4.9%432.4K-7.2M-3.6K10.00119.56N/AN/A110834354
2020-08-21$103.73$92.0018.0%5.2%11.1%14.6%0.0%4.8%-0.5%30.4K-7.9M-3.3K1.00124.18N/AN/A11834364
2020-08-24$104.78$92.0016.7%4.8%11.1%12.7%21.2%4.4%3.3%13.6K-2.0M-3.2K1.67111.53N/AN/A915252314
2020-08-25$105.86$101.0017.3%5.0%10.8%13.6%0.0%4.8%2.3%8.3K-2.1M-3.0K0.05109.36N/AN/A201259329
2020-08-26$108.97$101.0016.5%4.7%13.9%12.6%24.3%5.9%3.3%15.1K-2.5M-2.9K0.04134.55N/AN/A241279330
2020-08-27$108.48$101.0028.0%8.0%14.3%28.3%24.8%-3.3%-15.3%19.7K-2.6M-3.6K0.00139.37N/AN/A012298331
2020-08-28$108.59$102.0019.7%5.6%14.4%16.9%20.3%4.3%14.4%10.3K-2.4M-4.0K1.44109.86N/AN/A105151298343
2020-08-31$108.48$102.0023.6%6.8%14.3%22.2%0.0%1.8%2.1%17.8K-2.4M-7.2K0.00118.35N/AN/A30398484