VOX Options History — September 2020

In September 2020, VOX traded between $98.84 and $111.39. ATM implied volatility averaged 32.4%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 8.0% (HV 20d: 24.4%). Max pain ranged from $89.00 to $102.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.47.

Notable Days

  • 2020-09-08: Highest Volume — 54 contracts
  • 2020-09-02: Largest IV spike — 76.1% change
  • 2020-09-03: Highest IV Rank — 77.0%
  • 2020-09-16: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.04$98.84$111.39$108.92$101.83
Max Pain$97.81$89.00$102.00$102.00$101.00
ATM IV32.4%21.3%63.5%21.3%28.6%
Expected Move8.6%6.1%12.0%6.1%8.2%
HV 20d24.4%14.3%28.6%14.3%27.4%
HV 60d20.5%19.7%22.1%20.1%19.8%
IV Rank34.3%19.2%77.0%19.2%29.1%
IV Percentile78.3%55.2%98.0%55.2%74.6%
Term Structure-1.4%-12.7%7.4%7.4%-0.2%
VWIV36.0%25.0%48.9%37.7%38.5%
Skew 25d10.6%1.8%20.8%12.9%8.7%
Skew 10d15.7%0.8%23.7%9.4%5.7%
Call IV 25d25.4%16.1%36.1%19.2%23.6%
Put IV 25d36.0%28.8%41.1%32.1%32.3%
Bid-Ask Spread %111.5087.50138.88138.88118.69
Gamma HHI0.190.120.400.120.24
Net GEX-25.7K-96.5K5.1K5.1K-38.8K
Net DEX-1.1M-2.8M-204.9K-2.5M-1.0M
Net VEX-7.6K-9.4K-6.2K-7.4K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.0010.002.000.00
Total Volume9.714054151
Total OI875.905769976883805

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$108.92$102.0021.3%6.1%14.3%19.2%0.0%12.9%7.4%5.1K-2.5M-7.4K2.00138.88N/AN/A510399484
2020-09-02$111.39$102.0037.6%10.8%15.7%41.4%37.7%3.1%0.5%-10.6K-2.8M-7.1K1.43130.42N/AN/A710399494
2020-09-03$107.13$89.0063.5%11.2%21.2%77.0%45.7%6.7%-9.5%-11.2K-1.9M-8.9K0.00117.38N/AN/A01404504
2020-09-04$106.12$89.0043.0%9.6%21.6%48.9%48.9%14.0%-0.8%-2.8K-1.7M-8.0K0.00110.74N/AN/A140404505
2020-09-08$103.39$89.0047.2%9.2%23.7%54.6%33.3%9.8%-0.2%-15.1K-1.3M-8.4K0.35115.64N/AN/A4014413505
2020-09-09$104.57$90.0027.2%7.8%23.7%27.2%0.0%12.9%4.1%-7.2K-1.8M-9.3K0.0087.50N/AN/A00453519
2020-09-10$103.10$90.0031.4%9.0%24.2%33.0%33.8%1.8%-0.1%-23.4K-1.5M-9.4K1.00120.44N/AN/A33453519
2020-09-11$102.09$90.0029.0%8.3%24.4%29.6%0.0%9.9%2.8%-24.8K-1.3M-9.0K0.00100.88N/AN/A00454522
2020-09-14$103.11$101.0029.1%8.4%24.7%29.8%0.0%20.8%1.2%-18.1K-956.8K-8.7K0.00110.02N/AN/A00400522
2020-09-15$104.22$101.0025.3%7.2%25.0%24.5%31.1%8.5%6.0%150-1.3M-8.3K10.00108.49N/AN/A110400522
2020-09-16$103.88$101.0041.7%12.0%24.9%47.1%0.0%13.0%-12.7%53-1.2M-8.5K0.00112.89N/AN/A00399522
2020-09-17$101.44$101.0029.0%8.3%26.3%29.7%0.0%14.4%-3.6%-31.8K-475.0K-8.0K1.25109.36N/AN/A1620399522
2020-09-18$100.67$101.0028.1%8.1%26.1%28.4%25.0%9.7%-5.6%-96.5K-204.9K-7.5K0.00108.08N/AN/A120399522
2020-09-21$99.18$101.0028.0%8.0%26.4%28.2%0.0%10.6%-5.7%-45.0K-244.8K-6.3K0.00104.23N/AN/A01372397
2020-09-22$101.48$101.0029.2%8.4%27.6%30.0%30.4%8.0%-4.7%-29.9K-714.8K-6.7K0.15101.87N/AN/A264372398
2020-09-23$98.84$101.0027.3%7.8%28.6%27.2%28.4%8.5%5.3%-29.6K-486.2K-6.7K0.00103.83N/AN/A01398402
2020-09-24$98.90$101.0027.1%7.8%26.0%27.1%0.0%14.7%-3.3%-36.3K-313.4K-6.4K0.00110.50N/AN/A00398403
2020-09-25$100.21$101.0031.7%9.1%26.7%33.4%43.1%7.2%3.3%-52.9K-504.7K-6.2K0.00115.11N/AN/A40398403
2020-09-28$101.65$101.0026.6%7.6%27.5%26.4%0.0%14.8%-6.0%-35.4K-875.8K-6.4K0.00110.42N/AN/A00402403
2020-09-29$101.71$101.0028.7%8.2%27.5%29.2%36.2%13.6%-8.4%-36.2K-937.6K-6.3K0.00106.04N/AN/A10402403
2020-09-30$101.83$101.0028.6%8.2%27.4%29.1%38.5%8.7%-0.2%-38.8K-1.0M-6.2K0.00118.69N/AN/A01402403