VOX Options History — October 2020

In October 2020, VOX traded between $101.60 and $107.11. ATM implied volatility averaged 28.9%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 6.7% (HV 20d: 22.3%). Max pain ranged from $97.00 to $101.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.32.

Notable Days

  • 2020-10-05: Highest Volume — 143 contracts
  • 2020-10-12: Largest IV spike — 68.4% change
  • 2020-10-02: Highest IV Rank — 55.3%
  • 2020-10-02: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.22$101.60$107.11$103.30$102.15
Max Pain$99.95$97.00$101.00$101.00$97.00
ATM IV28.9%19.3%47.7%31.2%33.8%
Expected Move7.6%4.3%13.7%8.9%9.7%
HV 20d22.3%18.2%26.5%26.5%26.5%
HV 60d21.0%20.0%23.5%20.0%23.5%
IV Rank29.6%16.3%55.3%32.6%36.2%
IV Percentile67.2%35.3%94.4%80.2%83.3%
Term Structure-2.1%-19.6%8.3%-13.1%-0.2%
VWIV26.1%20.4%44.5%23.1%22.9%
Skew 25d7.3%-8.5%16.1%6.1%13.6%
Skew 10d8.8%-8.9%25.4%12.9%20.3%
Call IV 25d23.1%16.5%31.3%29.2%31.2%
Put IV 25d30.4%16.1%45.4%35.3%44.8%
Bid-Ask Spread %97.3260.75154.00113.91113.39
Gamma HHI0.170.130.240.210.13
Net GEX1.3K-96.4K59.3K-23.3K59.3K
Net DEX-1.8M-3.2M-1.1M-1.3M-1.6M
Net VEX-7.1K-8.4K-5.8K-6.3K-7.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.002.500.000.20
Total Volume16.0450143712
Total OI654.318322951806406

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$103.30$101.0031.2%8.9%26.5%32.6%23.1%6.1%-13.1%-23.3K-1.3M-6.3K0.00113.91N/AN/A70402404
2020-10-02$102.07$101.0047.7%13.7%23.3%55.3%0.0%14.0%-19.6%-6.2K-1.1M-6.6K0.00132.99N/AN/A00409404
2020-10-05$103.36$100.0028.7%6.1%23.7%29.2%0.0%10.5%0.3%-26.6K-1.3M-5.8K0.0077.05N/AN/A1430409404
2020-10-06$101.60$100.0043.4%8.0%22.7%49.4%0.0%10.4%-4.8%-11.3K-1.8M-8.4K2.50120.23N/AN/A820511404
2020-10-07$102.60$100.0029.3%4.3%22.6%30.0%0.0%2.3%8.3%-65.5K-1.8M-8.3K0.00154.00N/AN/A60515424
2020-10-08$103.54$100.0021.4%7.3%22.3%19.3%0.0%-2.6%-5.7%-96.4K-2.0M-7.9K0.0079.14N/AN/A10519424
2020-10-09$104.14$100.0024.5%7.3%22.0%23.5%0.0%6.2%-2.0%-86.9K-2.3M-7.8K0.00113.99N/AN/A00519424
2020-10-12$106.42$100.0041.2%5.8%23.0%46.4%0.0%-8.5%7.8%38.8K-2.9M-7.5K0.4192.41N/AN/A177518424
2020-10-13$106.80$100.0020.9%6.9%22.8%18.6%0.0%3.8%-6.7%57.9K-3.2M-6.6K0.00118.53N/AN/A10534417
2020-10-14$105.62$100.0023.6%6.8%23.2%22.3%20.4%6.0%-0.8%-23.9K-2.9M-7.0K0.3360.75N/AN/A62525417
2020-10-15$104.81$100.0020.5%5.9%21.6%18.0%0.0%10.0%0.3%-78.4K-2.4M-7.1K0.0091.49N/AN/A00527419
2020-10-16$104.85$100.0023.5%6.7%21.3%22.1%24.9%11.1%2.0%-88.3K-2.6M-6.7K0.87102.49N/AN/A1513527419
2020-10-19$102.80$100.0019.3%5.5%21.9%16.3%24.0%8.0%8.1%33.9K-1.1M-6.8K0.60121.03N/AN/A5324082
2020-10-20$103.80$100.0026.8%7.7%20.6%26.6%27.8%3.0%1.0%32.9K-1.2M-7.1K0.0094.21N/AN/A6024584
2020-10-21$105.38$100.0026.3%7.5%18.4%26.0%22.7%9.4%-3.7%38.3K-1.4M-7.0K0.1161.44N/AN/A18225184
2020-10-22$106.10$100.0023.7%6.8%18.5%22.4%0.0%14.1%-0.3%48.0K-1.5M-7.0K0.0098.37N/AN/A1026485
2020-10-23$107.11$100.0022.9%6.5%18.2%21.2%0.0%1.7%-2.7%46.5K-1.6M-6.9K0.0073.28N/AN/A0026485
2020-10-26$104.39$100.0029.6%8.5%20.5%30.5%24.3%4.1%-10.6%44.0K-1.4M-7.0K0.0076.91N/AN/A6026384
2020-10-27$105.38$100.0032.4%9.3%20.7%34.3%0.0%8.9%-2.2%45.6K-1.4M-7.2K0.0078.66N/AN/A0026984
2020-10-28$101.92$100.0035.5%10.2%24.1%38.5%0.0%16.1%-4.0%43.1K-1.1M-7.0K0.0086.75N/AN/A0026984
2020-10-29$104.60$100.0030.6%8.8%25.4%31.9%44.5%13.0%1.8%46.1K-1.3M-7.0K0.0480.05N/AN/A52226984
2020-10-30$102.15$97.0033.8%9.7%26.5%36.2%22.9%13.6%-0.2%59.3K-1.6M-7.4K0.20113.39N/AN/A10232185