VOX Options History — November 2020

In November 2020, VOX traded between $102.52 and $115.78. ATM implied volatility averaged 25.0%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 1.7% (HV 20d: 26.7%). Max pain ranged from $97.00 to $105.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.52.

Notable Days

2020-11-20: Highest Volume — 126 contracts
2020-11-23: Largest IV drop — 23.5% change
2020-11-02: Highest IV Rank — 39.9%
2020-11-02: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$111.79	$102.52	$115.78	$102.52	$115.08
Max Pain	$103.80	$97.00	$105.00	$97.00	$105.00
ATM IV	25.0%	19.2%	36.5%	36.5%	23.3%
Expected Move	6.9%	5.5%	10.5%	10.5%	6.7%
HV 20d	26.7%	17.9%	29.4%	26.1%	17.9%
HV 60d	24.9%	23.1%	25.5%	23.6%	23.1%
IV Rank	24.2%	16.2%	39.9%	39.9%	21.9%
IV Percentile	52.7%	28.2%	86.1%	86.1%	45.2%
Term Structure	-2.9%	-11.9%	3.8%	-5.6%	-11.9%
VWIV	22.9%	16.7%	28.0%	21.0%	25.8%
Skew 25d	7.2%	4.0%	12.9%	8.3%	11.4%
Skew 10d	11.5%	2.8%	27.6%	27.6%	9.8%
Call IV 25d	23.3%	17.8%	35.9%	35.9%	22.6%
Put IV 25d	30.5%	23.2%	44.2%	44.2%	34.0%
Bid-Ask Spread %	116.17	85.21	141.09	85.21	119.55
Gamma HHI	0.14	0.10	0.19	0.14	0.10
Net GEX	49.4K	23.1K	68.8K	62.6K	23.6K
Net DEX	-2.2M	-2.9M	-1.2M	-1.6M	-1.4M
Net VEX	-5.1K	-7.5K	-3.0K	-7.5K	-3.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.00	5.00	0.00	0.00
Total Volume	12.35	0	126	2	2
Total OI	365.9	240	433	418	247

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2020-11-02	$102.52	$97.00	36.5%	10.5%	26.1%	39.9%	21.0%	8.3%	-5.6%	62.6K	-1.6M	-7.5K	0.00	85.21	N/A	N/A	2	0	331	87
2020-11-03	$104.92	$97.00	30.3%	8.7%	26.6%	31.4%	0.0%	11.3%	-7.3%	68.8K	-1.9M	-7.2K	0.50	94.75	N/A	N/A	2	1	331	87
2020-11-04	$108.52	$97.00	26.0%	7.5%	28.8%	25.6%	28.0%	7.5%	-8.0%	68.7K	-2.4M	-6.6K	0.00	125.04	N/A	N/A	9	0	332	88
2020-11-05	$110.67	$105.00	31.3%	6.7%	29.4%	32.8%	0.0%	5.9%	-0.2%	60.7K	-2.8M	-6.1K	0.00	135.74	N/A	N/A	2	0	341	88
2020-11-06	$111.52	$105.00	27.1%	5.8%	29.4%	27.1%	0.0%	7.2%	-0.4%	58.4K	-2.9M	-5.6K	0.00	129.76	N/A	N/A	0	0	343	88
2020-11-09	$111.76	$105.00	26.9%	6.8%	28.6%	26.7%	0.0%	6.0%	2.2%	52.8K	-2.9M	-6.0K	0.25	87.99	N/A	N/A	4	1	343	88
2020-11-10	$110.41	$105.00	25.1%	6.6%	29.0%	24.2%	0.0%	10.0%	-3.9%	67.7K	-2.8M	-5.9K	0.00	100.95	N/A	N/A	63	0	346	87
2020-11-11	$111.26	$105.00	25.3%	7.2%	28.7%	24.5%	0.0%	12.9%	-7.0%	61.9K	-2.6M	-5.4K	0.00	114.12	N/A	N/A	10	0	308	87
2020-11-12	$110.56	$105.00	26.5%	7.6%	28.6%	26.2%	0.0%	6.8%	-4.0%	62.9K	-2.5M	-5.9K	0.00	141.09	N/A	N/A	1	0	316	87
2020-11-13	$112.62	$105.00	20.7%	5.9%	29.2%	18.3%	0.0%	5.9%	-3.3%	58.0K	-2.7M	-5.5K	0.00	108.86	N/A	N/A	0	0	315	87
2020-11-16	$113.30	$105.00	24.5%	7.0%	27.8%	23.5%	0.0%	5.3%	-4.5%	47.9K	-2.5M	-5.3K	5.00	102.03	N/A	N/A	1	5	290	87
2020-11-17	$113.24	$105.00	21.7%	6.2%	27.8%	19.7%	0.0%	7.0%	2.1%	49.7K	-2.5M	-5.0K	0.00	118.39	N/A	N/A	0	0	290	92
2020-11-18	$112.59	$105.00	26.4%	7.6%	27.8%	26.1%	0.0%	6.5%	-5.0%	53.3K	-2.4M	-5.3K	0.00	126.27	N/A	N/A	3	0	290	92
2020-11-19	$113.22	$105.00	22.6%	6.5%	27.7%	20.9%	0.0%	6.3%	-2.5%	56.0K	-2.6M	-4.7K	0.00	132.85	N/A	N/A	0	0	294	92
2020-11-20	$113.24	$105.00	26.5%	7.6%	27.7%	26.2%	16.7%	6.1%	-5.4%	36.5K	-2.6M	-5.0K	0.00	128.27	N/A	N/A	126	0	294	92
2020-11-23	$113.72	$105.00	20.3%	5.8%	25.5%	17.7%	0.0%	6.2%	-2.1%	23.1K	-1.2M	-3.4K	0.00	109.81	N/A	N/A	0	11	161	79
2020-11-24	$115.48	$105.00	19.2%	5.5%	25.8%	16.2%	25.8%	4.0%	2.6%	25.3K	-1.4M	-3.0K	1.00	127.72	N/A	N/A	2	2	161	85
2020-11-25	$115.40	$105.00	21.1%	6.0%	21.7%	18.7%	0.0%	4.2%	1.8%	24.9K	-1.4M	-3.0K	0.00	128.76	N/A	N/A	0	0	163	83
2020-11-27	$115.78	$105.00	19.3%	5.5%	20.4%	16.4%	0.0%	5.4%	3.8%	26.0K	-1.4M	-3.0K	0.00	106.21	N/A	N/A	0	0	163	83
2020-11-30	$115.08	$105.00	23.3%	6.7%	17.9%	21.9%	0.0%	11.4%	-11.9%	23.6K	-1.4M	-3.1K	0.00	119.55	N/A	N/A	2	0	164	83