VOX Options History — December 2020

In December 2020, VOX traded between $117.26 and $120.16. ATM implied volatility averaged 25.3%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 12.8% (HV 20d: 12.4%). Max pain ranged from $102.00 to $106.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.48.

Notable Days

  • 2020-12-04: Highest Volume — 23 contracts
  • 2020-12-07: Largest IV spike — 33.2% change
  • 2020-12-07: Highest IV Rank — 32.8%
  • 2020-12-01: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.86$117.26$120.16$117.26$119.92
Max Pain$102.64$102.00$106.00$105.00$103.00
ATM IV25.3%20.8%31.3%27.2%24.6%
Expected Move7.0%5.7%7.8%7.8%7.1%
HV 20d12.4%10.3%18.4%18.4%10.3%
HV 60d21.0%19.3%23.3%23.3%19.3%
IV Rank24.5%18.4%32.8%27.2%23.7%
IV Percentile51.7%31.0%77.4%64.3%46.4%
Term Structure-3.2%-8.2%2.0%-8.2%-5.6%
VWIV24.6%15.6%41.5%28.7%21.3%
Skew 25d8.9%0.9%15.3%9.7%13.0%
Skew 10d9.4%0.0%17.8%6.1%6.7%
Call IV 25d20.9%16.9%29.9%24.6%19.6%
Put IV 25d29.8%22.1%34.3%34.3%32.6%
Bid-Ask Spread %114.11105.38126.45126.45123.70
Gamma HHI0.100.080.140.100.14
Net GEX28.6K21.4K38.9K21.4K38.9K
Net DEX-1.8M-2.0M-1.5M-1.5M-2.0M
Net VEX-2.8K-3.1K-2.4K-3.1K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.008.001.250.00
Total Volume6023921
Total OI274.273248293248293

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$117.26$105.0027.2%7.8%18.4%27.2%28.7%9.7%-8.2%21.4K-1.5M-3.1K1.25126.45N/AN/A4516583
2020-12-02$118.29$106.0025.0%7.2%17.4%24.1%0.0%0.9%-3.5%27.1K-1.6M-2.6K0.00121.52N/AN/A3016987
2020-12-03$118.15$102.0025.4%6.2%14.1%24.7%19.1%3.4%0.7%25.9K-1.6M-2.6K0.00119.83N/AN/A2016887
2020-12-04$118.44$102.0023.5%5.7%12.9%22.1%17.7%9.0%0.2%24.1K-1.6M-2.4K0.00114.60N/AN/A23016687
2020-12-07$119.02$102.0031.3%7.3%12.8%32.8%21.7%11.2%-4.1%27.6K-1.8M-2.6K0.00105.38N/AN/A2018686
2020-12-08$119.24$102.0030.4%6.9%12.8%31.6%0.0%3.4%-3.6%30.6K-1.8M-2.7K0.00105.76N/AN/A0018886
2020-12-09$117.81$102.0020.9%6.0%12.8%18.5%0.0%12.7%0.2%28.6K-1.8M-2.9K0.00108.24N/AN/A4018886
2020-12-10$118.42$102.0025.6%7.3%12.7%25.0%0.0%6.0%-4.5%31.8K-1.8M-2.6K0.00110.19N/AN/A1019086
2020-12-11$119.17$102.0025.7%7.4%12.3%25.2%0.0%5.9%-3.4%32.3K-1.9M-2.8K0.00109.06N/AN/A1019186
2020-12-14$118.78$102.0025.2%7.2%11.2%24.4%20.3%11.3%-4.1%26.1K-1.8M-3.1K0.00107.39N/AN/A5018986
2020-12-15$119.56$102.0022.9%6.6%11.2%21.3%41.5%13.5%-2.5%28.9K-1.8M-2.6K0.22106.22N/AN/A9218986
2020-12-16$119.83$102.0020.8%6.0%11.2%18.4%0.0%4.4%2.0%29.9K-2.0M-2.8K0.00120.80N/AN/A3019788
2020-12-17$119.22$102.0023.6%6.8%11.1%22.3%0.0%5.7%-4.1%29.8K-1.9M-2.9K0.00115.21N/AN/A2019788
2020-12-18$118.97$102.0026.2%7.5%11.2%25.8%0.0%7.8%-4.3%29.5K-1.9M-3.0K0.00113.55N/AN/A1019888
2020-12-21$118.31$102.0025.3%7.2%11.5%24.5%34.8%12.0%-3.3%23.9K-1.7M-3.0K8.00115.63N/AN/A1818283
2020-12-22$117.65$103.0026.9%7.7%11.8%26.8%0.0%6.5%-3.2%23.0K-1.7M-3.1K0.00115.60N/AN/A3018391
2020-12-23$118.91$103.0025.0%7.2%11.2%24.2%16.5%13.1%-4.5%22.6K-1.7M-2.9K0.00111.96N/AN/A1018591
2020-12-24$118.38$103.0023.4%6.7%11.4%22.0%15.6%15.3%-1.9%25.0K-1.7M-3.0K0.00118.17N/AN/A6018691
2020-12-28$120.16$103.0027.0%7.7%12.4%26.9%0.0%10.9%-6.7%33.3K-1.9M-2.6K0.00112.97N/AN/A0019291
2020-12-29$120.10$103.0026.7%7.7%12.0%26.5%33.7%12.7%-3.1%32.7K-1.9M-2.6K0.15111.45N/AN/A20319291
2020-12-30$119.42$103.0023.4%6.7%10.6%22.0%0.0%7.5%-2.6%36.7K-1.9M-2.8K0.00116.71N/AN/A2020290
2020-12-31$119.92$103.0024.6%7.1%10.3%23.7%21.3%13.0%-5.6%38.9K-2.0M-2.6K0.00123.70N/AN/A21020390