VOX Options History — January 2021 In January 2021, VOX traded between $117.77 and $125.36. ATM implied volatility averaged 26.7%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 11.7% (HV 20d: 15.0%). Max pain ranged from $119.00 to $122.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.87.
Notable Days 2021-01-06 : Highest Volume — 69 contracts2021-01-13 : Largest IV drop — 51.2% change2021-01-12 : Highest IV Rank — 48.6%2021-01-29 : Largest Expected Move — 9.6%Monthly Statistics Metric Avg Min Max Open Close Price $120.77 $117.77 $125.36 $118.49 $120.10 Max Pain $119.79 $119.00 $122.00 $122.00 $119.00 ATM IV 26.7% 19.1% 44.3% 29.2% 33.6% Expected Move 6.7% 5.5% 9.6% 6.6% 9.6% HV 20d 15.0% 11.1% 23.3% 11.2% 23.3% HV 60d 18.9% 17.1% 19.6% 19.5% 18.5% IV Rank 23.8% 11.8% 48.6% 29.9% 32.7% IV Percentile 51.8% 15.9% 92.9% 71.8% 81.3% Term Structure -1.5% -9.2% 4.5% 1.0% -9.2% VWIV 21.8% 10.8% 42.4% 10.8% 42.4% Skew 25d 7.6% -0.2% 22.8% 7.0% 22.8% Skew 10d 10.2% 2.1% 22.2% 7.3% 22.2% Call IV 25d 19.8% 10.8% 31.1% 16.8% 20.0% Put IV 25d 27.4% 21.4% 42.8% 23.8% 42.8% Bid-Ask Spread % 127.22 112.31 150.53 122.71 127.56 Gamma HHI 0.20 0.15 0.27 0.21 0.18 Net GEX 37.3K 2.9K 96.7K 57.7K 19.1K Net DEX -1.7M -2.3M -1.3M -1.9M -1.3M Net VEX -4.1K -5.0K -2.7K -2.8K -4.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.00 6.67 0.00 0.00 Total Volume 15.632 0 69 3 0 Total OI 389.737 302 492 304 390
Daily Data (19 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 2021-01-04 $118.49 $122.00 29.2% 6.6% 11.2% 29.9% 0.0% 7.0% 1.0% 57.7K -1.9M -2.8K 0.00 122.71 N/A N/A 3 0 214 90 2021-01-05 $119.02 $122.00 27.6% 6.3% 11.3% 27.7% 0.0% 11.9% -1.2% 58.0K -1.9M -2.7K 0.00 131.48 N/A N/A 0 0 212 90 2021-01-06 $119.10 $122.00 29.8% 6.1% 11.1% 30.7% 10.8% 15.4% -2.1% 53.1K -1.9M -2.8K 0.00 149.36 N/A N/A 69 0 212 90 2021-01-07 $120.96 $122.00 25.1% 6.1% 12.4% 24.3% 0.0% 5.8% -0.4% 90.7K -2.3M -3.1K 0.00 123.67 N/A N/A 0 0 272 90 2021-01-08 $121.05 $122.00 27.5% 5.9% 11.5% 26.2% 20.1% 5.0% -0.5% 96.7K -2.3M -3.2K 0.00 121.70 N/A N/A 0 40 272 90 2021-01-11 $119.54 $119.00 34.6% 6.1% 12.4% 34.7% 22.1% 7.8% -3.2% 61.5K -1.8M -4.1K 6.67 121.55 N/A N/A 9 60 272 150 2021-01-12 $118.33 $119.00 44.3% 7.3% 12.7% 48.6% 19.2% 5.3% -7.7% 21.1K -1.4M -4.9K 0.53 112.31 N/A N/A 19 10 275 210 2021-01-13 $118.60 $119.00 21.6% 6.2% 12.7% 16.2% 19.9% 4.6% -5.2% 24.7K -1.5M -4.6K 0.00 115.32 N/A N/A 4 0 277 206 2021-01-14 $118.10 $119.00 23.2% 6.6% 12.5% 18.3% 22.7% 3.1% 4.5% 28.5K -1.5M -4.5K 0.08 124.50 N/A N/A 39 3 277 206 2021-01-15 $117.77 $119.00 20.3% 5.8% 12.5% 14.3% 0.0% 5.9% -0.1% 10.0K -1.4M -5.0K 0.00 150.53 N/A N/A 0 0 283 209 2021-01-19 $119.82 $119.00 22.0% 6.3% 13.9% 16.6% 0.0% 7.8% 2.6% 2.9K -1.3M -4.1K 3.00 138.32 N/A N/A 2 6 230 136 2021-01-20 $123.41 $119.00 19.1% 5.5% 17.3% 11.8% 19.0% 2.5% 2.6% 13.8K -1.8M -4.0K 0.00 132.38 N/A N/A 11 0 232 142 2021-01-21 $123.72 $119.00 21.0% 6.0% 17.1% 14.5% 21.5% -0.2% -1.1% 34.9K -1.8M -4.1K 0.00 125.38 N/A N/A 4 0 235 142 2021-01-22 $123.82 $119.00 23.3% 6.7% 16.9% 17.9% 0.0% 10.9% -3.7% 32.7K -1.8M -4.2K 0.00 128.34 N/A N/A 0 0 236 142 2021-01-25 $124.06 $119.00 28.2% 8.1% 16.6% 24.9% 0.0% 0.2% -5.1% 22.8K -1.7M -4.3K 0.00 117.29 N/A N/A 0 0 235 142 2021-01-26 $125.36 $119.00 23.1% 6.6% 16.7% 17.6% 20.6% 4.4% 1.8% 35.7K -1.9M -4.1K 0.00 118.65 N/A N/A 4 0 235 142 2021-01-27 $120.72 $119.00 28.6% 8.2% 21.4% 25.5% 42.4% 10.7% -1.8% 14.1K -1.3M -4.9K 0.18 123.64 N/A N/A 11 2 237 142 2021-01-28 $122.59 $119.00 25.1% 7.2% 22.1% 20.4% 0.0% 13.4% 0.9% 30.7K -1.7M -4.6K 0.00 132.47 N/A N/A 1 0 247 143 2021-01-29 $120.10 $119.00 33.6% 9.6% 23.3% 32.7% 0.0% 22.8% -9.2% 19.1K -1.3M -4.9K 0.00 127.56 N/A N/A 0 0 247 143
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