VOX Options History — February 2021 In February 2021, VOX traded between $122.50 and $132.51. ATM implied volatility averaged 24.0%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 1.2% (HV 20d: 22.8%). Max pain ranged from $118.00 to $123.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.25.
Notable Days 2021-02-25 : Highest Volume — 25 contracts2021-02-04 : Largest IV spike — 34.4% change2021-02-04 : Highest IV Rank — 32.9%2021-02-01 : Largest Expected Move — 8.1%Monthly Statistics Metric Avg Min Max Open Close Price $129.65 $122.50 $132.51 $122.50 $129.86 Max Pain $120.26 $118.00 $123.00 $119.00 $118.00 ATM IV 24.0% 19.7% 33.8% 28.3% 23.9% Expected Move 6.6% 5.6% 8.1% 8.1% 6.8% HV 20d 22.8% 19.0% 24.9% 24.3% 19.0% HV 60d 17.1% 16.7% 18.3% 18.3% 17.9% IV Rank 16.6% 6.7% 32.9% 25.1% 13.1% IV Percentile 37.1% 11.1% 82.5% 65.1% 38.1% Term Structure -1.3% -5.9% 4.0% -4.1% -0.2% VWIV 24.4% 18.6% 33.0% 24.3% 20.4% Skew 25d 5.3% -2.1% 15.1% 1.7% 12.5% Skew 10d 8.4% -0.2% 22.4% 13.1% 9.7% Call IV 25d 20.4% 14.5% 27.8% 27.8% 20.4% Put IV 25d 25.6% 21.0% 32.9% 29.5% 32.9% Bid-Ask Spread % 134.74 97.87 151.35 151.35 131.44 Gamma HHI 0.23 0.08 0.44 0.19 0.09 Net GEX 43.9K 16.3K 93.7K 28.2K 24.6K Net DEX -2.5M -3.1M -1.7M -1.7M -2.2M Net VEX -2.0K -3.9K -1.2K -3.9K -1.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.25 0.00 2.00 0.00 0.00 Total Volume 3.263 0 25 1 3 Total OI 341.895 192 397 389 219
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 2021-02-01 $122.50 $119.00 28.3% 8.1% 24.3% 25.1% 0.0% 1.7% -4.1% 28.2K -1.7M -3.9K 0.00 151.35 N/A N/A 1 0 246 143 2021-02-02 $124.74 $119.00 23.7% 6.8% 24.5% 18.4% 0.0% 4.2% -0.9% 36.4K -2.1M -3.1K 0.00 142.51 N/A N/A 5 0 246 143 2021-02-03 $126.67 $119.00 25.1% 7.2% 24.9% 20.5% 24.3% -2.1% -5.8% 40.5K -2.4M -2.7K 2.00 146.16 N/A N/A 1 2 251 143 2021-02-04 $127.12 $123.00 33.8% 7.7% 24.9% 32.9% 22.6% 2.0% 1.1% 37.3K -2.3M -3.4K 0.00 136.83 N/A N/A 1 0 252 143 2021-02-05 $128.95 $123.00 25.6% 7.5% 24.8% 21.2% 0.0% -1.9% -3.0% 93.7K -2.8M -2.0K 0.00 113.67 N/A N/A 2 0 253 143 2021-02-08 $129.46 $123.00 24.3% 5.6% 24.8% 19.3% 0.0% 9.0% -0.9% 92.1K -2.8M -1.8K 0.00 97.87 N/A N/A 1 0 243 143 2021-02-09 $130.54 $123.00 29.9% 5.6% 24.1% 27.4% 0.0% 2.4% -1.2% 59.4K -2.8M -2.0K 0.20 135.43 N/A N/A 5 1 244 143 2021-02-10 $130.90 $123.00 20.3% 5.8% 23.5% 13.5% 18.6% 2.5% -2.7% 51.4K -2.8M -1.9K 0.00 145.10 N/A N/A 2 0 249 144 2021-02-11 $131.51 $123.00 21.6% 6.2% 23.5% 13.9% 0.0% 1.6% 4.0% 67.0K -2.9M -1.7K 0.00 130.59 N/A N/A 0 0 251 144 2021-02-12 $131.60 $123.00 22.6% 6.5% 23.3% 15.4% 0.0% -0.7% 0.9% 51.7K -2.9M -2.0K 0.00 136.63 N/A N/A 0 0 251 144 2021-02-16 $132.24 $123.00 22.6% 6.5% 23.1% 15.4% 33.0% 4.9% 0.0% 53.8K -3.0M -1.7K 1.00 132.26 N/A N/A 2 2 250 144 2021-02-17 $132.51 $118.00 20.1% 5.8% 22.7% 11.0% 0.0% 0.3% -0.2% 58.6K -3.0M -1.4K 0.00 141.84 N/A N/A 0 0 250 146 2021-02-18 $131.94 $118.00 20.8% 6.0% 20.9% 12.0% 0.0% 4.4% -0.9% 45.3K -3.1M -1.2K 0.25 144.26 N/A N/A 4 1 250 146 2021-02-19 $130.92 $118.00 21.2% 6.1% 21.3% 9.0% 0.0% 6.1% -2.0% 17.7K -3.0M -1.5K 0.00 145.68 N/A N/A 1 0 250 147 2021-02-22 $130.39 $118.00 24.7% 7.1% 21.4% 14.4% 27.4% 13.1% -2.8% 16.3K -1.9M -1.4K 0.00 117.08 N/A N/A 1 0 167 27 2021-02-23 $131.62 $118.00 19.7% 5.7% 21.6% 6.7% 0.0% 10.7% -5.9% 24.1K -2.0M -1.3K 0.00 130.53 N/A N/A 0 0 168 27 2021-02-24 $131.71 $118.00 21.1% 6.0% 21.4% 8.9% 0.0% 14.2% -0.1% 17.0K -2.0M -1.3K 0.00 131.85 N/A N/A 0 2 165 27 2021-02-25 $128.09 $118.00 26.9% 7.7% 19.1% 17.7% 0.0% 15.1% 0.2% 18.9K -1.8M -1.9K 0.00 149.01 N/A N/A 25 0 165 29 2021-02-26 $129.86 $118.00 23.9% 6.8% 19.0% 13.1% 20.4% 12.5% -0.2% 24.6K -2.2M -1.9K 0.00 131.44 N/A N/A 3 0 190 29
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