VOX Options History — March 2021

In March 2021, VOX traded between $127.71 and $135.00. ATM implied volatility averaged 21.1%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.7% (HV 20d: 19.4%). Max pain ranged from $100.00 to $118.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.37.

Notable Days

  • 2021-03-26: Highest Volume — 20 contracts
  • 2021-03-29: Largest IV drop — 27.8% change
  • 2021-03-03: Highest IV Rank — 19.7%
  • 2021-03-03: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$131.42$127.71$135.00$131.86$130.15
Max Pain$102.35$100.00$118.00$118.00$100.00
ATM IV21.1%16.2%28.1%23.1%20.3%
Expected Move6.0%4.6%8.1%6.6%5.8%
HV 20d19.4%16.6%22.5%17.3%19.1%
HV 60d19.2%17.8%20.3%17.8%20.1%
IV Rank9.5%1.6%19.7%11.9%10.3%
IV Percentile21.8%0.8%64.3%29.0%18.7%
Term Structure-0.1%-10.2%8.0%-7.5%-6.7%
VWIV26.9%12.4%68.7%18.0%68.7%
Skew 25d6.1%0.2%11.7%9.7%7.6%
Skew 10d10.5%2.7%18.1%4.4%8.1%
Call IV 25d17.6%12.4%22.5%18.6%15.0%
Put IV 25d23.7%18.7%29.2%28.3%22.7%
Bid-Ask Spread %123.8098.59150.24148.43119.71
Gamma HHI0.110.080.270.120.12
Net GEX23.0K16.0K35.3K21.5K25.0K
Net DEX-2.2M-2.5M-1.5M-2.2M-1.6M
Net VEX-1.6K-2.0K-1.2K-1.5K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.002.002.000.00
Total Volume2.69602031
Total OI221.609177237215180

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$131.86$118.0023.1%6.6%17.3%11.9%0.0%9.7%-7.5%21.5K-2.2M-1.5K2.00148.43N/AN/A1218629
2021-03-02$131.30$118.0024.3%7.0%16.6%13.8%0.0%3.1%-6.6%19.3K-2.2M-1.6K0.00150.24N/AN/A0018729
2021-03-03$129.21$118.0028.1%8.1%17.0%19.7%0.0%6.2%-4.4%20.6K-2.1M-1.7K2.00142.20N/AN/A1218729
2021-03-04$127.77$100.0025.5%6.8%16.8%15.7%0.0%3.9%-0.6%23.0K-2.1M-1.9K0.00116.88N/AN/A0018831
2021-03-05$130.69$100.0022.3%6.1%18.6%10.8%18.0%11.7%2.0%24.3K-2.2M-1.6K0.50113.91N/AN/A2119331
2021-03-08$129.45$100.0025.9%7.3%18.3%16.3%17.9%8.1%-2.4%21.5K-2.2M-1.9K0.00114.65N/AN/A6019432
2021-03-09$130.85$100.0022.6%5.6%18.6%11.1%0.0%8.1%7.3%23.5K-2.3M-2.0K0.00109.46N/AN/A0020032
2021-03-10$131.57$100.0018.1%5.2%18.5%4.3%0.0%6.8%3.8%21.8K-2.4M-1.7K0.00110.39N/AN/A0020032
2021-03-11$133.83$100.0019.7%5.7%19.4%6.8%17.1%5.3%2.3%20.7K-2.4M-1.6K0.3398.59N/AN/A3120032
2021-03-12$133.25$100.0023.2%6.7%19.5%12.1%27.0%7.3%-10.2%23.6K-2.4M-1.6K0.00117.25N/AN/A1020232
2021-03-15$133.58$100.0021.6%6.2%19.5%9.6%0.0%5.0%-1.6%29.3K-2.5M-1.3K0.00114.59N/AN/A0020331
2021-03-16$135.00$100.0018.0%5.2%19.7%4.1%0.0%8.5%0.8%24.6K-2.5M-1.3K0.00125.35N/AN/A0320331
2021-03-17$134.92$100.0018.0%5.2%19.8%4.1%0.0%5.3%0.5%24.7K-2.5M-1.3K0.00126.82N/AN/A0020334
2021-03-18$132.43$100.0018.8%5.4%20.9%5.4%0.0%4.3%8.0%23.8K-2.4M-1.3K0.00123.75N/AN/A1020334
2021-03-19$133.81$100.0018.6%5.3%21.0%5.4%0.0%4.9%-0.1%35.3K-2.5M-1.4K0.00122.81N/AN/A1020334
2021-03-22$134.47$100.0019.7%5.7%20.9%7.9%0.0%7.8%-1.9%16.0K-2.5M-1.2K0.00136.04N/AN/A0019632
2021-03-23$132.83$100.0016.2%4.6%21.2%1.6%0.0%5.3%5.1%17.5K-2.4M-1.4K0.00131.55N/AN/A1019632
2021-03-24$130.14$100.0019.7%5.6%22.5%9.0%12.4%7.0%-4.2%19.6K-2.3M-1.6K0.00130.40N/AN/A3019732
2021-03-25$129.72$100.0020.4%5.9%20.1%10.5%0.0%5.1%5.1%21.4K-2.2M-1.7K0.00123.65N/AN/A9019432
2021-03-26$127.71$100.0023.7%6.8%20.3%17.3%0.0%3.7%2.9%21.6K-2.1M-1.7K0.00127.38N/AN/A20019232
2021-03-29$128.97$100.0017.1%4.9%19.8%3.7%68.7%4.8%1.3%24.2K-1.5M-1.9K0.00123.07N/AN/A3014532
2021-03-30$129.19$100.0019.3%5.5%19.8%8.1%0.0%0.2%5.1%25.8K-1.5M-1.9K0.00120.23N/AN/A0014832
2021-03-31$130.15$100.0020.3%5.8%19.1%10.3%0.0%7.6%-6.7%25.0K-1.6M-1.8K0.00119.71N/AN/A0114832