VOX Options History — April 2021

In April 2021, VOX traded between $132.35 and $140.12. ATM implied volatility averaged 18.8%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.9% (HV 20d: 15.9%). Max pain ranged from $100.00 to $130.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2021-04-13: Highest Volume — 272 contracts
  • 2021-04-22: Largest IV spike — 35.9% change
  • 2021-04-22: Highest IV Rank — 17.7%
  • 2021-04-22: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$136.11$132.35$140.12$132.35$138.59
Max Pain$125.71$100.00$130.00$100.00$124.00
ATM IV18.8%15.9%23.8%15.9%19.4%
Expected Move5.3%4.5%6.8%4.6%5.6%
HV 20d15.9%11.9%19.4%19.4%13.4%
HV 60d19.1%16.5%20.7%20.4%16.5%
IV Rank7.2%1.2%17.7%1.2%8.4%
IV Percentile13.7%0.8%50.8%0.8%18.3%
Term Structure-1.3%-11.2%5.3%2.3%2.8%
VWIV18.6%15.3%23.9%15.3%23.9%
Skew 25d4.7%-7.6%10.1%2.5%6.6%
Skew 10d7.7%-2.3%16.7%11.5%6.7%
Call IV 25d16.6%13.3%22.0%18.7%16.3%
Put IV 25d21.3%14.4%26.7%21.2%22.9%
Bid-Ask Spread %108.0874.09155.37122.14119.34
Gamma HHI0.100.080.110.110.10
Net GEX31.6K24.8K38.5K24.8K29.0K
Net DEX-1.5M-2.0M-1.1M-1.7M-1.2M
Net VEX-1.7K-2.1K-1.3K-1.6K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.001.000.001.00
Total Volume17.6670272224
Total OI161.571126202184131

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-04-01$132.35$100.0015.9%4.6%19.4%1.2%0.0%2.5%2.3%24.8K-1.7M-1.6K0.00122.14N/AN/A2015133
2021-04-05$134.81$130.0020.4%5.0%18.9%10.6%0.0%1.6%-2.8%26.2K-1.8M-1.4K0.0096.87N/AN/A0015333
2021-04-06$135.43$130.0022.9%5.6%18.5%15.7%0.0%4.5%-2.9%25.8K-1.8M-1.4K0.00135.91N/AN/A0015433
2021-04-07$136.12$130.0018.1%4.5%18.2%5.7%0.0%-7.6%5.3%26.3K-1.9M-1.4K0.00132.67N/AN/A4015433
2021-04-08$136.58$130.0017.3%6.5%18.2%4.0%0.0%3.3%-5.1%30.9K-1.9M-1.3K0.00155.37N/AN/A11015833
2021-04-09$136.55$130.0022.7%4.8%17.3%15.3%0.0%1.2%-0.3%37.4K-1.9M-1.5K0.00137.55N/AN/A0016433
2021-04-12$135.99$130.0016.4%5.7%17.3%2.2%15.3%6.3%-4.8%38.5K-1.8M-1.7K0.0094.73N/AN/A3015932
2021-04-13$136.29$130.0019.2%4.8%17.3%8.0%18.7%6.7%0.3%37.8K-1.9M-1.9K0.1874.09N/AN/A2304216332
2021-04-14$135.18$130.0018.4%5.3%17.2%6.4%0.0%8.0%1.7%37.7K-1.8M-2.0K0.00106.64N/AN/A3016732
2021-04-15$136.92$130.0017.9%5.1%17.8%5.4%16.5%3.4%0.2%37.7K-1.9M-2.0K0.0084.24N/AN/A5016732
2021-04-16$136.64$130.0017.0%4.9%16.3%3.4%23.9%8.5%0.9%38.3K-2.0M-1.6K0.4094.74N/AN/A301217032
2021-04-19$135.78$124.0016.8%4.8%16.1%3.1%0.0%2.9%4.5%31.0K-1.1M-2.0K0.00127.67N/AN/A0011214
2021-04-20$135.01$124.0020.2%5.8%16.2%10.1%0.0%10.1%-2.1%29.6K-1.1M-2.1K0.0089.33N/AN/A0011214
2021-04-21$134.99$124.0017.5%5.0%15.5%4.6%0.0%3.2%2.4%35.0K-1.1M-1.7K0.0082.33N/AN/A0011214
2021-04-22$134.59$124.0023.8%6.8%13.5%17.7%0.0%7.4%-11.2%30.0K-1.1M-2.1K0.0087.37N/AN/A0211214
2021-04-23$136.18$124.0018.3%5.3%13.8%6.2%0.0%5.5%-4.1%31.1K-1.1M-2.1K0.0087.12N/AN/A0011216
2021-04-26$136.47$124.0018.5%5.3%12.0%6.5%0.0%8.4%-3.6%32.0K-1.1M-2.0K0.0089.01N/AN/A0011216
2021-04-27$136.27$124.0017.0%4.9%11.9%3.4%0.0%6.6%-6.0%29.6K-1.2M-1.6K0.0089.08N/AN/A0011216
2021-04-28$137.38$124.0016.8%4.8%12.0%2.9%0.0%5.2%-2.4%28.3K-1.2M-1.8K0.00136.83N/AN/A0011216
2021-04-29$140.12$124.0020.0%5.7%13.4%9.7%0.0%4.5%-2.5%26.1K-1.3M-1.3K0.00126.58N/AN/A0311216
2021-04-30$138.59$124.0019.4%5.6%13.4%8.4%0.0%6.6%2.8%29.0K-1.2M-1.9K1.00119.34N/AN/A121211219