VOX Options History — May 2021 In May 2021, VOX traded between $132.30 and $138.89. ATM implied volatility averaged 18.9%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.8% (HV 20d: 17.1%). Max pain ranged from $124.00 to $140.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 2.10.
Notable Days 2021-05-05 : Highest Volume — 35 contracts2021-05-11 : Largest IV spike — 56.5% change2021-05-11 : Highest IV Rank — 21.8%2021-05-17 : Largest Expected Move — 6.8%Monthly Statistics Metric Avg Min Max Open Close Price $135.80 $132.30 $138.89 $138.06 $138.78 Max Pain $137.60 $124.00 $140.00 $124.00 $138.00 ATM IV 18.9% 12.8% 25.9% 21.4% 14.0% Expected Move 5.3% 3.7% 6.8% 6.1% 4.0% HV 20d 17.1% 12.1% 20.5% 12.1% 18.8% HV 60d 17.5% 16.5% 18.7% 16.5% 17.2% IV Rank 8.7% 0.0% 21.8% 12.6% 2.4% IV Percentile 20.9% 0.0% 65.9% 32.5% 0.4% Term Structure -0.5% -6.1% 3.6% -3.6% 2.4% VWIV 18.5% 15.6% 22.1% 22.1% 17.4% Skew 25d 4.3% -6.0% 12.9% 4.0% 5.5% Skew 10d 9.8% -0.3% 20.7% 1.4% 10.8% Call IV 25d 18.2% 10.8% 21.5% 17.5% 12.1% Put IV 25d 22.6% 15.1% 33.6% 21.5% 17.6% Bid-Ask Spread % 93.25 69.90 138.21 138.21 81.88 Gamma HHI 0.12 0.10 0.15 0.10 0.12 Net GEX 35.6K 26.9K 47.6K 27.1K 33.1K Net DEX -1.5M -2.0M -1.1M -1.3M -1.6M Net VEX -3.8K -4.6K -2.2K -2.2K -4.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.10 0.00 16.50 0.00 1.00 Total Volume 10.45 0 35 4 2 Total OI 242.25 152 289 152 265
Daily Data (20 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 2021-05-03 $138.06 $124.00 21.4% 6.1% 12.1% 12.6% 0.0% 4.0% -3.6% 27.1K -1.3M -2.2K 0.00 138.21 N/A N/A 4 0 122 30 2021-05-04 $135.64 $124.00 20.5% 5.9% 13.7% 10.8% 22.1% 6.2% -6.1% 33.1K -1.1M -2.6K 0.04 94.84 N/A N/A 27 1 126 30 2021-05-05 $135.61 $130.00 19.1% 5.5% 13.6% 7.9% 0.0% 6.1% -2.8% 39.5K -1.4M -3.0K 16.50 118.47 N/A N/A 2 33 153 31 2021-05-06 $136.00 $140.00 22.5% 5.6% 13.6% 14.9% 17.7% 3.0% 1.7% 30.4K -1.3M -3.4K 0.00 71.02 N/A N/A 29 0 153 64 2021-05-07 $138.06 $140.00 18.1% 4.9% 14.6% 5.6% 0.0% 7.4% 0.5% 37.7K -1.6M -3.8K 0.00 73.29 N/A N/A 0 6 171 64 2021-05-10 $135.72 $140.00 16.5% 4.8% 15.9% 2.4% 0.0% -1.9% -1.0% 35.5K -1.5M -3.5K 0.00 79.68 N/A N/A 3 0 171 64 2021-05-11 $134.90 $140.00 25.9% 6.0% 16.0% 21.8% 19.6% 5.8% -1.3% 38.8K -1.4M -4.0K 0.00 103.70 N/A N/A 3 0 174 64 2021-05-12 $132.30 $140.00 22.8% 6.5% 17.1% 15.5% 0.0% 4.8% -0.9% 31.8K -1.2M -4.3K 0.00 104.80 N/A N/A 2 0 176 64 2021-05-13 $133.29 $140.00 20.5% 5.9% 16.7% 10.8% 0.0% 4.4% 1.1% 36.0K -1.3M -3.9K 0.08 104.95 N/A N/A 13 1 178 64 2021-05-14 $135.25 $140.00 22.7% 6.5% 17.6% 15.3% 0.0% 6.1% -3.1% 43.3K -1.7M -3.8K 0.00 78.27 N/A N/A 0 1 191 64 2021-05-17 $134.02 $140.00 23.6% 6.8% 17.7% 17.1% 0.0% 8.2% -4.5% 39.2K -1.6M -3.8K 0.00 80.88 N/A N/A 1 0 190 63 2021-05-18 $133.62 $140.00 18.7% 5.4% 17.7% 6.9% 0.0% 12.9% -0.5% 43.0K -1.6M -3.8K 0.00 69.90 N/A N/A 0 0 191 63 2021-05-19 $132.44 $140.00 19.8% 5.7% 17.9% 9.1% 0.0% 4.4% -0.2% 42.3K -1.4M -4.1K 0.00 99.42 N/A N/A 10 0 191 63 2021-05-20 $135.43 $140.00 15.9% 4.6% 19.7% 1.1% 0.0% 1.5% 3.6% 47.6K -1.8M -3.8K 0.00 89.72 N/A N/A 0 20 201 63 2021-05-21 $135.01 $140.00 19.6% 5.6% 19.3% 8.8% 0.0% 2.8% -2.4% 32.7K -1.7M -4.2K 10.00 98.68 N/A N/A 1 10 201 83 2021-05-24 $137.58 $140.00 12.8% 3.7% 20.4% 0.0% 0.0% 0.1% 3.5% 27.7K -1.8M -4.2K 6.00 107.30 N/A N/A 1 6 193 85 2021-05-25 $137.19 $140.00 14.8% 4.2% 20.5% 3.8% 15.6% 5.4% 2.9% 26.9K -1.8M -4.4K 0.00 88.38 N/A N/A 4 0 194 91 2021-05-26 $138.14 $138.00 15.4% 4.4% 20.4% 5.1% 0.0% -6.0% -1.9% 35.7K -2.0M -4.2K 0.00 83.80 N/A N/A 28 0 198 91 2021-05-27 $138.89 $138.00 14.3% 4.1% 19.2% 2.9% 0.0% 5.8% 2.2% 30.3K -1.6M -4.6K 0.00 97.78 N/A N/A 1 0 174 91 2021-05-28 $138.78 $138.00 14.0% 4.0% 18.8% 2.4% 17.4% 5.5% 2.4% 33.1K -1.6M -4.4K 1.00 81.88 N/A N/A 1 1 174 91
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