VOX Options History — June 2021

In June 2021, VOX traded between $137.67 and $144.75. ATM implied volatility averaged 14.3%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.8% (HV 20d: 13.5%). Max pain ranged from $110.00 to $135.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.15.

Notable Days

  • 2021-06-29: Highest Volume — 256 contracts
  • 2021-06-02: Largest IV spike — 41.3% change
  • 2021-06-02: Highest IV Rank — 14.0%
  • 2021-06-02: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$141.11$137.67$144.75$138.88$144.05
Max Pain$112.27$110.00$135.00$135.00$110.00
ATM IV14.3%10.8%19.9%14.1%13.6%
Expected Move4.1%3.1%5.7%4.0%3.9%
HV 20d13.5%9.9%18.7%18.7%10.3%
HV 60d15.5%14.0%16.6%16.6%14.0%
IV Rank3.7%0.0%14.0%2.5%5.4%
IV Percentile3.7%0.0%25.8%0.8%2.8%
Term Structure1.2%-8.4%6.4%0.6%0.7%
VWIV16.4%11.2%39.0%12.2%14.4%
Skew 25d5.2%-1.7%22.5%7.5%2.1%
Skew 10d10.8%-2.9%19.7%13.1%10.9%
Call IV 25d14.4%8.9%21.5%12.4%13.7%
Put IV 25d19.6%12.9%31.4%19.9%15.9%
Bid-Ask Spread %93.4369.15126.1778.1193.00
Gamma HHI0.140.100.330.120.14
Net GEX52.3K31.5K99.9K34.8K69.1K
Net DEX-1.9M-2.3M-1.6M-1.6M-2.2M
Net VEX-3.8K-4.3K-3.3K-4.3K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.000.670.000.59
Total Volume28.591025630
Total OI280.364266309266298

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$138.88$135.0014.1%4.0%18.7%2.5%12.2%7.5%0.6%34.8K-1.6M-4.3K0.0078.11N/AN/A3017492
2021-06-02$139.12$135.0019.9%5.7%17.5%14.0%0.0%8.4%-8.4%35.6K-1.6M-4.3K0.0087.45N/AN/A0017692
2021-06-03$137.67$110.0012.9%4.8%18.0%0.2%0.0%4.3%-2.0%31.5K-1.6M-4.3K0.00109.08N/AN/A0017692
2021-06-04$139.22$110.0014.7%4.6%18.3%3.8%0.0%6.9%2.7%39.9K-1.7M-4.2K0.0069.15N/AN/A0017692
2021-06-07$140.29$110.0016.7%4.3%17.8%7.7%13.0%5.1%-0.1%37.1K-1.7M-4.0K0.0078.97N/AN/A2017692
2021-06-08$140.35$110.0014.8%4.2%16.5%3.9%29.3%8.6%3.4%43.2K-1.8M-4.0K0.0080.57N/AN/A2017892
2021-06-09$140.08$110.0015.7%4.5%16.3%5.8%15.6%0.2%2.2%46.5K-1.8M-3.9K0.5083.93N/AN/A2117892
2021-06-10$140.21$110.0013.6%3.9%14.2%1.5%0.0%8.0%4.4%48.9K-1.8M-3.8K0.0093.17N/AN/A0017893
2021-06-11$140.55$110.0014.2%4.1%14.1%2.8%13.8%4.0%2.9%44.5K-1.8M-3.8K0.0084.13N/AN/A2017993
2021-06-14$141.59$110.0013.6%3.9%13.5%1.6%0.0%4.4%3.0%48.1K-1.9M-3.4K0.0077.61N/AN/A0017893
2021-06-15$140.95$110.0012.5%3.6%13.1%0.0%0.0%1.5%4.0%48.4K-1.9M-3.3K0.0096.35N/AN/A2017893
2021-06-16$140.07$110.0014.3%4.1%13.3%3.5%14.2%4.8%2.1%44.9K-1.8M-3.5K0.00113.70N/AN/A17018093
2021-06-17$141.17$110.0014.6%4.2%12.8%4.3%0.0%4.7%-0.1%48.6K-2.0M-3.7K0.00112.91N/AN/A2018893
2021-06-18$139.74$110.0015.2%4.3%11.5%5.2%39.0%1.3%0.3%49.1K-1.9M-3.7K0.00110.56N/AN/A2018893
2021-06-21$140.39$110.0015.8%4.5%11.4%6.5%13.5%7.2%-4.1%37.6K-1.8M-3.7K0.00103.89N/AN/A28017992
2021-06-22$141.90$110.0014.7%4.2%10.0%4.4%13.1%5.6%-1.7%72.9K-2.1M-3.7K0.6787.59N/AN/A3220692
2021-06-23$142.20$110.0014.6%4.2%9.9%4.2%17.0%6.1%1.0%68.9K-2.0M-3.8K0.6489.91N/AN/A1499519894
2021-06-24$143.38$110.0013.9%4.0%10.0%2.8%11.2%22.5%6.4%62.0K-2.2M-3.8K0.00126.17N/AN/A1021494
2021-06-25$143.81$110.0012.2%3.5%9.9%0.0%11.7%1.6%3.1%99.9K-2.3M-3.5K0.0085.58N/AN/A40021594
2021-06-28$144.75$110.0012.8%3.7%10.0%1.1%11.3%-1.7%2.0%77.6K-2.3M-3.5K0.0097.18N/AN/A20020694
2021-06-29$144.13$110.0010.8%3.1%10.3%0.0%14.4%1.5%4.2%61.7K-2.2M-3.5K0.5996.54N/AN/A1619520094
2021-06-30$144.05$110.0013.6%3.9%10.3%5.4%0.0%2.1%0.7%69.1K-2.2M-3.6K0.0093.00N/AN/A0020395