VOX Options History — July 2021

In July 2021, VOX traded between $138.95 and $147.55. ATM implied volatility averaged 17.1%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.1% (HV 20d: 13.0%). Max pain ranged from $110.00 to $146.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.25.

Notable Days

  • 2021-07-19: Highest Volume — 34 contracts
  • 2021-07-13: Largest IV spike — 66.2% change
  • 2021-07-13: Highest IV Rank — 38.3%
  • 2021-07-27: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$144.15$138.95$147.55$144.74$144.56
Max Pain$139.43$110.00$146.00$110.00$140.00
ATM IV17.1%12.5%30.9%12.5%15.6%
Expected Move4.4%3.6%5.7%3.6%4.5%
HV 20d13.0%8.6%18.9%9.3%18.9%
HV 60d14.8%13.9%16.1%13.9%15.8%
IV Rank12.1%3.4%38.3%3.4%9.2%
IV Percentile20.7%1.2%90.5%1.2%13.1%
Term Structure0.7%-7.3%4.8%1.2%0.4%
VWIV15.2%13.1%19.2%15.7%14.7%
Skew 25d4.8%-0.5%10.1%0.8%6.6%
Skew 10d8.7%0.0%17.7%9.4%17.2%
Call IV 25d15.6%11.2%21.6%14.8%14.7%
Put IV 25d20.4%15.6%26.2%15.6%21.2%
Bid-Ask Spread %74.4945.60105.4792.8880.16
Gamma HHI0.140.110.220.140.11
Net GEX57.2K31.4K90.2K69.7K35.3K
Net DEX-1.5M-2.4M-486.8K-2.3M-806.2K
Net VEX-3.5K-4.0K-3.0K-3.6K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.0016.001.001.00
Total Volume7.61903422
Total OI230.238149301299187

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$144.74$110.0012.5%3.6%9.3%3.4%15.7%0.8%1.2%69.7K-2.3M-3.6K1.0092.88N/AN/A1120495
2021-07-02$145.40$110.0015.2%4.4%8.7%8.4%0.0%3.2%-0.1%68.0K-2.4M-3.3K0.00101.81N/AN/A0020594
2021-07-06$145.07$146.0014.8%3.8%8.6%7.8%0.0%5.4%2.2%70.5K-2.3M-3.3K0.0045.60N/AN/A3020494
2021-07-07$144.21$146.0016.1%4.5%9.0%10.1%0.0%7.6%1.3%73.6K-2.3M-3.4K0.0485.01N/AN/A26120794
2021-07-08$142.47$146.0019.0%4.7%10.2%15.7%13.1%5.1%0.2%78.6K-1.7M-3.5K0.0051.42N/AN/A1018295
2021-07-09$144.26$146.0026.9%4.2%11.0%30.5%0.0%4.2%0.1%82.6K-1.9M-3.2K0.0069.60N/AN/A1018395
2021-07-12$144.81$146.0018.6%5.2%11.0%14.9%14.3%3.8%-1.9%71.0K-2.0M-3.0K0.0085.72N/AN/A4018295
2021-07-13$144.34$144.0030.9%3.9%10.9%38.3%0.0%3.1%3.8%76.5K-2.0M-3.1K0.0079.77N/AN/A0018395
2021-07-14$143.60$144.0013.5%3.9%11.0%5.2%0.0%2.6%3.3%78.9K-1.9M-3.1K0.0553.75N/AN/A20118395
2021-07-15$142.38$144.0013.1%3.8%11.2%4.5%14.0%5.6%4.8%61.7K-1.9M-3.7K2.00105.47N/AN/A1220395
2021-07-16$141.29$143.0015.8%4.5%11.2%9.6%15.4%10.1%0.7%90.2K-1.8M-3.6K0.0063.26N/AN/A3020296
2021-07-19$138.95$143.0019.6%5.6%12.2%16.7%19.2%-0.5%-0.2%34.3K-486.8K-3.6K0.0085.09N/AN/A34010250
2021-07-20$141.99$140.0017.1%4.9%14.4%12.0%13.7%8.3%-2.2%34.1K-708.8K-3.6K1.3378.80N/AN/A349950
2021-07-21$142.69$140.0016.0%4.6%14.0%9.9%14.3%3.7%-0.2%31.4K-743.0K-3.8K0.0066.39N/AN/A8010254
2021-07-22$142.90$140.0016.1%4.6%14.0%10.1%0.0%7.4%0.5%39.8K-784.3K-3.8K0.0064.91N/AN/A0010954
2021-07-23$146.94$140.0013.9%4.0%16.9%5.9%16.5%6.8%2.4%40.3K-1.0M-3.4K0.0055.28N/AN/A5010954
2021-07-26$147.51$140.0014.0%4.0%16.9%6.2%14.5%4.8%4.2%38.0K-1.0M-3.4K0.8050.17N/AN/A5410954
2021-07-27$145.56$140.0019.7%5.7%17.6%17.0%16.9%1.7%-1.1%42.0K-956.7K-3.6K16.0085.25N/AN/A11611254
2021-07-28$147.55$140.0016.3%4.7%18.1%10.5%0.0%4.6%-7.3%47.4K-1.1M-3.3K0.00102.41N/AN/A1011554
2021-07-29$145.87$140.0014.8%4.3%18.6%7.8%0.0%6.0%1.6%38.0K-911.4K-3.8K0.2061.62N/AN/A10211670
2021-07-30$144.56$140.0015.6%4.5%18.9%9.2%14.7%6.6%0.4%35.3K-806.2K-4.0K1.0080.16N/AN/A1111770