VOX Options History — August 2021

In August 2021, VOX traded between $142.28 and $149.99. ATM implied volatility averaged 15.8%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 0.6% (HV 20d: 15.2%). Max pain ranged from $143.00 to $147.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2021-08-03: Highest Volume — 18 contracts
  • 2021-08-31: Largest IV drop — 27.7% change
  • 2021-08-03: Highest IV Rank — 16.8%
  • 2021-08-03: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$145.30$142.28$149.99$144.09$149.99
Max Pain$146.45$143.00$147.00$143.00$147.00
ATM IV15.8%10.8%19.6%16.3%10.8%
Expected Move4.4%3.1%5.6%4.7%3.1%
HV 20d15.2%10.5%18.9%18.8%11.3%
HV 60d14.0%12.9%15.8%15.8%13.5%
IV Rank9.6%0.1%16.8%10.5%0.1%
IV Percentile16.5%0.4%36.1%17.5%0.4%
Term Structure1.0%-5.6%5.3%0.6%5.3%
VWIV15.8%11.1%19.0%16.3%16.9%
Skew 25d5.4%-0.9%10.6%6.4%4.9%
Skew 10d11.8%6.9%19.0%16.5%9.4%
Call IV 25d15.8%10.9%21.8%15.0%15.1%
Put IV 25d21.2%14.4%28.0%21.4%20.0%
Bid-Ask Spread %95.6273.05124.3987.9291.85
Gamma HHI0.130.100.160.120.10
Net GEX8.9K-27.7K42.7K36.6K2.8K
Net DEX-813.4K-1.3M-453.1K-808.0K-1.3M
Net VEX-4.0K-4.5K-3.0K-4.3K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.008.000.000.00
Total Volume3.90901844
Total OI225.773195237195235

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$144.09$143.0016.3%4.7%18.8%10.5%16.3%6.4%0.6%36.6K-808.0K-4.3K0.0087.92N/AN/A4012372
2021-08-03$143.49$143.0019.6%5.6%18.9%16.8%0.0%6.3%-5.6%35.2K-763.1K-4.1K8.00110.80N/AN/A21612374
2021-08-04$143.85$143.0014.4%4.1%18.8%6.9%0.0%7.3%0.5%42.7K-805.6K-4.0K0.00124.39N/AN/A01512674
2021-08-05$145.29$147.0018.3%3.9%18.5%14.3%0.0%1.8%4.2%28.3K-818.7K-4.5K0.0073.05N/AN/A0012890
2021-08-06$144.86$147.0018.7%4.1%18.1%15.1%0.0%7.5%0.8%16.1K-780.4K-4.5K2.0090.85N/AN/A12128105
2021-08-09$144.83$147.0017.0%4.3%18.0%11.8%0.0%5.0%0.8%22.2K-757.6K-4.4K0.0086.09N/AN/A80128105
2021-08-10$144.39$147.0018.9%5.1%18.0%15.5%0.0%5.6%-0.6%22.4K-718.9K-4.4K0.0075.40N/AN/A10128107
2021-08-11$144.76$147.0014.3%4.1%17.9%6.7%0.0%6.2%0.8%14.2K-737.9K-4.1K0.0077.05N/AN/A00124107
2021-08-12$144.98$147.0015.0%4.3%17.6%8.0%0.0%4.6%1.7%12.4K-769.5K-4.1K0.00107.73N/AN/A00124107
2021-08-13$144.89$147.0014.6%4.2%17.3%7.4%0.0%-0.9%4.3%2.8K-753.5K-4.2K0.00107.87N/AN/A10124107
2021-08-16$144.70$147.0014.7%4.2%16.0%7.4%0.0%3.5%3.8%17.4K-717.6K-3.8K0.50104.92N/AN/A42123107
2021-08-17$143.28$147.0016.4%4.7%14.8%10.6%0.0%-0.3%2.8%4.2K-582.2K-4.0K0.00108.75N/AN/A00124107
2021-08-18$143.09$147.0016.2%4.6%14.7%10.3%19.0%2.0%1.8%2.3K-626.3K-4.2K0.00104.73N/AN/A10128109
2021-08-19$142.28$147.0016.7%4.8%14.8%11.3%0.0%7.8%1.1%3.7K-453.1K-4.3K0.0099.91N/AN/A20128109
2021-08-20$143.82$147.0018.7%5.4%11.4%15.0%0.0%8.8%-5.6%9.0K-590.9K-4.1K0.00103.05N/AN/A40128109
2021-08-23$146.02$147.0015.3%4.4%12.7%8.5%15.5%9.6%1.7%-27.7K-870.2K-3.5K1.00111.66N/AN/A22112106
2021-08-24$146.84$147.0014.6%4.2%11.9%7.3%17.7%6.2%-1.0%-21.0K-877.4K-3.7K0.0080.70N/AN/A90112106
2021-08-25$147.26$147.0014.4%4.1%10.9%6.9%11.1%5.0%0.4%-16.8K-915.1K-3.7K0.0089.41N/AN/A10114108
2021-08-26$146.01$147.0014.5%4.1%10.5%7.0%14.6%10.6%1.5%-8.6K-864.2K-4.0K0.5085.10N/AN/A21123108
2021-08-27$148.52$147.0013.5%3.9%11.6%5.2%0.0%5.1%1.7%-3.0K-1.1M-3.4K0.0086.34N/AN/A00124108
2021-08-30$149.41$147.0015.0%4.3%11.5%8.0%16.9%5.6%1.2%1.1K-1.3M-3.1K0.0095.99N/AN/A20126109
2021-08-31$149.99$147.0010.8%3.1%11.3%0.1%0.0%4.9%5.3%2.8K-1.3M-3.0K0.0091.85N/AN/A04126109