VOX Options History — September 2021

In September 2021, VOX traded between $141.35 and $150.70. ATM implied volatility averaged 16.6%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.5% (HV 20d: 13.1%). Max pain ranged from $125.00 to $147.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 6.25.

Notable Days

  • 2021-09-20: Highest Volume — 348 contracts
  • 2021-09-02: Largest IV spike — 47.5% change
  • 2021-09-30: Highest IV Rank — 31.2%
  • 2021-09-30: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$146.63$141.35$150.70$150.70$141.35
Max Pain$135.33$125.00$147.00$147.00$130.00
ATM IV16.6%12.6%22.3%13.6%22.3%
Expected Move4.7%3.6%6.4%3.9%6.4%
HV 20d13.1%11.1%15.7%11.4%15.3%
HV 60d14.2%13.5%15.7%13.6%15.6%
IV Rank15.2%4.9%31.2%5.5%31.2%
IV Percentile25.4%2.0%61.1%5.6%61.1%
Term Structure0.8%-3.6%5.5%0.6%-3.6%
VWIV18.6%12.7%26.9%21.7%15.0%
Skew 25d6.7%0.5%20.4%4.0%6.3%
Skew 10d12.9%1.5%21.1%12.4%1.5%
Call IV 25d16.0%12.5%23.8%12.6%23.8%
Put IV 25d22.8%16.6%36.7%16.6%30.1%
Bid-Ask Spread %90.5158.15124.0481.9197.91
Gamma HHI0.240.100.560.100.11
Net GEX-37.5K-195.4K81.1K8.8K81.1K
Net DEX-1.1M-2.2M361.8K-1.4M-1.6M
Net VEX-4.6K-6.4K-2.6K-2.8K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.250.0050.0033.670.00
Total Volume33.286034810421
Total OI344.333237442237274

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$150.70$147.0013.6%3.9%11.4%5.5%0.0%4.0%0.6%8.8K-1.4M-2.8K33.6781.91N/AN/A3101128109
2021-09-02$150.06$125.0020.1%4.0%11.2%17.8%0.0%0.8%2.8%5.6K-1.4M-2.6K0.00124.04N/AN/A00128111
2021-09-03$149.97$140.0013.3%4.2%11.1%4.9%0.0%5.8%-0.7%-42.0K-1.1M-4.4K0.0058.15N/AN/A06130208
2021-09-07$150.61$140.0014.2%4.2%11.1%9.2%21.7%4.5%0.4%-31.0K-1.2M-3.7K50.0069.11N/AN/A150130208
2021-09-08$149.52$140.0014.8%4.3%11.5%11.1%0.0%5.9%1.2%-42.5K-1.1M-3.9K0.0063.62N/AN/A00130208
2021-09-09$149.39$140.0013.2%3.8%11.5%6.6%21.4%8.6%5.5%-78.8K-907.9K-4.6K0.0070.15N/AN/A050130258
2021-09-10$148.28$140.0015.0%4.3%11.9%11.5%0.0%5.5%1.1%-80.0K-766.9K-4.9K0.0065.93N/AN/A00130258
2021-09-13$148.47$140.0017.1%4.9%11.9%17.1%17.3%6.1%2.1%-112.0K-680.5K-5.1K0.0059.27N/AN/A20130308
2021-09-14$146.92$140.0017.1%4.9%12.6%17.2%18.2%0.5%-2.9%-125.7K-284.3K-5.8K0.0093.58N/AN/A30130308
2021-09-15$148.03$140.0012.6%3.6%12.2%5.0%12.7%6.2%3.9%-184.6K-903.2K-3.9K0.00110.90N/AN/A50132308
2021-09-16$147.99$140.0014.8%4.2%12.1%11.0%20.9%4.8%-0.1%-129.0K-685.3K-4.7K7.14112.20N/AN/A750134308
2021-09-17$146.47$140.0016.6%4.8%12.6%15.9%13.5%4.6%0.3%-195.4K-502.5K-4.6K0.25118.43N/AN/A82134308
2021-09-20$142.79$140.0021.9%6.3%15.3%30.2%26.0%0.9%-1.0%-163.6K361.8K-6.4K2.66112.43N/AN/A95253118307
2021-09-21$143.76$140.0018.6%5.3%14.5%21.1%14.5%12.7%2.2%-158.5K258.8K-6.3K0.0083.59N/AN/A10121308
2021-09-22$144.01$125.0017.7%5.1%14.3%18.8%26.9%6.1%-2.1%73.6K-2.0M-4.9K0.00106.30N/AN/A20021464
2021-09-23$145.19$125.0016.5%4.7%14.6%15.7%14.6%11.2%0.3%74.7K-2.2M-4.6K0.0096.41N/AN/A5021564
2021-09-24$146.23$125.0014.5%4.2%14.6%10.3%15.0%7.2%1.8%78.0K-2.2M-4.5K0.0090.15N/AN/A5020864
2021-09-27$145.96$125.0015.9%4.6%13.1%14.0%0.0%10.8%2.4%78.5K-2.2M-4.4K0.0097.17N/AN/A2021064
2021-09-28$142.11$130.0017.6%5.1%15.7%18.6%0.0%20.4%5.0%75.7K-1.6M-5.0K0.0099.83N/AN/A7020264
2021-09-29$141.51$130.0020.5%5.9%15.6%26.4%0.0%8.7%-1.8%79.6K-1.5M-5.0K0.0089.72N/AN/A0220464
2021-09-30$141.35$130.0022.3%6.4%15.3%31.2%0.0%6.3%-3.6%81.1K-1.6M-5.1K0.0097.91N/AN/A21021064