VOX Options History — October 2021

In October 2021, VOX traded between $139.54 and $144.86. ATM implied volatility averaged 16.5%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 2.9% (HV 20d: 19.3%). Max pain ranged from $130.00 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 0.75.

Notable Days

  • 2021-10-25: Highest Volume — 165 contracts
  • 2021-10-06: Largest IV spike — 47.2% change
  • 2021-10-12: Highest IV Rank — 41.4%
  • 2021-10-04: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$142.22$139.54$144.86$143.44$141.49
Max Pain$141.38$130.00$146.00$130.00$142.00
ATM IV16.5%12.7%24.6%18.5%14.0%
Expected Move4.7%3.6%6.4%5.3%4.0%
HV 20d19.3%16.6%21.2%16.6%17.6%
HV 60d15.9%14.9%16.8%15.7%15.3%
IV Rank16.8%5.7%41.4%21.0%9.5%
IV Percentile27.1%2.4%77.0%38.1%9.1%
Term Structure0.3%-3.5%2.6%-0.5%2.6%
VWIV15.7%12.8%24.3%17.6%15.0%
Skew 25d5.8%2.5%8.5%7.9%4.1%
Skew 10d8.1%0.4%16.1%16.1%10.4%
Call IV 25d14.9%10.9%19.7%17.7%13.6%
Put IV 25d20.6%16.0%25.6%25.6%17.7%
Bid-Ask Spread %63.8443.4594.3792.3966.03
Gamma HHI0.180.110.310.110.20
Net GEX93.1K55.5K168.3K89.8K62.1K
Net DEX-2.1M-2.5M-1.7M-1.8M-2.3M
Net VEX-5.6K-7.3K-4.8K-4.8K-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.008.330.500.90
Total Volume61.429016512129
Total OI305.381224349275349

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$143.44$130.0018.5%5.3%16.6%21.0%17.6%7.9%-0.5%89.8K-1.8M-4.8K0.5092.39N/AN/A8421065
2021-10-04$140.12$146.0023.9%6.4%18.2%35.5%24.3%2.5%-3.5%85.9K-1.7M-5.2K0.0071.46N/AN/A35022965
2021-10-05$142.57$141.0013.7%5.2%19.4%8.6%0.0%6.5%0.8%111.0K-2.0M-5.1K0.0081.84N/AN/A0123769
2021-10-06$142.36$141.0020.1%5.8%19.4%27.8%0.0%8.5%-0.3%115.0K-2.1M-5.6K0.0049.39N/AN/A4025569
2021-10-07$143.85$141.0015.5%5.6%19.9%14.2%0.0%8.0%0.0%124.1K-2.4M-5.3K0.0043.53N/AN/A1025569
2021-10-08$142.68$141.0016.9%5.0%19.9%18.2%0.0%7.2%0.1%118.6K-2.2M-5.4K8.3346.46N/AN/A32525169
2021-10-11$141.00$141.0020.5%5.4%20.2%29.1%0.0%8.4%-0.2%113.8K-2.0M-5.4K0.0057.10N/AN/A9025269
2021-10-12$139.54$141.0024.6%5.5%20.2%41.4%18.0%6.7%-0.3%99.6K-1.8M-5.4K0.6770.46N/AN/A181225569
2021-10-13$140.47$141.0017.1%4.9%20.1%18.9%0.0%4.3%0.1%108.1K-1.9M-5.0K0.0094.37N/AN/A4025169
2021-10-14$142.74$141.0016.0%4.6%21.2%15.6%0.0%6.0%-0.6%168.3K-2.5M-5.1K0.0058.92N/AN/A0026979
2021-10-15$142.59$141.0015.0%4.3%20.9%12.8%0.0%6.2%1.0%132.5K-2.4M-4.9K0.0264.18N/AN/A51126979
2021-10-18$143.17$141.0015.3%4.4%19.0%13.4%14.3%3.8%1.3%62.2K-1.7M-4.8K0.0061.09N/AN/A2018539
2021-10-19$144.32$141.0014.8%4.3%19.0%12.2%12.8%5.8%0.9%72.0K-2.1M-5.6K0.0045.87N/AN/A6021539
2021-10-20$144.67$141.0014.2%4.1%19.0%10.3%13.8%5.7%0.7%77.0K-2.2M-5.3K0.4247.00N/AN/A743121839
2021-10-21$144.86$141.0013.6%3.9%18.8%8.3%13.2%5.4%0.8%78.0K-2.1M-5.5K0.4543.45N/AN/A743321839
2021-10-22$141.26$146.0015.1%4.3%20.6%13.0%14.4%5.2%0.8%74.0K-1.8M-5.9K0.3468.08N/AN/A1033521841
2021-10-25$141.85$146.0014.5%4.1%20.7%11.1%14.6%4.8%1.2%92.6K-2.3M-5.9K0.5965.59N/AN/A1046125043
2021-10-26$141.25$142.0012.7%3.6%18.4%5.7%15.4%2.8%1.0%55.5K-2.1M-6.7K0.6678.84N/AN/A936126369
2021-10-27$141.03$142.0015.2%4.4%18.4%13.3%16.0%4.8%0.8%57.4K-2.2M-7.3K0.6663.08N/AN/A936127369
2021-10-28$141.36$142.0014.7%4.2%18.4%11.7%14.4%6.5%-1.3%57.0K-2.2M-6.9K0.6671.59N/AN/A936127369
2021-10-29$141.49$142.0014.0%4.0%17.6%9.5%15.0%4.1%2.6%62.1K-2.3M-7.0K0.9066.03N/AN/A686128069