VOX Options History — November 2021

In November 2021, VOX traded between $133.09 and $144.58. ATM implied volatility averaged 18.5%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 5.6% (HV 20d: 12.9%). Max pain ranged from $140.00 to $142.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2021-11-19: Highest Volume — 224 contracts
  • 2021-11-08: Largest IV spike — 45.8% change
  • 2021-11-30: Highest IV Rank — 51.3%
  • 2021-11-30: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$141.15$133.09$144.58$142.19$133.09
Max Pain$141.24$140.00$142.00$142.00$142.00
ATM IV18.5%14.2%28.0%14.2%28.0%
Expected Move5.0%4.1%8.0%4.1%8.0%
HV 20d12.9%10.3%15.5%15.5%15.1%
HV 60d15.5%15.1%16.3%15.4%16.3%
IV Rank23.1%10.4%51.3%10.4%51.3%
IV Percentile45.7%11.5%94.4%11.5%94.4%
Term Structure0.1%-6.2%2.1%0.3%-5.4%
VWIV18.5%15.0%27.9%15.2%27.9%
Skew 25d4.9%0.2%15.1%5.1%2.4%
Skew 10d4.4%-10.3%16.6%10.6%-9.1%
Call IV 25d17.6%12.6%24.0%12.6%24.0%
Put IV 25d22.5%17.7%29.6%17.8%26.4%
Bid-Ask Spread %82.4936.45129.3665.5096.83
Gamma HHI0.210.130.310.200.29
Net GEX69.6K-78.4K136.0K68.5K136.0K
Net DEX-2.3M-3.0M-1.6M-2.5M-1.8M
Net VEX-7.1K-10.3K-5.8K-7.3K-10.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.300.930.930.31
Total Volume180.714131224131196
Total OI354.238309410364410

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$142.19$142.0014.2%4.1%15.5%10.4%15.2%5.1%0.3%68.5K-2.5M-7.3K0.9365.50N/AN/A686329569
2021-11-02$142.15$142.0014.6%4.2%14.2%11.4%15.0%4.3%0.8%62.2K-2.6M-6.7K0.8865.47N/AN/A726329571
2021-11-03$143.17$142.0019.8%5.7%14.4%26.9%17.1%4.8%-6.2%101.1K-2.9M-6.2K0.88116.35N/AN/A726330071
2021-11-04$142.82$140.0014.5%4.1%13.9%11.2%17.6%6.0%2.0%72.0K-2.7M-6.9K0.8536.45N/AN/A746330071
2021-11-05$144.58$140.0018.5%4.4%14.3%23.2%17.1%7.1%1.9%81.3K-3.0M-6.4K0.8282.78N/AN/A776329871
2021-11-08$144.33$140.0027.0%4.6%13.5%48.5%20.6%15.1%-0.2%107.7K-3.0M-6.1K0.4697.39N/AN/A1376330171
2021-11-09$143.88$140.0026.6%4.8%13.0%47.4%22.4%5.9%0.8%74.2K-2.0M-5.8K0.4689.51N/AN/A1376323871
2021-11-10$141.96$140.0015.9%4.6%13.8%15.3%16.3%7.0%1.9%26.3K-1.9M-5.9K0.4581.44N/AN/A1396323871
2021-11-11$141.90$140.0016.0%4.6%12.6%15.8%17.5%4.1%1.9%48.2K-2.0M-6.4K0.48100.06N/AN/A1306326171
2021-11-12$143.46$140.0015.4%4.4%13.2%13.8%18.6%3.0%0.9%57.8K-2.4M-5.8K0.5075.57N/AN/A1296527271
2021-11-15$143.92$140.0016.4%4.7%13.1%16.7%17.4%2.7%0.7%69.8K-2.5M-6.0K0.5799.44N/AN/A1307427673
2021-11-16$143.40$142.0016.6%4.7%12.9%17.3%16.5%5.1%-0.3%37.6K-2.3M-6.5K0.5751.45N/AN/A1297427782
2021-11-17$142.64$142.0016.7%4.8%13.0%17.6%16.5%5.8%-0.2%4.6K-2.2M-6.4K0.6257.45N/AN/A1197427782
2021-11-18$141.27$142.0017.3%5.0%13.3%19.6%16.4%6.1%1.2%-78.4K-1.8M-6.4K0.6265.77N/AN/A1197427282
2021-11-19$140.09$142.0017.8%5.1%10.3%21.0%17.5%3.7%2.1%14.3K-1.6M-6.5K0.4972.02N/AN/A1507427281
2021-11-22$139.35$142.0018.3%5.2%10.3%22.5%17.7%4.6%-0.7%98.3K-2.0M-7.2K0.3174.95N/AN/A1314126347
2021-11-23$138.18$142.0019.4%5.6%10.6%25.8%18.0%3.9%-1.2%104.7K-1.9M-7.3K0.3074.92N/AN/A1394226647
2021-11-24$138.41$142.0015.2%4.4%10.6%13.3%19.4%0.2%1.4%132.0K-2.5M-9.4K0.30129.36N/AN/A1394232648
2021-11-26$136.37$142.0020.5%5.9%11.6%29.0%24.1%0.3%0.5%121.8K-2.2M-9.5K0.33115.76N/AN/A1394632648
2021-11-29$137.05$142.0020.2%5.8%11.8%28.1%18.7%6.3%-0.7%120.9K-2.2M-9.3K0.3183.76N/AN/A1504632652
2021-11-30$133.09$142.0028.0%8.0%15.1%51.3%27.9%2.4%-5.4%136.0K-1.8M-10.3K0.3196.83N/AN/A1504635852