VOX Options History — December 2021

In December 2021, VOX traded between $130.23 and $137.44. ATM implied volatility averaged 19.1%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.5% (HV 20d: 19.6%). Max pain ranged from $130.00 to $142.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.08.

Notable Days

  • 2021-12-30: Highest Volume — 577 contracts
  • 2021-12-03: Largest IV spike — 58.1% change
  • 2021-12-03: Highest IV Rank — 83.4%
  • 2021-12-03: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$134.32$130.23$137.44$130.23$136.10
Max Pain$131.59$130.00$142.00$142.00$130.00
ATM IV19.1%10.6%38.7%30.3%10.7%
Expected Move4.8%3.0%11.1%8.7%3.1%
HV 20d19.6%16.4%22.2%16.4%16.6%
HV 60d17.4%16.2%18.2%16.8%16.3%
IV Rank25.0%0.0%83.4%58.4%0.4%
IV Percentile42.8%0.0%99.6%97.2%0.4%
Term Structure1.6%-9.8%6.2%-7.2%0.2%
VWIV18.8%12.2%36.0%33.2%13.9%
Skew 25d3.7%-3.9%9.4%-1.2%2.6%
Skew 10d0.9%-9.3%14.3%-9.2%2.9%
Call IV 25d19.0%11.5%40.5%29.0%13.7%
Put IV 25d22.7%16.1%37.3%27.8%16.3%
Bid-Ask Spread %112.5873.74133.75103.44132.31
Gamma HHI0.310.210.450.300.21
Net GEX119.8K88.8K179.4K137.6K128.4K
Net DEX-1.6M-2.7M-749.9K-1.5M-2.5M
Net VEX-6.3K-11.5K-2.9K-9.8K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.030.150.140.06
Total Volume338.364192577194577
Total OI336.136234477410348

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$130.23$142.0030.3%8.7%16.4%58.4%33.2%-1.2%-7.2%137.6K-1.5M-9.8K0.14103.44N/AN/A1702435852
2021-12-02$132.24$142.0024.5%7.0%17.4%41.0%25.2%8.7%-3.2%158.5K-1.9M-11.5K0.1598.83N/AN/A1702540353
2021-12-03$130.46$141.0038.7%11.1%17.7%83.4%36.0%-3.2%-9.8%131.9K-1.8M-11.4K0.15109.91N/AN/A1702540653
2021-12-06$133.36$130.0034.3%6.3%19.2%70.3%25.4%5.3%5.9%143.0K-2.1M-11.5K0.1583.59N/AN/A1702540653
2021-12-07$134.81$130.0022.0%5.1%19.9%33.6%22.3%7.3%5.1%157.1K-2.4M-11.4K0.1373.74N/AN/A1702240653
2021-12-08$136.28$130.0020.2%5.1%20.5%28.0%23.1%4.9%3.1%178.8K-2.7M-11.4K0.1379.23N/AN/A1702241651
2021-12-09$134.92$130.0025.9%5.1%20.3%45.2%21.0%4.4%1.0%176.9K-2.5M-11.2K0.1294.10N/AN/A1802241651
2021-12-10$134.42$130.0020.3%5.2%20.3%28.3%19.8%4.4%0.7%179.4K-2.4M-11.2K0.0683.06N/AN/A3552242651
2021-12-13$133.79$130.0030.6%4.2%19.7%59.0%13.1%3.8%1.7%114.3K-939.0K-3.5K0.06117.21N/AN/A3552221651
2021-12-14$132.65$130.0018.5%4.0%19.6%23.0%12.2%4.5%3.0%93.9K-749.9K-3.3K0.06119.94N/AN/A3582221651
2021-12-15$133.60$130.0016.3%4.7%20.0%16.4%15.8%1.9%2.0%104.5K-969.3K-3.8K0.06118.58N/AN/A3592222151
2021-12-16$132.97$130.0011.7%3.3%20.0%2.7%13.9%4.3%5.3%94.7K-915.9K-3.4K0.06124.28N/AN/A3592222151
2021-12-17$133.01$130.0010.8%3.1%19.9%0.2%12.9%1.7%6.2%88.8K-980.2K-3.2K0.06125.13N/AN/A3592222147
2021-12-20$131.50$130.0013.6%3.9%20.0%8.6%13.0%9.4%5.3%100.2K-839.8K-3.1K0.03121.59N/AN/A3401019440
2021-12-21$134.21$130.0012.0%3.4%21.7%3.8%13.8%5.5%3.6%91.9K-1.2M-2.9K0.03125.27N/AN/A3401019440
2021-12-22$135.03$130.0012.0%3.4%21.7%3.8%14.1%6.2%4.8%90.4K-1.2M-3.1K0.05129.68N/AN/A3601919440
2021-12-23$136.74$130.0016.3%4.7%22.2%16.4%20.0%6.1%-1.9%90.9K-1.5M-4.1K0.05107.97N/AN/A3601921450
2021-12-27$137.31$130.0010.6%3.0%21.6%0.0%19.4%-3.9%5.6%93.5K-1.7M-3.4K0.05131.12N/AN/A3601921450
2021-12-28$137.44$130.0012.7%3.6%21.6%6.2%14.2%4.7%0.2%93.9K-1.7M-3.3K0.09133.75N/AN/A3723321450
2021-12-29$136.59$130.0016.6%4.7%18.8%17.6%15.4%0.2%2.1%89.0K-1.8M-3.4K0.09130.70N/AN/A3733322650
2021-12-30$137.41$130.0011.6%3.3%16.7%2.9%16.1%3.1%2.0%98.2K-1.8M-3.6K0.06133.31N/AN/A5443322750
2021-12-31$136.10$130.0010.7%3.1%16.6%0.4%13.9%2.6%0.2%128.4K-2.5M-5.1K0.06132.31N/AN/A5443329850