VOX Options History — December 2013

In December 2013, VOX traded between $81.74 and $84.32. ATM implied volatility averaged 16.4%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 5.1% (HV 20d: 11.3%). Max pain ranged from $83.00 to $86.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 3.78.

Notable Days

  • 2013-12-16: Highest Volume — 1,743 contracts
  • 2013-12-05: Largest IV spike — 62.1% change
  • 2013-12-11: Highest IV Rank — 46.3%
  • 2013-12-11: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.30$81.74$84.32$84.00$83.66
Max Pain$84.00$83.00$86.00$86.00$83.00
ATM IV16.4%10.1%27.4%19.5%12.1%
Expected Move4.3%2.9%7.4%5.6%3.5%
HV 20d11.3%7.4%15.7%11.7%15.1%
HV 60d12.2%11.3%13.6%11.5%13.5%
IV Rank19.9%4.7%46.3%27.4%9.5%
IV Percentile69.8%15.5%98.4%96.4%50.8%
Term Structure-1.9%-19.7%8.2%8.2%0.8%
VWIV16.4%11.0%21.1%11.0%20.2%
Skew 25d4.4%-2.2%12.4%5.1%2.6%
Skew 10d3.0%-12.3%13.6%7.7%5.4%
Call IV 25d13.0%9.1%20.4%15.5%11.2%
Put IV 25d17.4%12.4%21.5%20.6%13.8%
Bid-Ask Spread %61.3523.3790.5259.5230.51
Gamma HHI0.300.180.550.230.29
Net GEX-313.1K-837.7K-30.6K-30.6K-393.7K
Net DEX1.3M219.4K4.5M219.4K755.1K
Net VEX-4.3K-13.5K-816-824-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.780.0015.000.000.17
Total Volume151.28601,7431635
Total OI1,246.0481082,5931082,429

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$84.00$86.0019.5%5.6%11.7%27.4%0.0%5.1%8.2%-30.6K219.4K-8240.0059.52N/AN/A0162484
2013-12-03$84.03$86.0016.2%4.6%10.5%19.4%0.0%-2.2%-6.9%-34.6K321.4K-1.1K0.0069.05N/AN/A01024100
2013-12-04$84.00$86.0015.6%4.5%10.2%18.0%0.0%3.9%-4.1%-34.3K278.5K-9460.0068.58N/AN/A002490
2013-12-05$83.66$86.0025.4%7.3%10.1%41.5%0.0%-2.0%-6.8%-32.5K303.8K-8800.0073.75N/AN/A052490
2013-12-06$84.19$84.0016.2%4.1%7.9%19.4%0.0%5.1%-2.1%-34.7K264.5K-8920.0064.38N/AN/A002495
2013-12-09$83.91$84.0024.1%4.0%7.4%38.4%0.0%4.7%-1.8%-38.3K278.7K-8640.0058.62N/AN/A022495
2013-12-10$83.18$84.0027.3%4.2%7.8%46.2%0.0%5.5%-1.9%-43.1K360.7K-8160.0046.01N/AN/A01282497
2013-12-11$82.26$84.0027.4%7.4%8.6%46.3%0.0%9.2%-19.7%-119.7K1.1M-1.4K0.0073.05N/AN/A0024221
2013-12-12$82.11$84.0015.5%4.5%8.5%17.8%11.0%6.3%-0.7%-132.7K1.1M-1.3K0.0078.00N/AN/A012024221
2013-12-13$82.60$84.0014.0%4.0%8.9%14.1%0.0%4.0%-1.5%-172.6K1.7M-2.0K0.0084.95N/AN/A30024314
2013-12-16$82.88$84.0013.9%4.0%9.0%13.8%20.3%4.8%-0.9%-161.5K1.6M-1.9K0.0082.66N/AN/A01,74354314
2013-12-17$82.65$84.0014.8%4.3%8.7%16.1%19.4%9.3%2.8%-760.6K4.5M-13.5K7.8870.79N/AN/A60473542,037
2013-12-18$83.78$83.0010.1%2.9%10.2%4.7%17.0%5.6%1.1%-837.7K3.6M-13.1K0.9046.64N/AN/A30271142,350
2013-12-19$84.32$83.0013.9%4.0%10.2%13.9%20.0%12.4%4.8%-726.7K3.4M-13.1K5.1452.51N/AN/A442261442,353
2013-12-20$81.74$84.0022.1%6.3%14.8%33.6%21.1%4.4%-18.9%-804.9K3.2M-9.4K1.1690.52N/AN/A4957222,571
2013-12-23$82.55$83.0011.3%3.2%15.4%7.5%15.1%2.9%1.4%-631.7K1.8M-7.8K0.0050.68N/AN/A021302,390
2013-12-24$83.08$83.0011.5%3.3%15.6%8.0%11.1%3.3%1.4%-481.0K1.2M-5.9K0.0073.37N/AN/A10302,371
2013-12-26$83.37$83.0011.4%3.3%15.5%7.8%13.1%2.1%1.2%-403.9K860.1K-4.3K0.0024.94N/AN/A036312,371
2013-12-27$83.84$83.0010.7%3.1%15.6%6.1%12.7%2.3%1.6%-310.1K551.5K-3.1K15.0066.35N/AN/A460312,395
2013-12-30$83.57$83.0011.6%3.3%15.7%8.3%0.0%2.2%1.1%-390.9K828.1K-4.0K0.0023.37N/AN/A00352,394
2013-12-31$83.66$83.0012.1%3.5%15.1%9.5%20.2%2.6%0.8%-393.7K755.1K-3.5K0.1730.51N/AN/A305352,394