VOX Options History — January 2014

In January 2014, VOX traded between $81.06 and $83.58. ATM implied volatility averaged 13.6%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 0.4% (HV 20d: 14.0%). Max pain ranged from $81.00 to $83.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 6.30.

Notable Days

  • 2014-01-08: Highest Volume — 118 contracts
  • 2014-01-03: Largest IV spike — 110.4% change
  • 2014-01-03: Highest IV Rank — 43.4%
  • 2014-01-03: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.43$81.06$83.58$82.94$81.32
Max Pain$81.81$81.00$83.00$83.00$82.00
ATM IV13.6%10.8%26.1%12.4%15.5%
Expected Move4.0%3.5%7.5%3.6%4.4%
HV 20d14.0%10.1%16.5%15.4%11.3%
HV 60d12.8%12.4%13.6%13.6%12.4%
IV Rank13.2%6.2%43.4%10.3%17.6%
IV Percentile63.0%26.6%97.6%55.6%85.3%
Term Structure0.6%-0.3%1.2%0.7%-0.3%
VWIV14.4%12.3%18.4%15.0%14.0%
Skew 25d3.1%1.6%3.6%2.5%3.4%
Skew 10d3.4%-15.3%7.1%-6.5%3.0%
Call IV 25d12.0%11.0%13.6%11.7%13.4%
Put IV 25d15.1%13.5%16.7%14.1%16.7%
Bid-Ask Spread %49.4727.0587.1080.8564.94
Gamma HHI0.310.170.840.270.17
Net GEX-251.5K-697.3K22.2K-498.6K15.4K
Net DEX382.0K-86.9K1.5M1.1M-62.3K
Net VEX-1.3K-4.6K-353-4.6K-560
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.300.0031.0031.000.00
Total Volume19.4290118322
Total OI1,419.476602,4822,45487

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$82.94$83.0012.4%3.6%15.4%10.3%15.0%2.5%0.7%-498.6K1.1M-4.6K31.0080.85N/AN/A131652,389
2014-01-03$82.70$83.0026.1%7.5%15.4%43.4%18.4%1.6%1.0%-441.9K986.5K-3.6K0.0087.10N/AN/A016662,382
2014-01-06$82.99$83.0011.6%3.6%15.4%8.4%12.6%3.2%1.1%-386.4K605.9K-2.3K0.0033.70N/AN/A091662,371
2014-01-07$83.58$83.0010.8%3.5%15.4%6.2%0.0%2.9%1.2%-253.1K324.6K-1.8K0.0045.07N/AN/A050662,371
2014-01-08$83.48$83.0012.3%3.7%15.4%9.8%0.0%3.0%0.7%-270.1K316.5K-1.6K0.0035.68N/AN/A0118662,401
2014-01-09$82.22$83.0013.0%3.8%16.0%11.7%14.0%3.2%0.9%-545.9K1.1M-2.2K0.0058.54N/AN/A01662,394
2014-01-10$82.32$81.0011.8%3.8%15.5%8.7%0.0%2.8%0.5%-499.2K957.9K-1.9K0.0045.33N/AN/A040662,395
2014-01-13$81.53$81.0014.3%3.9%15.9%14.8%15.0%3.2%0.5%-521.9K1.5M-1.5K0.0047.64N/AN/A011662,415
2014-01-14$82.24$81.0012.8%3.8%16.1%11.2%0.0%3.5%0.5%-521.2K959.2K-1.2K0.0027.57N/AN/A020662,416
2014-01-15$83.10$81.0011.0%3.7%16.5%6.9%0.0%3.0%0.9%-406.6K227.8K-8670.0040.11N/AN/A00662,277
2014-01-16$83.23$81.0012.8%3.7%16.5%11.3%0.0%3.1%0.8%-376.3K245.4K-8250.0045.63N/AN/A00662,277
2014-01-17$83.06$81.0012.5%3.6%15.7%10.4%0.0%3.1%0.9%-697.3K174.7K-6050.0037.97N/AN/A00662,277
2014-01-21$82.88$81.0012.5%3.6%15.5%10.4%12.3%3.3%0.5%13.6K-43.2K-3530.0045.57N/AN/A604218
2014-01-22$82.94$81.0012.4%3.6%10.6%10.3%13.1%3.3%0.8%19.3K-68.4K-4090.0047.50N/AN/A304818
2014-01-23$82.96$81.0012.8%3.7%10.1%11.1%0.0%3.0%0.6%22.2K-86.9K-4440.0049.32N/AN/A005118
2014-01-24$81.58$81.0014.0%4.0%11.4%14.1%15.2%3.5%0.4%15.1K-51.6K-4000.0057.33N/AN/A025118
2014-01-27$81.77$82.0014.2%4.1%11.4%14.6%14.3%3.4%0.2%14.1K-44.2K-3890.0034.39N/AN/A015120
2014-01-28$81.79$82.0013.8%4.0%11.1%13.7%0.0%3.4%0.4%13.1K-40.6K-3780.0057.05N/AN/A005121
2014-01-29$81.06$82.0014.8%4.2%11.5%15.9%0.0%3.0%0.2%9.3K-21.1K-3640.5027.05N/AN/A1055121
2014-01-30$81.41$82.0014.6%4.2%11.6%15.5%0.0%3.6%0.5%15.4K-63.7K-5620.0070.47N/AN/A006126
2014-01-31$81.32$82.0015.5%4.4%11.3%17.6%14.0%3.4%-0.3%15.4K-62.3K-5600.0064.94N/AN/A206126