VOX Options History — October 2014

In October 2014, VOX traded between $82.85 and $89.05. ATM implied volatility averaged 13.7%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 1.1% (HV 20d: 14.8%). Max pain ranged from $81.00 to $82.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.62.

Notable Days

  • 2014-10-14: Highest Volume — 316 contracts
  • 2014-10-13: Largest IV spike — 27.9% change
  • 2014-10-13: Highest IV Rank — 30.7%
  • 2014-10-20: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.80$82.85$89.05$85.88$89.05
Max Pain$81.40$81.00$82.00$82.00$81.00
ATM IV13.7%8.9%21.2%14.7%8.9%
Expected Move4.0%3.7%4.3%3.9%3.7%
HV 20d14.8%11.9%16.9%11.9%15.8%
HV 60d12.3%11.4%13.3%11.4%11.8%
IV Rank12.4%0.0%30.7%14.8%0.0%
IV Percentile54.9%0.0%95.6%80.6%0.0%
Term Structure1.9%-0.6%5.5%-0.6%5.5%
VWIV16.4%14.9%17.0%16.0%16.7%
Skew 25d3.4%2.4%4.1%3.1%2.4%
Skew 10d6.4%3.3%9.7%7.5%4.7%
Call IV 25d11.5%8.0%14.1%13.2%8.0%
Put IV 25d14.9%10.4%18.0%16.3%10.4%
Bid-Ask Spread %17.8911.2537.5813.2217.57
Gamma HHI0.160.100.390.110.20
Net GEX6.5K-86.1K66.1K23.5K66.1K
Net DEX168.9K-592.2K757.6K271.1K-592.2K
Net VEX-2.2K-2.9K-1.3K-2.5K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.002.760.000.64
Total Volume117.91303161222
Total OI329.696193419368298

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$85.88$82.0014.7%3.9%11.9%14.8%0.0%3.1%-0.6%23.5K271.1K-2.5K0.0013.22N/AN/A10196172
2014-10-02$86.27$82.0014.3%4.0%12.1%14.0%16.0%3.6%-0.4%30.6K239.6K-2.3K2.7612.54N/AN/A1747195172
2014-10-03$86.92$0.0013.1%3.8%12.2%11.0%0.0%3.2%-0.1%25.4K169.6K-2.4K0.0012.17N/AN/A90178191
2014-10-06$86.63$0.0012.9%3.7%12.2%10.5%0.0%3.4%0.6%35.9K202.5K-2.3K0.0011.78N/AN/A10186191
2014-10-07$85.93$0.0014.0%3.8%11.9%13.3%0.0%3.5%0.6%18.0K342.2K-2.1K0.0013.31N/AN/A00187191
2014-10-08$86.83$82.0012.7%3.7%12.6%9.9%15.8%3.4%1.5%42.2K215.9K-2.1K1.0020.11N/AN/A147147204201
2014-10-09$84.84$0.0015.0%3.9%14.5%15.5%0.0%3.4%-0.0%-19.2K544.0K-1.7K0.0028.09N/AN/A05185189
2014-10-10$83.62$0.0016.6%4.1%15.2%19.4%0.0%3.5%0.3%-49.5K676.2K-1.5K0.0037.58N/AN/A020185189
2014-10-13$82.85$0.0021.2%4.2%15.2%30.7%0.0%4.0%-0.0%-56.8K757.6K-1.3K0.0031.58N/AN/A018185189
2014-10-14$83.84$82.0019.1%4.1%15.8%25.6%15.4%4.0%0.4%-63.6K725.2K-1.6K1.1523.84N/AN/A147169202217
2014-10-15$83.80$82.0015.7%3.9%15.7%17.4%14.9%4.1%0.1%-64.3K679.2K-1.6K1.1525.75N/AN/A147169202217
2014-10-16$83.99$0.0014.3%4.0%15.4%13.9%0.0%3.7%0.9%-86.1K494.7K-1.3K0.0022.48N/AN/A320168178
2014-10-17$84.60$0.0013.1%3.8%15.7%10.9%0.0%3.1%0.2%9.8K185.0K-1.9K0.3322.43N/AN/A62200172
2014-10-20$85.26$82.0013.9%4.3%16.0%12.9%17.0%3.6%3.2%11.3K52.4K-1.8K0.5413.52N/AN/A1196411875
2014-10-21$86.14$81.0012.4%4.1%16.3%9.2%16.8%3.1%4.2%18.3K-39.4K-2.6K0.5011.25N/AN/A12864133102
2014-10-22$85.49$81.0013.6%4.3%16.4%12.2%16.7%3.6%4.1%20.9K12.1K-2.6K0.5711.85N/AN/A11968144102
2014-10-23$85.44$81.0013.6%4.3%15.5%12.2%16.6%3.3%3.4%18.5K28.9K-2.6K0.5512.64N/AN/A12468144106
2014-10-24$85.79$81.0012.3%4.1%15.5%8.9%16.6%3.8%3.5%25.6K-30.3K-2.6K0.6912.50N/AN/A12787149106
2014-10-27$86.39$81.0012.5%4.1%15.7%9.5%0.0%3.1%4.2%13.0K-53.3K-2.9K0.0011.84N/AN/A00153135
2014-10-28$87.88$81.0010.6%3.8%16.9%4.8%0.0%2.8%4.0%38.7K-317.0K-2.8K0.0014.24N/AN/A40153135
2014-10-29$87.74$81.0010.8%3.8%15.7%5.3%16.8%3.0%3.9%39.8K-303.9K-2.8K0.6614.91N/AN/A13187159135
2014-10-30$88.26$81.0010.3%3.8%15.7%4.1%16.9%2.8%4.5%50.3K-374.6K-2.7K0.6716.34N/AN/A12987159135
2014-10-31$89.05$81.008.9%3.7%15.8%0.0%16.7%2.4%5.5%66.1K-592.2K-2.4K0.6417.57N/AN/A13587163135