VOX Options History — December 2014

In December 2014, VOX traded between $82.94 and $88.81. ATM implied volatility averaged 17.6%, placing in the 41.4% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 4.9% (HV 20d: 12.7%). Max pain ranged from $81.00 to $88.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.09.

Notable Days

  • 2014-12-18: Highest Volume — 314 contracts
  • 2014-12-11: Largest IV drop — 59.8% change
  • 2014-12-10: Highest IV Rank — 97.4%
  • 2014-12-19: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.43$82.94$88.81$88.81$84.72
Max Pain$82.41$81.00$88.00$81.00$88.00
ATM IV17.6%12.2%30.4%20.9%14.3%
Expected Move4.3%3.8%4.8%3.8%4.2%
HV 20d12.7%10.7%14.4%10.8%13.5%
HV 60d13.6%12.9%14.2%13.0%13.7%
IV Rank41.4%18.0%97.4%56.0%26.9%
IV Percentile75.5%28.2%99.6%95.6%75.8%
Term Structure0.1%-5.4%5.1%-4.8%0.2%
VWIV16.1%12.8%16.9%15.5%12.8%
Skew 25d5.3%2.6%8.8%4.1%2.7%
Skew 10d7.3%0.1%12.0%1.4%8.7%
Call IV 25d12.8%10.4%15.9%14.2%12.9%
Put IV 25d18.1%14.5%21.7%18.3%15.6%
Bid-Ask Spread %33.1216.9956.3824.7840.98
Gamma HHI0.180.130.300.150.15
Net GEX-49.4K-130.6K31.9K-37.0K8.7K
Net DEX294.1K-307.9K983.5K-12.7K-70.1K
Net VEX-2.2K-2.7K-1.6K-2.1K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.002.001.090.00
Total Volume166.68203141424
Total OI316.045258417274318

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$88.81$81.0020.9%3.8%10.8%56.0%15.5%4.1%-4.8%-37.0K-12.7K-2.1K1.0924.78N/AN/A6874122152
2014-12-02$87.76$81.0021.5%4.0%11.5%58.4%16.3%4.8%-4.7%-60.3K147.3K-2.2K0.9626.82N/AN/A6865127152
2014-12-03$87.53$81.0021.9%4.0%11.4%60.2%15.7%2.6%-3.5%-60.6K196.4K-2.1K0.9426.23N/AN/A6965127154
2014-12-04$87.04$81.0023.5%4.1%11.5%67.2%0.0%4.9%-5.4%-73.3K282.8K-2.1K0.0030.78N/AN/A00127154
2014-12-05$87.00$81.0023.7%4.0%11.0%67.9%15.8%7.4%1.4%-64.2K316.8K-2.2K1.0029.04N/AN/A7171127154
2014-12-08$86.60$82.0025.6%4.1%10.7%76.2%16.1%7.0%1.9%-87.8K356.3K-2.1K0.9930.10N/AN/A7271129160
2014-12-09$85.10$82.0025.4%4.4%11.7%75.7%16.8%7.9%0.9%-82.4K592.0K-2.0K1.0837.03N/AN/A7581130160
2014-12-10$83.87$82.0030.4%4.5%12.4%97.4%16.5%7.4%0.6%-73.4K792.0K-1.9K1.7740.03N/AN/A75133133170
2014-12-11$84.26$82.0012.2%4.4%11.9%18.0%16.4%7.8%0.6%-95.0K752.7K-2.0K1.8038.54N/AN/A74133133222
2014-12-12$83.01$82.0012.9%4.6%12.3%20.7%16.6%8.2%0.7%-117.6K944.0K-1.8K1.8042.75N/AN/A74133134222
2014-12-15$82.94$82.0012.5%4.6%11.8%19.1%16.7%8.7%1.2%-117.9K954.6K-1.7K1.8045.31N/AN/A74133134222
2014-12-16$83.34$82.0016.5%4.6%12.2%36.6%16.8%7.6%1.1%-130.6K983.5K-1.7K1.8044.80N/AN/A74133134222
2014-12-17$84.73$82.0014.9%4.4%14.2%29.6%16.9%8.8%5.1%-56.8K468.3K-1.6K1.1556.38N/AN/A143165134222
2014-12-18$84.21$82.0015.2%4.8%13.8%30.8%16.9%3.7%1.7%-94.0K588.4K-2.3K1.1428.44N/AN/A147167162255
2014-12-19$84.48$82.0015.2%4.8%13.9%30.8%0.0%3.7%1.8%-59.7K424.5K-2.7K2.0022.09N/AN/A48173243
2014-12-22$85.18$0.0013.9%4.2%14.2%25.3%0.0%3.5%0.9%9.4K-134.9K-2.3K0.5324.13N/AN/A14677154104
2014-12-23$85.49$0.0013.7%4.2%14.4%24.5%0.0%3.1%1.0%10.1K-144.4K-2.5K0.5216.99N/AN/A14977165117
2014-12-24$85.55$0.0013.0%3.9%14.4%21.1%0.0%3.0%0.6%12.4K-164.4K-2.5K0.4934.38N/AN/A15777168117
2014-12-26$86.20$0.0013.2%3.9%14.2%22.0%0.0%2.9%0.2%29.0K-298.9K-2.5K0.4525.45N/AN/A15570176117
2014-12-29$86.13$0.0013.4%4.0%14.1%22.9%12.8%3.0%0.6%31.9K-307.9K-2.5K0.5036.27N/AN/A15778185124
2014-12-30$85.51$88.0013.7%4.0%13.8%24.3%0.0%3.4%0.1%21.8K-195.1K-2.6K0.0027.28N/AN/A00187131
2014-12-31$84.72$88.0014.3%4.2%13.5%26.9%0.0%2.7%0.2%8.7K-70.1K-2.5K0.0040.98N/AN/A40187131