VOX Options History — March 2015

In March 2015, VOX traded between $85.16 and $88.89. ATM implied volatility averaged 22.9%, placing in the 47.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 10.4% (HV 20d: 12.4%). Max pain ranged from $87.00 to $89.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.50.

Notable Days

  • 2015-03-03: Highest Volume — 310 contracts
  • 2015-03-06: Largest IV spike — 196.1% change
  • 2015-03-04: Highest IV Rank — 100.0%
  • 2015-03-04: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.20$85.16$88.89$88.89$86.46
Max Pain$88.73$87.00$89.00$88.00$88.00
ATM IV22.9%10.6%42.7%11.2%23.2%
Expected Move6.1%3.2%9.4%3.2%6.6%
HV 20d12.4%8.0%15.8%12.2%15.8%
HV 60d13.2%12.8%13.8%13.0%13.8%
IV Rank47.3%9.9%100.0%13.4%43.5%
IV Percentile83.7%6.3%100.0%10.7%92.1%
Term Structure-5.6%-15.5%11.5%5.5%0.7%
VWIV20.4%10.1%33.6%15.8%33.6%
Skew 25d3.9%-16.0%31.9%2.4%-0.8%
Skew 10d-2.3%-28.5%21.3%-6.5%5.5%
Call IV 25d26.9%8.5%48.7%37.4%48.7%
Put IV 25d30.8%10.2%47.9%39.8%47.9%
Bid-Ask Spread %148.58115.66161.98145.21156.46
Gamma HHI0.110.090.160.160.12
Net GEX13.6K-5.5K52.9K52.9K5.2K
Net DEX191.9K-780.3K530.5K-780.3K210.1K
Net VEX-5.2K-6.0K-2.1K-2.1K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.006.001.091.16
Total Volume99.2730310205281
Total OI420.545231464231428

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$88.89$88.0011.2%3.2%12.2%13.4%15.8%2.4%5.5%52.9K-780.3K-2.1K1.09145.21N/AN/A9810715378
2015-03-03$88.75$88.0021.0%6.0%10.4%56.4%19.0%-0.3%11.5%17.6K-498.4K-3.0K1.03161.58N/AN/A153157153118
2015-03-04$88.08$87.0032.9%9.4%8.1%100.0%33.2%2.4%-12.6%12.5K-257.7K-5.2K1.06159.45N/AN/A127135208178
2015-03-05$88.12$89.0010.6%4.0%8.0%9.9%21.7%6.6%-0.9%36.7K42.8K-5.8K1.01146.29N/AN/A127128227216
2015-03-06$86.56$89.0031.3%4.1%9.8%93.4%16.7%15.0%6.2%25.6K214.8K-6.0K1.01115.66N/AN/A127128227220
2015-03-09$86.53$89.0027.4%7.5%9.7%77.8%0.0%10.6%-15.5%14.3K368.3K-5.6K0.00140.32N/AN/A00227219
2015-03-10$85.16$89.0042.7%5.7%11.1%100.0%12.1%-11.2%-12.1%29.2K485.1K-5.0K0.00156.97N/AN/A018227219
2015-03-11$85.29$89.0015.1%4.3%10.4%20.1%0.0%-5.5%0.3%10.7K530.5K-5.1K0.00151.05N/AN/A00227237
2015-03-12$86.49$89.0015.9%4.6%11.9%22.5%0.0%-0.7%-7.8%15.6K413.4K-5.1K0.00129.73N/AN/A00227237
2015-03-13$85.91$89.0014.2%4.1%11.9%17.5%0.0%10.1%0.3%5.6K524.1K-5.2K0.00124.15N/AN/A00227237
2015-03-16$86.73$89.0023.9%6.8%12.5%45.5%0.0%1.9%-15.2%8.3K381.8K-5.6K0.00158.53N/AN/A00227237
2015-03-17$86.72$89.0017.7%5.1%12.6%27.7%11.9%1.1%-11.6%11.9K438.9K-5.1K0.00146.53N/AN/A015227237
2015-03-18$88.08$89.0024.1%6.9%13.8%46.2%0.0%2.8%-9.7%11.9K96.8K-5.8K0.00157.86N/AN/A01227225
2015-03-19$87.78$89.0025.3%7.3%13.8%49.7%0.0%1.2%-13.5%6.7K151.0K-5.9K0.00158.85N/AN/A00227225
2015-03-20$88.43$89.0018.5%5.3%14.0%29.9%25.2%0.3%3.0%8.3K-21.0K-5.3K6.00156.13N/AN/A530227225
2015-03-23$88.85$89.0026.9%7.7%13.4%54.4%18.3%-16.0%-8.6%-5.5K140.9K-6.0K0.00160.30N/AN/A10195210
2015-03-24$88.26$89.0018.5%5.3%13.6%30.1%0.0%6.9%-7.6%5.7K246.5K-5.1K0.00131.13N/AN/A00196210
2015-03-25$86.53$89.0028.7%8.2%15.2%59.6%10.1%2.5%-9.9%5.0K414.3K-5.1K2.00155.36N/AN/A24196210
2015-03-26$86.67$89.0013.1%3.8%15.2%14.5%14.7%5.1%-2.3%3.3K454.1K-4.7K1.08139.63N/AN/A130140196212
2015-03-27$86.72$89.0029.8%8.5%15.1%62.6%0.0%31.9%-10.7%11.2K412.7K-5.4K0.00161.98N/AN/A00214211
2015-03-30$87.39$88.0031.0%8.9%15.4%66.2%32.6%19.6%-12.3%6.8K254.0K-5.9K1.08155.54N/AN/A130140216212
2015-03-31$86.46$88.0023.2%6.6%15.8%43.5%33.6%-0.8%0.7%5.2K210.1K-5.6K1.16156.46N/AN/A130151216212