VOX Options History — April 2015

In April 2015, VOX traded between $87.65 and $91.28. ATM implied volatility averaged 27.1%, placing in the 52.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 12.9% (HV 20d: 14.2%). Max pain ranged from $88.00 to $88.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2015-04-17: Highest Volume — 298 contracts
  • 2015-04-06: Largest IV spike — 234.5% change
  • 2015-04-07: Highest IV Rank — 100.0%
  • 2015-04-01: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.20$87.65$91.28$87.81$89.41
Max Pain$88.00$88.00$88.00$88.00$88.00
ATM IV27.1%12.1%44.3%39.5%33.5%
Expected Move7.3%3.5%11.3%11.3%9.6%
HV 20d14.2%12.7%17.3%16.7%13.8%
HV 60d13.6%13.1%13.9%13.7%13.1%
IV Rank52.9%11.1%100.0%90.7%70.2%
IV Percentile87.4%22.6%100.0%99.6%98.0%
Term Structure-7.8%-18.5%7.5%-9.0%-9.5%
VWIV26.3%12.5%35.4%32.4%34.4%
Skew 25d5.8%-14.4%29.5%1.4%0.4%
Skew 10d8.7%-19.5%41.2%7.3%10.9%
Call IV 25d22.7%5.6%49.1%49.1%48.0%
Put IV 25d28.5%5.8%50.5%50.5%48.5%
Bid-Ask Spread %149.17111.03176.30148.24162.14
Gamma HHI0.160.110.260.110.16
Net GEX10.4K-10.2K58.2K4.9K4.7K
Net DEX121.0K-120.3K397.6K180.5K-12.4K
Net VEX-4.8K-5.7K-4.0K-5.7K-4.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.761.241.160.91
Total Volume224.2860298281166
Total OI363.857256439439270

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$87.81$88.0039.5%11.3%16.7%90.7%32.4%1.4%-9.0%4.9K180.5K-5.7K1.16148.24N/AN/A130151216223
2015-04-02$88.92$88.0012.5%3.8%17.3%12.7%14.1%2.8%7.5%25.0K121.8K-4.9K1.11111.03N/AN/A136151216223
2015-04-06$89.11$88.0041.9%7.5%15.8%97.5%29.6%29.5%-6.2%5.5K105.0K-5.6K1.11146.97N/AN/A136151215223
2015-04-07$88.52$88.0044.3%7.6%16.1%100.0%26.7%4.9%-8.8%12.5K102.7K-5.5K1.11135.08N/AN/A136151215223
2015-04-08$88.65$88.0020.8%6.0%14.8%35.1%0.0%1.6%-7.7%6.3K180.4K-5.3K0.00176.30N/AN/A00213222
2015-04-09$88.52$88.0026.2%7.5%14.8%50.0%19.7%14.6%-17.1%58.2K273.1K-4.2K1.11140.11N/AN/A136151215223
2015-04-10$88.58$88.0027.5%7.9%14.1%53.6%29.1%-12.9%-15.8%27.6K185.3K-5.2K1.11133.68N/AN/A136151215223
2015-04-13$88.69$88.0027.2%7.8%13.8%52.8%30.1%5.8%-7.9%32.2K103.3K-5.1K1.11149.84N/AN/A136151215223
2015-04-14$88.49$88.0029.6%8.5%13.5%59.5%29.8%9.2%-16.2%5.2K139.5K-5.4K1.14157.96N/AN/A132151215223
2015-04-15$89.12$88.0024.0%6.9%13.7%44.0%27.0%7.6%-6.8%28.3K189.3K-4.4K1.14162.82N/AN/A133151215223
2015-04-16$88.89$88.0022.2%6.4%12.7%39.0%29.4%28.1%-7.1%2.8K221.9K-4.7K1.14166.88N/AN/A133151211223
2015-04-17$87.65$88.0023.2%6.6%13.6%41.6%29.0%2.4%-0.1%4.7K397.6K-4.2K1.24135.97N/AN/A133165211223
2015-04-20$88.86$88.0012.1%3.5%14.3%11.1%12.5%5.4%-1.3%-10.2K198.9K-4.0K0.96121.09N/AN/A8178132124
2015-04-21$88.96$88.0019.6%5.6%14.2%31.9%13.2%-14.4%-3.6%-1.7K171.7K-4.0K0.93143.43N/AN/A8478139124
2015-04-22$89.38$88.0029.8%8.5%14.0%59.9%31.3%26.2%-9.4%-468143.2K-4.5K0.93164.15N/AN/A8478144124
2015-04-23$90.73$88.0028.7%8.2%12.7%56.9%31.5%16.3%-17.4%-233-14.7K-4.0K0.76156.61N/AN/A10278144124
2015-04-24$90.59$88.0016.8%4.8%12.8%24.0%13.6%-7.1%5.5%4.5K-665-4.9K0.76147.87N/AN/A10278142124
2015-04-27$90.00$88.0025.0%7.2%13.1%46.8%25.4%-2.0%-3.0%3.5K-22.5K-4.8K0.76154.87N/AN/A10378142124
2015-04-28$91.28$88.0030.4%8.7%13.7%61.7%35.4%0.1%-10.5%2.6K-120.3K-4.8K0.79156.56N/AN/A10381143124
2015-04-29$90.95$88.0034.3%9.8%13.0%72.4%31.2%1.2%-18.5%2.2K-2.1K-4.8K0.79160.98N/AN/A10381143127
2015-04-30$89.41$88.0033.5%9.6%13.8%70.2%34.4%0.4%-9.5%4.7K-12.4K-4.8K0.91162.14N/AN/A8779143127