VOX Options History — June 2015

In June 2015, VOX traded between $86.95 and $89.77. ATM implied volatility averaged 22.9%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 11.9% (HV 20d: 10.9%). Max pain ranged from $80.00 to $88.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.25.

Notable Days

  • 2015-06-09: Highest Volume — 269 contracts
  • 2015-06-05: Largest IV spike — 172.5% change
  • 2015-06-09: Highest IV Rank — 59.5%
  • 2015-06-30: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.00$86.95$89.77$87.23$87.00
Max Pain$81.09$80.00$88.00$88.00$80.00
ATM IV22.9%9.3%44.1%14.8%34.0%
Expected Move5.9%2.7%9.7%4.2%9.7%
HV 20d10.9%9.9%12.2%12.0%11.6%
HV 60d12.9%11.9%14.1%14.1%12.2%
IV Rank24.4%1.9%59.5%11.1%42.8%
IV Percentile72.5%1.6%98.8%67.1%95.2%
Term Structure-4.3%-18.1%8.5%-0.8%-18.1%
VWIV23.3%11.9%35.3%13.3%35.3%
Skew 25d4.2%-25.3%25.9%3.5%25.6%
Skew 10d6.5%-17.9%22.2%3.6%3.8%
Call IV 25d20.6%9.2%41.6%12.5%22.3%
Put IV 25d24.8%10.2%47.9%16.1%47.9%
Bid-Ask Spread %138.3243.72162.3267.72162.10
Gamma HHI0.180.140.260.260.17
Net GEX-53.5K-195.8K-10.7K-24.9K-45.9K
Net DEX862.3K425.7K1.4M560.2K1.1M
Net VEX-6.1K-7.6K-3.4K-3.8K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.251.141.831.331.25
Total Volume2350269184247
Total OI463.682353533353475

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$87.23$88.0014.8%4.2%12.0%11.1%13.3%3.5%-0.8%-24.9K560.2K-3.8K1.3367.72N/AN/A79105154199
2015-06-02$87.73$88.0013.2%3.8%12.2%8.4%0.0%2.7%-0.2%-22.0K498.7K-3.9K0.0069.92N/AN/A00154199
2015-06-03$88.64$88.0012.4%3.6%11.8%7.1%11.9%2.9%0.4%-10.7K425.7K-3.7K1.3376.63N/AN/A79105154199
2015-06-04$87.85$80.0013.0%3.8%11.0%8.0%16.6%3.1%1.3%-18.3K482.0K-3.8K1.5843.72N/AN/A79125154199
2015-06-05$87.17$80.0035.3%6.0%11.3%45.0%22.4%7.4%-6.8%-21.3K506.5K-5.0K1.83158.03N/AN/A84154154219
2015-06-08$87.20$80.0038.0%5.8%10.7%49.5%24.8%17.2%-5.6%-63.2K1.1M-5.8K1.14158.95N/AN/A125143144290
2015-06-09$86.95$80.0044.1%6.3%10.7%59.5%23.1%10.5%-10.4%-64.8K1.2M-7.6K1.15158.80N/AN/A125144185333
2015-06-10$87.71$80.0024.6%7.1%11.1%27.3%24.3%25.9%-10.3%-68.6K1.1M-7.2K1.15153.40N/AN/A125144185334
2015-06-11$88.12$80.0021.9%6.3%11.2%22.9%21.8%5.7%-13.7%-55.2K1.1M-7.1K1.15159.01N/AN/A125144185334
2015-06-12$87.76$80.0015.9%4.6%11.1%12.9%21.3%-4.9%-2.9%-66.4K1.3M-5.8K1.15149.83N/AN/A125144185334
2015-06-15$87.42$80.0025.9%7.4%11.1%29.4%27.0%2.7%-9.3%-63.8K1.2M-6.8K1.19152.18N/AN/A121144185334
2015-06-16$87.78$80.009.3%2.7%11.0%1.9%20.3%21.8%8.4%-64.7K953.9K-6.6K1.19142.50N/AN/A121144199334
2015-06-17$87.73$80.0015.8%4.5%10.0%12.7%24.7%25.3%6.2%-53.3K949.1K-7.2K1.19162.32N/AN/A121144199334
2015-06-18$88.60$80.0026.5%7.6%10.3%30.4%27.9%24.2%-13.6%-53.6K800.0K-7.4K1.19152.78N/AN/A121144199334
2015-06-19$88.59$80.0017.8%5.1%10.2%16.1%22.0%-1.3%4.9%-41.9K603.9K-7.1K1.19143.12N/AN/A121144199334
2015-06-22$89.07$80.0027.8%8.0%9.9%32.6%28.6%-22.8%-6.3%-195.8K1.4M-3.4K1.22154.92N/AN/A109133182275
2015-06-23$89.77$80.0026.8%7.7%10.2%30.8%27.2%-25.3%-10.5%-52.3K587.8K-7.2K1.17159.36N/AN/A109127182275
2015-06-24$88.96$80.0011.7%3.3%10.4%5.9%15.4%6.9%-4.0%-44.0K795.6K-6.7K1.17148.59N/AN/A109127182282
2015-06-25$89.15$80.0021.7%6.2%10.3%22.5%32.5%-20.5%8.5%-46.3K738.7K-7.1K1.17156.93N/AN/A109127182282
2015-06-26$88.51$80.0019.7%5.7%10.7%19.2%19.1%-1.8%-3.9%-50.8K662.7K-7.0K1.25156.56N/AN/A110137182282
2015-06-29$87.00$80.0032.8%9.4%11.8%40.8%30.4%-16.4%-8.6%-49.9K891.6K-6.9K1.25155.68N/AN/A110137183292
2015-06-30$87.00$80.0034.0%9.7%11.6%42.8%35.3%25.6%-18.1%-45.9K1.1M-6.3K1.25162.10N/AN/A110137183292