VOX Options History — July 2015

In July 2015, VOX traded between $83.58 and $87.48. ATM implied volatility averaged 34.3%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 22.2% (HV 20d: 12.1%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.40.

Notable Days

  • 2015-07-01: Highest Volume — 242 contracts
  • 2015-07-07: Largest IV spike — 136.6% change
  • 2015-07-13: Highest IV Rank — 100.0%
  • 2015-07-01: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.83$83.58$87.48$87.20$86.41
Max Pain$89.09$80.00$90.00$80.00$90.00
ATM IV34.3%12.4%84.1%39.5%31.1%
Expected Move6.9%3.6%11.3%11.3%8.9%
HV 20d12.1%10.6%13.5%11.0%13.5%
HV 60d12.2%11.6%12.7%12.1%11.6%
IV Rank38.7%5.7%100.0%51.9%30.3%
IV Percentile81.9%29.4%100.0%97.2%89.7%
Term Structure-5.1%-21.6%8.9%-17.8%-13.7%
VWIV21.5%14.5%37.0%36.2%19.9%
Skew 25d11.2%-7.3%33.4%30.6%19.0%
Skew 10d9.1%-12.5%31.2%2.5%-1.5%
Call IV 25d21.2%9.6%38.7%16.8%26.7%
Put IV 25d32.5%11.2%48.9%47.4%45.8%
Bid-Ask Spread %144.31116.22165.91151.19157.14
Gamma HHI0.170.150.380.170.17
Net GEX-59.8K-112.2K26.1K-44.2K-112.2K
Net DEX1.8M1.1M2.9M1.1M2.3M
Net VEX-5.2K-6.5K-2.9K-6.2K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.962.241.201.42
Total Volume201.364148242242150
Total OI491.955431521475509

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$87.20$80.0039.5%11.3%11.0%51.9%36.2%30.6%-17.8%-44.2K1.1M-6.2K1.20151.19N/AN/A110132183292
2015-07-02$86.89$80.0038.8%11.1%10.6%50.8%37.0%33.4%-21.6%-56.8K1.3M-5.5K1.20159.17N/AN/A110132183297
2015-07-06$86.25$90.0020.8%5.1%10.6%21.0%16.7%0.8%-0.7%-43.0K1.5M-4.8K1.16128.43N/AN/A110128183297
2015-07-07$86.24$90.0049.2%7.5%10.6%68.0%19.6%20.3%-1.5%-43.5K1.5M-5.4K1.16147.34N/AN/A110128183312
2015-07-08$85.11$90.0047.6%5.9%11.5%65.3%22.0%3.1%-3.1%-40.2K1.3M-5.9K1.17157.52N/AN/A109128183312
2015-07-09$84.85$90.0056.3%6.0%10.9%79.6%21.1%-7.3%3.8%-40.3K1.5M-5.3K1.09133.68N/AN/A109119183312
2015-07-10$85.97$90.0043.5%6.1%11.9%58.5%21.9%21.8%4.3%-50.7K1.6M-4.9K1.09141.03N/AN/A109119183313
2015-07-13$86.42$90.0073.9%5.2%12.1%100.0%21.9%28.6%-2.8%-43.8K1.4M-5.3K1.13135.97N/AN/A109123183313
2015-07-14$87.09$90.0084.1%6.6%12.4%100.0%18.8%5.7%3.5%-47.1K1.1M-6.5K0.98148.92N/AN/A113111184322
2015-07-15$86.51$90.0019.6%5.6%12.5%15.1%17.1%21.2%8.9%-64.7K1.4M-5.6K0.98135.10N/AN/A113111188329
2015-07-16$87.48$90.0027.8%8.0%13.2%25.9%21.1%19.1%-6.5%-52.1K1.2M-6.5K0.96147.43N/AN/A113109188329
2015-07-17$87.02$90.0023.5%6.7%12.7%20.3%19.0%-3.5%-6.6%26.1K1.4M-6.0K0.97149.44N/AN/A117114187334
2015-07-20$86.89$90.0012.4%3.6%12.7%5.7%14.5%1.2%0.4%-77.9K2.2M-3.8K1.95116.22N/AN/A57111115316
2015-07-21$86.02$90.0014.1%4.1%12.9%7.9%16.9%-4.7%-2.8%-73.7K2.1M-4.7K2.24133.86N/AN/A59132115335
2015-07-22$85.22$90.0026.7%7.7%12.6%24.4%19.3%1.7%-8.6%-82.7K2.0M-5.6K1.85165.91N/AN/A59109117359
2015-07-23$85.09$90.0023.3%6.7%12.4%20.0%19.0%14.7%-12.0%-86.2K2.6M-4.0K1.80130.77N/AN/A59106117374
2015-07-24$84.29$90.0029.7%8.5%12.5%28.5%26.5%0.7%-7.6%-73.4K2.1M-5.8K1.80151.11N/AN/A59106117378
2015-07-27$83.58$90.0024.8%7.1%12.6%22.0%22.2%22.9%-1.0%-71.9K2.5M-4.1K1.77149.45N/AN/A60106117379
2015-07-28$83.89$90.0017.9%5.1%11.6%12.9%19.7%-4.5%-6.1%-72.9K2.5M-4.5K1.77137.55N/AN/A60106118379
2015-07-29$84.48$90.0035.5%10.2%12.0%36.0%24.9%15.7%-19.7%-76.4K2.3M-5.1K1.62156.14N/AN/A6097118379
2015-07-30$85.27$90.0013.4%3.8%12.5%6.9%18.5%6.5%-1.6%-87.8K2.9M-2.9K1.47141.48N/AN/A6088118390
2015-07-31$86.41$90.0031.1%8.9%13.5%30.3%19.9%19.0%-13.7%-112.2K2.3M-5.6K1.42157.14N/AN/A6288118391