VOX Options History — August 2015

In August 2015, VOX traded between $80.80 and $87.90. ATM implied volatility averaged 25.2%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 10.1% (HV 20d: 15.1%). Max pain ranged from $88.00 to $90.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2015-08-21: Highest Volume — 248 contracts
  • 2015-08-19: Largest IV spike — 145.3% change
  • 2015-08-07: Highest IV Rank — 44.9%
  • 2015-08-31: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.43$80.80$87.90$86.56$83.84
Max Pain$88.95$88.00$90.00$90.00$90.00
ATM IV25.2%9.8%42.2%20.4%34.8%
Expected Move6.4%2.8%10.0%5.9%10.0%
HV 20d15.1%11.9%20.9%13.2%20.2%
HV 60d12.7%11.4%15.2%11.6%15.0%
IV Rank22.4%2.2%44.9%16.2%35.1%
IV Percentile73.2%2.8%95.6%70.2%91.7%
Term Structure-4.0%-16.4%10.9%-2.0%-13.3%
VWIV21.4%11.4%33.3%22.0%27.6%
Skew 25d0.9%-22.8%19.5%2.3%2.7%
Skew 10d3.7%-24.6%28.8%7.2%-0.3%
Call IV 25d27.3%6.7%47.1%43.2%47.1%
Put IV 25d28.3%9.4%49.8%45.6%49.8%
Bid-Ask Spread %147.65108.13176.19167.58157.79
Gamma HHI0.150.120.200.170.13
Net GEX-97.9K-173.1K-71.7K-109.1K-83.0K
Net DEX2.7M2.1M3.3M2.3M2.9M
Net VEX-5.4K-7.3K-2.3K-5.5K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.251.550.251.24
Total Volume173.8112485226
Total OI625.048511721511721

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$86.56$90.0020.4%5.9%13.2%16.2%0.0%2.3%-2.0%-109.1K2.3M-5.5K0.25167.58N/AN/A41120391
2015-08-04$86.11$90.0023.6%6.8%13.4%20.4%22.0%6.0%-11.0%-110.4K2.7M-3.7K1.09156.59N/AN/A7683124392
2015-08-05$86.15$90.0014.5%4.1%12.4%8.4%17.2%-5.1%-2.7%-106.0K2.5M-4.9K1.11129.37N/AN/A7684134392
2015-08-06$85.46$88.0031.4%4.2%12.8%30.7%17.7%-6.7%10.9%-83.1K2.4M-5.2K1.11138.98N/AN/A7684134393
2015-08-07$85.07$88.0042.2%7.4%11.9%44.9%19.2%-12.8%-6.8%-81.8K2.6M-4.3K1.11143.61N/AN/A7684134393
2015-08-10$86.78$88.0031.6%4.3%13.9%30.9%13.8%1.7%-2.5%-112.5K2.6M-4.1K0.98122.32N/AN/A9795134393
2015-08-11$87.09$88.0028.1%5.1%13.6%26.2%13.4%19.4%3.6%-100.1K2.1M-6.3K0.00171.03N/AN/A01173409
2015-08-12$86.49$88.0021.5%6.2%13.6%17.6%18.6%-5.0%-8.4%-84.0K2.4M-5.3K0.77150.05N/AN/A9976173410
2015-08-13$86.44$88.0012.4%3.5%13.0%5.6%14.3%2.9%-1.9%-71.7K3.1M-2.3K1.00108.13N/AN/A9999173423
2015-08-14$87.04$88.0023.9%6.8%13.1%20.8%22.0%3.8%-6.2%-101.2K2.3M-7.0K1.00159.59N/AN/A9999173460
2015-08-17$87.76$88.0021.5%6.2%13.4%17.6%20.5%-22.8%-16.4%-114.9K2.4M-6.4K1.00162.31N/AN/A9999173460
2015-08-18$87.90$88.009.8%2.8%12.8%2.2%11.4%5.0%4.8%-173.1K2.6M-5.1K1.08134.19N/AN/A104112173460
2015-08-19$87.51$88.0023.9%6.9%12.4%20.8%0.0%-4.1%-8.5%-119.6K2.2M-7.3K0.61176.19N/AN/A2314182483
2015-08-20$86.05$88.0026.2%7.5%14.0%23.8%21.8%0.1%-5.6%-99.2K2.6M-7.0K1.15167.62N/AN/A99114205497
2015-08-21$85.02$90.0027.4%7.9%14.3%25.4%22.2%19.5%-6.5%-95.0K3.0M-6.1K1.53148.06N/AN/A98150203497
2015-08-24$82.26$90.0030.6%8.8%18.4%29.6%33.3%-3.5%-0.2%-73.8K3.2M-4.8K1.55147.90N/AN/A84130193511
2015-08-25$80.80$90.0028.5%8.2%19.2%26.9%32.9%-6.1%-8.6%-90.1K2.7M-6.3K1.40150.62N/AN/A93130192511
2015-08-26$82.36$90.0025.8%7.4%20.4%23.2%28.7%12.9%-5.1%-74.0K3.3M-4.6K1.40143.98N/AN/A93130201511
2015-08-27$83.58$90.0024.2%6.9%20.9%21.2%25.5%1.5%-0.7%-80.7K3.3M-5.2K1.34130.38N/AN/A93125201511
2015-08-28$83.81$90.0026.3%7.5%20.2%23.9%23.9%7.7%2.9%-93.6K3.2M-5.4K1.24134.34N/AN/A101125201512
2015-08-31$83.84$90.0034.8%10.0%20.2%35.1%27.6%2.7%-13.3%-83.0K2.9M-6.0K1.24157.79N/AN/A101125209512