VOX Options History — September 2015

In September 2015, VOX traded between $77.77 and $84.64. ATM implied volatility averaged 31.1%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 8.0% (HV 20d: 23.1%). Max pain ranged from $90.00 to $93.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2015-09-11: Highest Volume — 257 contracts
  • 2015-09-24: Largest IV spike — 78.7% change
  • 2015-09-30: Highest IV Rank — 50.4%
  • 2015-09-30: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.25$77.77$84.64$81.59$78.74
Max Pain$92.35$90.00$93.00$90.00$92.00
ATM IV31.1%18.1%46.4%36.0%46.4%
Expected Move8.3%5.2%13.3%10.3%13.3%
HV 20d23.1%22.2%24.4%22.2%23.4%
HV 60d17.3%16.0%19.2%16.0%19.2%
IV Rank30.3%13.2%50.4%36.8%50.4%
IV Percentile81.5%54.0%97.2%92.5%97.2%
Term Structure-9.1%-20.9%4.0%-10.7%-19.4%
VWIV32.8%21.6%48.8%29.9%48.8%
Skew 25d8.0%-18.0%30.7%30.7%9.0%
Skew 10d5.3%-12.4%30.0%0.7%-4.8%
Call IV 25d33.6%15.1%52.2%31.0%52.2%
Put IV 25d41.6%16.1%61.7%61.7%61.1%
Bid-Ask Spread %138.22113.95155.48155.48136.86
Gamma HHI0.110.090.120.120.10
Net GEX-53.1K-89.9K-376-63.1K-23.1K
Net DEX3.1M2.7M3.6M3.2M3.0M
Net VEX-3.8K-5.5K-996-4.7K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.001.241.240.75
Total Volume211.450257226210
Total OI719.95681751721682

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$81.59$90.0036.0%10.3%22.2%36.8%29.9%30.7%-10.7%-63.1K3.2M-4.7K1.24155.48N/AN/A101125209512
2015-09-02$82.85$90.0036.4%10.4%23.1%37.3%34.5%15.0%-12.1%-74.7K3.3M-4.6K1.10153.66N/AN/A114125209512
2015-09-03$83.78$93.0037.9%6.8%23.4%39.2%28.9%17.5%-5.7%-74.7K3.2M-5.1K1.01141.73N/AN/A124125212512
2015-09-04$82.93$93.0036.7%7.3%23.6%37.7%23.3%4.6%-1.9%-63.8K3.4M-4.3K1.02129.00N/AN/A124126222512
2015-09-08$84.16$93.0040.0%7.2%23.0%41.9%0.0%7.9%-4.5%-89.9K3.0M-5.5K0.00131.01N/AN/A10222513
2015-09-09$83.39$93.0023.9%6.8%23.1%20.7%23.0%10.5%-5.1%-81.9K3.2M-4.7K1.05133.21N/AN/A120126223513
2015-09-10$83.22$93.0022.1%6.3%23.0%18.4%29.0%-18.0%-1.8%-61.2K3.4M-3.9K1.02128.33N/AN/A123126235513
2015-09-11$83.52$93.0033.0%9.5%23.1%32.7%31.8%24.4%-9.2%-69.8K3.1M-4.9K0.96133.66N/AN/A131126238513
2015-09-14$83.44$93.0025.3%7.2%22.9%22.6%21.6%-3.9%-4.3%-52.7K3.3M-4.2K0.96113.95N/AN/A131126237513
2015-09-15$84.49$93.0025.5%7.3%23.2%22.9%0.0%2.8%-8.4%-78.1K2.7M-5.4K0.00149.06N/AN/A00237513
2015-09-16$84.64$93.0026.7%7.6%23.2%24.4%32.5%9.6%-14.4%-77.6K2.8M-5.0K0.96143.74N/AN/A131126237513
2015-09-17$84.46$93.0018.5%5.3%23.2%13.7%33.6%10.9%4.0%-77.0K2.9M-5.0K0.96144.60N/AN/A131126237513
2015-09-18$83.40$93.0024.6%7.1%22.9%21.7%29.1%8.3%-4.3%-40.9K3.6M-3.1K0.96129.24N/AN/A131126237513
2015-09-21$83.65$92.0030.3%8.7%22.6%29.2%34.3%6.6%-16.4%-43.3K2.9M-3.5K0.72145.00N/AN/A12187231450
2015-09-23$80.21$92.0018.1%5.2%24.4%13.2%23.4%3.1%-4.2%-3763.4M-9960.70120.18N/AN/A12890231453
2015-09-24$80.07$92.0032.4%9.3%23.6%32.0%39.0%11.6%-14.0%-19.7K3.1M-2.1K0.70145.40N/AN/A12890231453
2015-09-25$80.23$92.0039.3%11.3%22.5%41.0%39.5%2.1%-19.5%-29.2K3.0M-2.8K0.75145.42N/AN/A12090231453
2015-09-28$78.54$92.0031.2%9.0%22.7%30.4%42.5%0.3%-9.3%-22.3K3.0M-2.2K0.75145.06N/AN/A12090229453
2015-09-29$77.77$92.0037.8%10.8%22.7%39.1%46.4%7.8%-20.9%-18.2K3.0M-2.1K0.75139.74N/AN/A12090229453
2015-09-30$78.74$92.0046.4%13.3%23.4%50.4%48.8%9.0%-19.4%-23.1K3.0M-2.3K0.75136.86N/AN/A12090229453