VOX Options History — October 2015

In October 2015, VOX traded between $77.66 and $85.74. ATM implied volatility averaged 26.1%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 4.4% (HV 20d: 21.7%). Max pain ranged from $77.00 to $92.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.30.

Notable Days

  • 2015-10-14: Highest Volume — 280 contracts
  • 2015-10-08: Largest IV spike — 94.8% change
  • 2015-10-02: Highest IV Rank — 44.9%
  • 2015-10-02: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.65$77.66$85.74$77.66$85.73
Max Pain$86.36$77.00$92.00$92.00$88.00
ATM IV26.1%11.0%42.2%33.8%31.2%
Expected Move6.7%3.2%12.1%9.7%8.9%
HV 20d21.7%17.7%24.6%22.0%18.0%
HV 60d20.5%19.3%21.2%19.4%21.2%
IV Rank23.7%3.8%44.9%33.8%30.3%
IV Percentile66.3%6.3%94.8%87.3%81.7%
Term Structure-5.3%-19.3%10.9%-6.3%-9.5%
VWIV27.2%13.4%54.9%44.3%25.5%
Skew 25d9.4%-5.0%32.3%6.0%-2.6%
Skew 10d16.6%-3.0%43.5%-0.5%37.1%
Call IV 25d21.9%8.8%58.7%53.3%15.3%
Put IV 25d31.3%12.7%63.4%59.3%12.7%
Bid-Ask Spread %140.52100.39156.99146.19155.84
Gamma HHI0.160.090.250.090.22
Net GEX-11.4K-41.7K-174-1.7K-3.1K
Net DEX1.9M33.3K3.7M3.3M33.3K
Net VEX-1.5K-1.9K-837-1.1K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.752.000.751.51
Total Volume161.045028021093
Total OI435.182109741682119

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$77.66$92.0033.8%9.7%22.0%33.8%44.3%6.0%-6.3%-1.7K3.3M-1.1K0.75146.19N/AN/A12090229453
2015-10-02$78.22$92.0042.2%12.1%21.3%44.9%54.9%4.7%-18.2%-21.1K3.1M-1.9K0.83143.47N/AN/A120100229453
2015-10-05$80.63$77.0037.7%7.0%23.9%38.9%0.0%4.4%-6.5%-21.9K3.3M-1.5K0.00127.56N/AN/A00229463
2015-10-06$80.40$77.0018.6%5.7%23.7%13.8%17.5%2.0%-1.4%-3.9K3.5M-8370.83106.04N/AN/A120100229463
2015-10-07$81.26$77.0018.3%4.9%23.4%13.4%18.9%5.5%-3.2%-4.1K3.5M-8430.84100.39N/AN/A119100229463
2015-10-08$82.03$77.0035.6%4.2%23.6%36.2%18.6%5.0%-1.6%-8.1K3.5M-9120.86116.31N/AN/A119102228463
2015-10-09$81.64$88.0039.6%4.5%23.6%41.5%28.5%8.8%3.4%-27.6K3.2M-1.7K0.87154.03N/AN/A119103228466
2015-10-12$82.01$88.0015.8%5.5%23.6%10.2%19.2%-5.0%-0.9%-14.8K3.7M-9581.01110.56N/AN/A119120228484
2015-10-13$81.63$88.0018.0%3.4%23.7%13.0%15.1%1.3%0.0%-12.3K3.7M-9100.98127.94N/AN/A128125228484
2015-10-14$81.07$88.0022.1%6.3%23.2%18.4%26.3%10.0%-3.8%-38.5K3.1M-1.9K1.19156.99N/AN/A128152237489
2015-10-15$82.80$88.0025.7%7.4%24.6%23.1%34.3%11.5%-7.8%-41.7K3.3M-1.9K1.19154.27N/AN/A128152237504
2015-10-16$82.85$88.0026.1%7.5%24.6%23.7%28.6%7.2%-10.9%-5.7K3.7M-1.7K1.19155.15N/AN/A128152237504
2015-10-19$82.87$88.0026.3%7.5%24.2%23.9%34.4%12.9%-3.2%-6.1K140.2K-1.6K1.60156.04N/AN/A35564466
2015-10-20$83.60$88.0011.0%3.2%24.4%3.8%16.0%7.1%2.1%-174144.9K-1.4K1.60130.33N/AN/A35564466
2015-10-21$83.22$88.0014.7%4.2%18.8%8.7%13.4%-0.4%0.5%-2.1K171.7K-1.3K1.56128.64N/AN/A36564466
2015-10-22$84.74$88.0028.0%8.0%19.6%26.1%29.3%32.3%-19.3%-6.0K78.5K-1.7K1.56153.75N/AN/A36564566
2015-10-23$85.56$88.0021.6%6.2%19.8%17.7%23.3%5.7%-10.4%-5.3K55.2K-1.6K2.00151.17N/AN/A28564566
2015-10-26$85.40$88.0028.7%8.2%17.7%27.1%28.5%28.4%-10.1%-7.7K63.7K-1.6K2.00151.26N/AN/A28564366
2015-10-27$84.25$88.0030.3%8.7%18.1%29.3%31.1%11.8%-10.0%-7.0K95.1K-1.6K2.00154.32N/AN/A28564366
2015-10-28$85.74$88.0029.8%8.5%18.5%28.5%28.4%32.1%-10.2%-7.6K52.7K-1.6K1.47155.64N/AN/A38564366
2015-10-29$85.00$88.0019.1%5.5%17.9%14.4%35.6%18.5%10.9%-4.6K64.7K-1.7K1.47155.62N/AN/A38565366
2015-10-30$85.73$88.0031.2%8.9%18.0%30.3%25.5%-2.6%-9.5%-3.1K33.3K-1.8K1.51155.84N/AN/A37565366