VOX Options History — February 2016

In February 2016, VOX traded between $81.93 and $88.49. ATM implied volatility averaged 25.8%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.2% (HV 20d: 21.7%). Max pain ranged from $81.00 to $87.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.09.

Notable Days

  • 2016-02-18: Highest Volume — 179 contracts
  • 2016-02-03: Largest IV spike — 111.8% change
  • 2016-02-09: Highest IV Rank — 45.9%
  • 2016-02-01: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.95$81.93$88.49$85.32$88.49
Max Pain$85.40$81.00$87.00$81.00$85.00
ATM IV25.8%14.1%43.6%38.4%27.8%
Expected Move7.0%4.1%11.0%11.0%8.0%
HV 20d21.7%15.9%25.0%24.5%15.9%
HV 60d19.3%18.6%19.7%18.6%19.7%
IV Rank22.1%6.5%45.9%38.9%24.7%
IV Percentile54.3%18.3%95.2%90.1%62.7%
Term Structure-3.4%-15.6%4.4%-10.8%-6.6%
VWIV24.5%13.4%49.7%43.8%25.8%
Skew 25d6.2%-17.3%18.5%3.7%8.4%
Skew 10d12.1%-1.1%36.7%8.3%11.3%
Call IV 25d28.5%14.5%50.4%46.4%41.6%
Put IV 25d34.7%18.2%56.8%50.1%50.1%
Bid-Ask Spread %125.3766.17151.76151.76151.54
Gamma HHI0.130.110.150.140.12
Net GEX8.0K-5.7K24.7K-54623.7K
Net DEX-64.5K-406.8K186.7K1.3K-406.8K
Net VEX-2.4K-3.0K-2.0K-2.5K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.671.281.260.67
Total Volume170.35153179174164
Total OI187146198182191

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$85.32$81.0038.4%11.0%24.5%38.9%43.8%3.7%-10.8%-5461.3K-2.5K1.26151.76N/AN/A77978597
2016-02-02$83.92$81.0016.9%4.8%24.4%10.2%14.7%1.2%1.4%3.0K18.1K-2.3K1.26132.73N/AN/A77979197
2016-02-03$84.91$81.0035.8%10.3%24.5%35.4%49.7%6.4%-12.8%-1.9K-12.4K-2.6K1.26148.36N/AN/A77979397
2016-02-04$85.31$87.0015.7%4.8%24.4%8.6%14.8%3.9%0.1%15.0K-59.5K-2.2K1.2666.17N/AN/A77979397
2016-02-05$84.47$87.0031.9%6.4%23.8%30.2%18.1%4.5%-1.9%4.5K-4.8K-2.4K1.26105.60N/AN/A77979397
2016-02-08$82.76$87.0024.0%5.9%24.8%19.7%15.3%8.0%-0.7%-38672.1K-2.2K1.26101.72N/AN/A77979397
2016-02-09$82.03$87.0043.6%6.9%25.0%45.9%40.0%17.4%-4.6%-1.5K152.5K-2.3K1.26150.14N/AN/A77979397
2016-02-10$81.93$87.0020.4%5.8%24.8%14.9%18.9%16.4%-0.6%-2.9K181.0K-2.1K1.26117.59N/AN/A77979497
2016-02-11$82.50$87.0022.3%6.4%23.6%17.4%16.2%9.6%0.9%-5.7K186.7K-2.0K1.2669.49N/AN/A77979497
2016-02-12$83.57$87.0031.4%9.0%23.4%29.6%36.8%4.2%-3.6%-8673.7K-2.3K1.26141.88N/AN/A77979497
2016-02-16$84.31$87.0024.9%7.2%21.8%21.0%16.0%18.5%-6.8%14.2K-22.5K-2.1K1.26105.59N/AN/A77979497
2016-02-17$85.17$87.0029.3%8.4%21.9%26.8%37.4%6.5%-15.6%1.9K-61.7K-2.2K1.28136.61N/AN/A76979497
2016-02-18$85.65$87.0014.1%4.1%20.4%6.5%14.6%-10.9%4.4%13.3K-166.4K-2.2K1.18147.98N/AN/A82979997
2016-02-19$84.82$85.0017.1%4.9%21.0%10.5%17.1%0.9%1.6%8.1K-94.7K-2.2K1.18111.90N/AN/A829710197
2016-02-22$85.83$85.0031.1%8.9%18.3%29.2%33.4%-17.3%-7.6%6.2K-48.1K-2.2K0.76142.43N/AN/A87668066
2016-02-23$85.84$85.0026.6%7.6%18.3%23.1%19.4%9.0%-4.2%17.6K-157.1K-2.8K0.74142.82N/AN/A896611066
2016-02-24$86.91$85.0034.2%9.8%17.5%33.3%29.2%13.0%-3.9%16.9K-237.2K-2.9K0.70138.00N/AN/A946611566
2016-02-25$87.50$85.0016.2%4.6%17.5%9.2%14.8%3.5%0.5%23.3K-323.8K-2.9K0.67101.40N/AN/A996612066
2016-02-26$87.84$85.0015.0%4.3%17.5%7.6%13.4%16.5%1.9%24.7K-380.5K-3.0K0.67143.77N/AN/A996612566
2016-02-29$88.49$85.0027.8%8.0%15.9%24.7%25.8%8.4%-6.6%23.7K-406.8K-3.0K0.67151.54N/AN/A986612566