VOX Options History — March 2016

In March 2016, VOX traded between $89.15 and $92.82. ATM implied volatility averaged 19.9%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 8.1% (HV 20d: 11.8%). Max pain ranged from $85.00 to $88.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.97.

Notable Days

  • 2016-03-15: Highest Volume — 205 contracts
  • 2016-03-03: Largest IV spike — 178.0% change
  • 2016-03-03: Highest IV Rank — 34.7%
  • 2016-03-01: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.69$89.15$92.82$89.15$92.82
Max Pain$87.73$85.00$88.00$85.00$88.00
ATM IV19.9%10.2%35.3%34.7%10.2%
Expected Move5.3%2.9%9.9%9.9%2.9%
HV 20d11.8%10.1%16.0%16.0%11.6%
HV 60d18.6%17.6%19.7%19.7%17.6%
IV Rank14.2%1.2%34.7%34.0%1.2%
IV Percentile33.7%0.8%81.3%80.6%0.8%
Term Structure-2.6%-18.9%4.7%-9.7%2.8%
VWIV22.5%12.5%35.9%28.8%20.0%
Skew 25d0.9%-24.9%18.1%9.7%-24.9%
Skew 10d13.8%-3.9%37.7%21.7%5.5%
Call IV 25d24.4%9.8%41.7%40.5%40.4%
Put IV 25d25.3%13.8%50.2%50.2%15.6%
Bid-Ask Spread %131.54117.30144.31144.31134.03
Gamma HHI0.150.120.210.120.15
Net GEX32.2K17.0K44.6K27.7K40.9K
Net DEX-740.2K-1.1M-495.8K-495.8K-1.1M
Net VEX-3.4K-4.3K-2.7K-2.8K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.541.360.670.99
Total Volume173.5153205164159
Total OI249.591195286195286

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$89.15$85.0034.7%9.9%16.0%34.0%28.8%9.7%-9.7%27.7K-495.8K-2.8K0.67144.31N/AN/A986612966
2016-03-02$90.43$85.0012.7%3.6%14.9%4.5%19.9%5.7%2.5%34.0K-648.7K-2.7K0.60140.77N/AN/A1136812966
2016-03-03$90.47$88.0035.3%5.1%14.6%34.7%23.6%18.1%-2.7%35.3K-665.2K-2.9K0.54129.60N/AN/A1256814568
2016-03-04$90.39$88.0014.5%3.0%14.7%7.0%15.3%2.3%4.6%36.8K-799.9K-3.0K0.69123.17N/AN/A996815168
2016-03-07$90.96$88.0014.6%4.0%13.9%7.2%18.5%6.2%1.5%35.6K-817.6K-3.0K0.80117.30N/AN/A856815168
2016-03-08$90.58$88.0027.6%5.1%11.0%24.4%18.5%4.9%0.5%34.4K-676.0K-3.2K0.80123.84N/AN/A856815268
2016-03-09$90.09$88.0018.3%5.2%10.5%12.0%20.1%5.7%-1.0%34.2K-758.5K-3.0K0.80130.16N/AN/A856815268
2016-03-10$89.94$88.0014.6%4.2%10.6%7.1%16.9%-13.3%4.7%37.8K-815.3K-2.9K0.81130.42N/AN/A856915268
2016-03-11$90.81$88.0012.4%3.5%10.7%4.1%16.2%1.9%1.6%37.0K-800.2K-2.9K0.73118.50N/AN/A956915269
2016-03-14$90.42$88.0014.0%4.0%10.7%6.3%16.6%-2.2%1.4%41.0K-808.0K-3.1K1.10129.18N/AN/A9710716169
2016-03-15$89.85$88.0020.9%6.0%11.1%15.5%29.2%7.0%-6.1%29.7K-586.0K-4.3K1.09138.36N/AN/A98107167117
2016-03-16$90.62$88.0025.3%7.2%11.0%21.3%29.8%7.3%-15.4%44.6K-740.9K-3.5K1.24142.72N/AN/A86107168117
2016-03-17$91.30$88.0016.2%4.6%11.1%9.2%16.7%6.8%-3.5%31.9K-769.3K-4.2K1.24129.57N/AN/A86107168117
2016-03-18$91.24$88.0027.4%7.8%10.1%24.2%31.5%-9.4%-14.9%26.1K-747.5K-4.2K1.19136.41N/AN/A90107168117
2016-03-21$90.65$88.0020.5%5.9%10.2%15.1%31.0%4.5%-6.1%27.2K-644.9K-4.0K1.30135.91N/AN/A81105153115
2016-03-22$90.29$88.0027.0%7.7%10.5%23.7%35.9%5.8%-0.1%22.1K-570.3K-4.2K1.36136.84N/AN/A77105153115
2016-03-23$89.61$88.0022.7%6.5%10.4%18.0%28.1%-21.8%1.0%23.4K-526.9K-4.3K1.36134.29N/AN/A77105155115
2016-03-24$90.19$88.0013.6%3.9%10.4%5.7%12.5%0.2%0.6%17.0K-632.5K-3.8K1.03119.49N/AN/A7779155115
2016-03-28$90.31$88.0026.6%7.6%10.3%23.2%26.0%-10.3%-18.9%28.2K-654.0K-3.8K0.96134.29N/AN/A8279155119
2016-03-29$92.36$88.0014.4%4.1%12.6%6.9%0.0%12.9%0.8%30.1K-1.0M-3.1K1.00136.27N/AN/A7979160119
2016-03-30$92.78$88.0014.2%4.1%12.5%6.6%18.2%3.4%-1.1%32.7K-1.0M-3.4K0.99128.53N/AN/A8079166119
2016-03-31$92.82$88.0010.2%2.9%11.6%1.2%20.0%-24.9%2.8%40.9K-1.1M-3.3K0.99134.03N/AN/A8079167119