VOX Options History — April 2016

In April 2016, VOX traded between $91.31 and $93.74. ATM implied volatility averaged 16.4%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.3% (HV 20d: 13.1%). Max pain ranged from $88.00 to $90.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2016-04-13: Highest Volume — 194 contracts
  • 2016-04-29: Largest IV spike — 128.5% change
  • 2016-04-01: Highest IV Rank — 34.2%
  • 2016-04-01: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.58$91.31$93.74$93.74$92.48
Max Pain$89.90$88.00$90.00$88.00$90.00
ATM IV16.4%10.3%34.9%34.9%33.2%
Expected Move4.9%3.5%10.0%10.0%9.5%
HV 20d13.1%12.0%15.0%12.0%13.3%
HV 60d15.5%13.3%17.6%17.6%13.3%
IV Rank9.5%1.3%34.2%34.2%32.0%
IV Percentile23.4%1.2%81.0%81.0%78.2%
Term Structure-2.0%-28.5%7.5%-28.5%-9.0%
VWIV16.0%9.2%31.8%17.0%31.8%
Skew 25d4.3%-8.3%36.6%36.6%2.5%
Skew 10d9.3%-0.3%54.7%54.7%7.2%
Call IV 25d16.3%10.3%39.8%27.1%39.8%
Put IV 25d20.6%12.9%63.7%63.7%42.2%
Bid-Ask Spread %107.5561.44160.79134.18159.43
Gamma HHI0.120.110.140.130.11
Net GEX53.4K28.0K69.5K28.0K54.0K
Net DEX-923.3K-1.2M-726.7K-1.1M-825.0K
Net VEX-3.6K-4.0K-3.0K-3.0K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.510.760.690.63
Total Volume158121194169127
Total OI278.714218321286249

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$93.74$88.0034.9%10.0%12.0%34.2%0.0%36.6%-28.5%28.0K-1.1M-3.0K0.69134.18N/AN/A10069167119
2016-04-04$93.56$90.0010.3%5.9%12.0%1.3%17.0%16.1%-7.0%49.0K-1.2M-3.8K0.74108.51N/AN/A10074187129
2016-04-05$92.57$90.0012.6%3.8%12.7%4.5%14.3%3.7%0.8%54.3K-1.1M-3.8K0.7461.44N/AN/A10074187134
2016-04-06$92.85$90.0013.9%3.7%12.6%6.1%14.3%2.7%4.0%46.9K-1.1M-3.7K0.7481.79N/AN/A10074187134
2016-04-07$91.55$90.0011.5%4.0%13.5%3.0%14.0%-5.1%0.9%58.7K-981.8K-4.0K0.69109.31N/AN/A10875187134
2016-04-08$91.67$90.0014.2%3.9%13.5%6.6%14.0%1.2%0.1%53.4K-976.5K-3.7K0.6979.63N/AN/A10875178135
2016-04-11$91.31$90.0013.7%4.3%13.2%5.9%13.5%2.5%-0.1%57.8K-920.8K-3.7K0.6966.16N/AN/A10975178135
2016-04-12$91.84$90.0015.6%4.1%13.2%8.4%14.4%3.6%-0.4%45.6K-894.3K-3.7K0.7389.06N/AN/A10980177135
2016-04-13$91.78$90.0020.0%5.7%12.9%14.3%25.7%3.8%-12.3%49.1K-907.5K-3.8K0.70101.36N/AN/A11480177140
2016-04-14$91.98$90.0013.2%3.8%12.6%5.2%12.6%2.1%2.5%43.6K-962.4K-3.8K0.7690.61N/AN/A10580180140
2016-04-15$92.47$90.0013.5%3.9%12.5%5.7%13.9%3.5%0.1%42.8K-949.2K-3.8K0.76100.76N/AN/A10580179140
2016-04-18$93.05$90.0014.0%4.0%12.7%6.3%9.2%4.1%7.0%46.2K-726.7K-3.4K0.68101.31N/AN/A724913979
2016-04-19$93.65$90.0014.4%4.1%12.5%6.8%11.7%1.5%-1.6%50.8K-854.1K-3.5K0.5899.28N/AN/A854915079
2016-04-20$93.63$90.0012.4%3.6%12.3%4.1%13.4%1.6%1.4%60.0K-943.1K-3.3K0.58100.97N/AN/A854916379
2016-04-21$91.64$90.0012.1%3.5%14.5%3.8%11.8%0.4%1.5%60.5K-763.9K-3.8K0.58118.89N/AN/A854916379
2016-04-22$92.76$90.0027.5%7.9%14.9%24.3%26.2%6.7%-6.7%69.5K-884.9K-3.1K0.58160.79N/AN/A854916379
2016-04-25$92.55$90.0012.6%3.6%15.0%4.5%12.1%3.7%-0.6%62.4K-812.0K-3.6K0.58104.87N/AN/A854916379
2016-04-26$92.59$90.0012.3%3.5%12.7%4.0%13.1%2.9%-0.9%62.3K-845.7K-3.6K0.58119.17N/AN/A854916379
2016-04-27$93.69$90.0018.3%5.2%13.3%12.0%23.4%-8.3%7.5%63.4K-833.2K-3.5K0.51148.76N/AN/A964916379
2016-04-28$92.89$90.0014.5%4.2%13.7%7.0%13.9%4.7%-1.0%63.8K-831.7K-3.7K0.63122.37N/AN/A784916779
2016-04-29$92.48$90.0033.2%9.5%13.3%32.0%31.8%2.5%-9.0%54.0K-825.0K-3.5K0.63159.43N/AN/A784917079