VOX Options History — May 2016

In May 2016, VOX traded between $90.20 and $93.90. ATM implied volatility averaged 22.8%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 8.1% (HV 20d: 14.7%). Max pain ranged from $90.00 to $96.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2016-05-13: Highest Volume — 148 contracts
  • 2016-05-10: Largest IV spike — 200.6% change
  • 2016-05-10: Highest IV Rank — 44.0%
  • 2016-05-02: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.98$90.20$93.90$93.90$92.47
Max Pain$92.00$90.00$96.00$90.00$90.00
ATM IV22.8%13.7%42.2%33.7%33.6%
Expected Move6.0%3.9%9.7%9.7%9.6%
HV 20d14.7%12.8%16.6%14.4%12.8%
HV 60d13.2%12.7%13.6%13.6%13.0%
IV Rank18.0%5.9%44.0%32.6%32.5%
IV Percentile46.2%15.9%94.0%79.0%79.8%
Term Structure-1.5%-13.4%13.5%-10.5%-6.4%
VWIV20.1%12.5%35.0%22.0%30.9%
Skew 25d8.7%-11.1%36.4%10.4%34.4%
Skew 10d7.7%-10.4%33.8%13.9%1.6%
Call IV 25d19.1%8.4%42.0%37.3%10.7%
Put IV 25d27.8%14.5%48.7%47.7%45.1%
Bid-Ask Spread %128.3271.31164.88141.25161.03
Gamma HHI0.120.100.170.120.13
Net GEX46.8K27.6K70.6K58.7K40.2K
Net DEX-672.0K-956.3K-457.2K-956.3K-692.2K
Net VEX-3.5K-4.1K-2.6K-2.9K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.631.330.631.33
Total Volume132.095112148127112
Total OI252.762232270249233

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$93.90$90.0033.7%9.7%14.4%32.6%22.0%10.4%-10.5%58.7K-956.3K-2.9K0.63141.25N/AN/A784917079
2016-05-03$92.93$90.0013.7%3.9%14.4%5.9%17.7%1.8%0.9%69.1K-812.2K-3.7K0.63129.41N/AN/A784917079
2016-05-04$92.83$90.0021.9%6.3%14.3%16.8%35.0%6.7%8.9%55.0K-823.7K-3.5K0.63157.87N/AN/A784917079
2016-05-05$91.35$96.0041.4%6.5%14.6%43.0%12.5%5.4%-1.8%41.3K-710.6K-4.1K0.63143.21N/AN/A784917079
2016-05-06$91.67$96.0014.2%4.3%14.7%6.6%15.7%2.5%0.0%68.5K-667.3K-3.7K0.77100.48N/AN/A786017079
2016-05-09$91.56$96.0014.0%4.1%14.6%6.4%13.6%1.7%0.7%62.9K-648.5K-3.8K0.7971.31N/AN/A786217090
2016-05-10$92.65$96.0042.2%6.7%15.1%44.0%19.3%10.2%-5.2%57.1K-746.2K-3.5K0.82157.77N/AN/A786417092
2016-05-11$92.38$96.0014.3%4.1%15.1%6.7%12.5%2.5%2.4%70.6K-762.6K-3.7K0.8178.57N/AN/A796417094
2016-05-12$92.62$96.0015.9%4.6%15.1%8.9%12.9%2.8%13.5%47.9K-741.5K-3.8K0.81113.48N/AN/A796417194
2016-05-13$92.21$96.0014.7%4.2%15.1%7.2%14.7%16.0%0.8%50.0K-787.3K-3.4K0.87133.05N/AN/A796917194
2016-05-16$92.87$90.0025.6%7.3%15.1%21.8%34.3%8.9%-13.4%50.6K-750.9K-3.7K0.87157.24N/AN/A796917199
2016-05-17$92.79$90.0015.0%4.3%14.9%7.7%17.2%2.8%0.5%62.8K-785.5K-3.5K0.8776.98N/AN/A796917199
2016-05-18$90.85$90.0023.5%6.7%16.6%19.0%23.9%-11.1%-1.9%36.2K-590.1K-3.9K0.87150.36N/AN/A796917199
2016-05-19$90.20$90.0029.6%8.5%15.1%27.2%26.0%-2.6%-5.4%39.7K-472.6K-3.9K0.87136.86N/AN/A796917199
2016-05-20$90.81$90.0013.8%3.9%14.6%6.0%13.4%1.5%0.2%27.6K-476.6K-3.5K0.87113.36N/AN/A796917199
2016-05-23$90.70$90.0013.9%4.0%14.6%6.1%13.7%3.6%0.3%28.6K-501.4K-3.4K1.3383.71N/AN/A486413894
2016-05-24$91.36$90.0022.1%6.3%14.8%17.2%16.3%8.0%-5.7%27.7K-457.2K-3.6K1.33151.07N/AN/A486413994
2016-05-25$91.63$90.0014.0%4.0%14.2%6.3%15.8%7.7%-0.3%29.9K-586.6K-3.4K1.33111.73N/AN/A486413994
2016-05-26$91.79$90.0030.5%8.7%13.9%28.4%26.4%36.4%-4.2%28.5K-523.2K-3.4K1.33164.88N/AN/A486413994
2016-05-27$91.96$90.0030.3%8.7%13.9%28.1%29.0%33.0%-5.0%29.0K-619.6K-3.1K1.33161.15N/AN/A486413994
2016-05-31$92.47$90.0033.6%9.6%12.8%32.5%30.9%34.4%-6.4%40.2K-692.2K-2.6K1.33161.03N/AN/A486413994