VOX Options History — August 2016

In August 2016, VOX traded between $94.28 and $100.27. ATM implied volatility averaged 19.6%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 8.2% (HV 20d: 11.3%). Max pain ranged from $95.00 to $97.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.54.

Notable Days

  • 2016-08-19: Highest Volume — 135 contracts
  • 2016-08-30: Largest IV spike — 225.2% change
  • 2016-08-09: Highest IV Rank — 49.8%
  • 2016-08-03: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.46$94.28$100.27$100.27$95.13
Max Pain$96.07$95.00$97.00$95.00$95.00
ATM IV19.6%8.8%38.4%28.8%32.0%
Expected Move5.5%2.9%9.8%8.3%9.2%
HV 20d11.3%8.9%13.9%12.7%8.9%
HV 60d13.3%12.8%13.8%13.3%12.9%
IV Rank18.0%0.0%49.8%32.9%38.9%
IV Percentile35.9%0.0%94.0%71.0%79.4%
Term Structure-3.4%-21.1%12.4%-11.6%-9.9%
VWIV22.0%9.6%36.8%22.4%36.8%
Skew 25d2.5%-16.4%16.0%4.4%-1.0%
Skew 10d-0.1%-34.8%26.2%17.7%1.0%
Call IV 25d22.1%9.7%43.4%37.7%43.4%
Put IV 25d24.6%10.6%44.2%42.1%42.4%
Bid-Ask Spread %138.3689.19161.25152.20156.51
Gamma HHI0.170.110.250.220.12
Net GEX56.5K20.5K103.3K51.1K27.6K
Net DEX-494.4K-912.1K-190.2K-912.1K-269.6K
Net VEX-1.8K-2.4K-1.4K-2.3K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.201.670.230.92
Total Volume95.304013595123
Total OI217.783188250215220

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$100.27$95.0028.8%8.3%12.7%32.9%22.4%4.4%-11.6%51.1K-912.1K-2.3K0.23152.20N/AN/A771814966
2016-08-02$98.71$95.0022.0%6.3%13.9%21.3%32.5%-16.4%-2.9%65.7K-872.3K-2.0K0.25146.75N/AN/A731814966
2016-08-03$98.72$95.0034.1%9.8%13.9%41.8%36.8%1.8%-21.1%60.3K-797.4K-2.0K0.25145.93N/AN/A731814866
2016-08-04$98.70$0.008.8%5.1%13.7%0.0%0.0%14.6%-2.6%78.3K-814.8K-1.6K0.25141.03N/AN/A731814866
2016-08-05$98.18$0.009.9%3.4%12.1%1.9%0.0%1.3%-0.6%103.3K-719.0K-1.5K0.25107.71N/AN/A731814866
2016-08-08$97.91$0.0012.4%3.3%11.9%6.0%0.0%1.6%0.8%88.3K-670.4K-1.6K0.21130.88N/AN/A851814866
2016-08-09$98.18$0.0038.4%5.8%11.9%49.8%0.0%4.3%-2.3%84.0K-685.9K-1.6K0.21150.58N/AN/A851814666
2016-08-10$97.78$0.0012.8%3.7%11.5%6.6%0.0%13.4%-3.5%89.7K-696.1K-1.4K0.21149.76N/AN/A851814666
2016-08-11$97.74$0.0022.7%6.5%11.5%23.3%0.0%-0.1%-3.8%70.9K-590.1K-1.8K0.21143.30N/AN/A851814666
2016-08-12$97.09$0.0014.9%4.3%11.5%10.3%0.0%6.3%-3.7%73.0K-652.6K-1.7K0.21146.42N/AN/A851814666
2016-08-15$96.98$0.0011.2%3.2%11.5%4.1%11.4%2.6%5.5%67.3K-621.2K-1.7K0.2089.19N/AN/A911814666
2016-08-16$95.35$97.0011.8%3.4%12.6%5.0%10.1%0.1%1.7%75.4K-524.2K-1.5K0.40118.81N/AN/A913616166
2016-08-17$95.09$97.0020.8%6.0%12.5%20.1%0.0%3.9%-5.9%56.0K-368.2K-1.8K1.67146.72N/AN/A3515984
2016-08-18$95.06$97.0011.5%3.3%12.3%4.5%0.0%-0.2%0.6%55.0K-264.5K-1.7K0.00121.75N/AN/A0015887
2016-08-19$94.28$97.0022.2%6.4%9.8%22.5%11.2%5.4%-3.2%29.0K-206.2K-1.9K0.44132.91N/AN/A944116189
2016-08-22$94.40$97.0012.3%3.5%9.9%5.9%15.0%1.6%1.7%39.4K-190.2K-1.8K0.86124.24N/AN/A574911177
2016-08-23$94.67$97.0012.3%3.5%10.1%5.8%27.0%-14.9%1.9%31.1K-262.4K-1.9K1.00142.92N/AN/A595910697
2016-08-24$94.61$97.0016.4%4.7%10.0%12.8%0.0%16.0%12.4%27.6K-227.1K-1.6K0.00161.25N/AN/A00105107
2016-08-25$95.14$97.0033.0%9.5%10.4%40.7%21.9%1.0%-13.9%23.4K-230.1K-2.2K0.92147.47N/AN/A6459108107
2016-08-26$94.34$95.0019.9%5.7%9.3%18.6%33.2%2.1%-8.0%20.5K-214.3K-2.4K0.92145.60N/AN/A6459113107
2016-08-29$95.20$95.0010.0%2.9%10.1%1.9%9.6%2.8%3.2%44.4K-216.2K-1.9K0.92134.03N/AN/A6459113107
2016-08-30$95.07$95.0032.4%9.3%8.9%39.6%17.9%6.7%-12.2%39.0K-367.3K-1.8K0.92146.29N/AN/A6459113107
2016-08-31$95.13$95.0032.0%9.2%8.9%38.9%36.8%-1.0%-9.9%27.6K-269.6K-2.1K0.92156.51N/AN/A6459113107