VOX Options History — September 2016

In September 2016, VOX traded between $92.38 and $96.35. ATM implied volatility averaged 26.1%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 8.6% (HV 20d: 17.5%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2016-09-13: Highest Volume — 142 contracts
  • 2016-09-07: Largest IV spike — 286.6% change
  • 2016-09-12: Highest IV Rank — 89.9%
  • 2016-09-02: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.54$92.38$96.35$94.53$94.72
Max Pain$90.48$90.00$95.00$95.00$90.00
ATM IV26.1%11.2%62.3%32.3%20.1%
Expected Move5.7%3.2%10.2%9.3%5.8%
HV 20d17.5%9.0%21.5%9.0%21.0%
HV 60d15.1%12.9%16.3%12.9%15.2%
IV Rank29.0%4.0%89.9%39.5%19.0%
IV Percentile54.9%4.8%99.6%79.4%44.4%
Term Structure-3.2%-13.4%12.7%-9.3%-0.8%
VWIV21.1%12.8%35.4%35.4%20.1%
Skew 25d5.9%-9.4%22.6%2.6%22.6%
Skew 10d6.5%-5.4%33.3%-5.4%1.0%
Call IV 25d24.4%10.1%47.7%46.6%15.4%
Put IV 25d30.3%12.9%50.7%49.2%38.0%
Bid-Ask Spread %135.81110.32156.13155.92141.61
Gamma HHI0.110.080.150.120.09
Net GEX28.8K-2.2K62.2K26.0K20.0K
Net DEX-203.0K-435.1K24.3K-309.4K-260.1K
Net VEX-1.9K-2.4K-1.5K-2.0K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.811.090.940.81
Total Volume134.571123142124134
Total OI231.333212241220238

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$94.53$95.0032.3%9.3%9.0%39.5%35.4%2.6%-9.3%26.0K-309.4K-2.0K0.94155.92N/AN/A6460113107
2016-09-02$95.38$95.0035.7%10.2%9.7%45.2%22.4%3.0%-6.4%24.3K-307.8K-2.2K0.95156.13N/AN/A6360113108
2016-09-06$95.78$90.0011.7%3.4%9.9%4.9%13.3%3.6%0.5%53.0K-315.9K-1.8K0.86114.28N/AN/A7161112109
2016-09-07$96.35$90.0045.3%3.5%10.2%61.3%17.3%17.0%-0.2%58.4K-435.1K-1.7K0.86128.67N/AN/A7161123109
2016-09-08$96.26$90.0042.1%3.6%10.1%55.9%18.1%-9.4%2.8%62.2K-423.1K-1.5K0.87136.13N/AN/A7061123109
2016-09-09$93.20$90.0030.0%5.6%15.1%35.6%14.4%7.1%-10.8%38.1K-129.5K-2.0K1.00125.24N/AN/A7070121109
2016-09-12$95.55$90.0062.3%3.6%17.8%89.9%16.3%5.3%-0.3%58.4K-180.0K-1.8K1.03133.96N/AN/A6870122119
2016-09-13$93.18$90.0019.3%4.1%19.8%17.7%15.3%4.4%-0.4%35.6K24.3K-1.8K0.97110.32N/AN/A7270122119
2016-09-14$93.03$90.0021.6%6.2%19.0%21.6%19.0%4.7%-12.1%22.1K-42.4K-1.7K1.09136.66N/AN/A6470114119
2016-09-15$94.03$90.0022.2%6.4%19.4%22.5%26.5%9.4%-13.4%19.6K-140.9K-1.8K1.09140.15N/AN/A6470113119
2016-09-16$93.96$90.0022.2%6.4%19.4%22.5%27.0%8.7%-12.6%12.7K-109.4K-1.8K1.09144.89N/AN/A6470113116
2016-09-19$94.06$90.0020.4%5.9%19.2%19.6%23.8%0.2%-3.5%16.3K-119.4K-1.8K0.93131.49N/AN/A726796116
2016-09-20$92.38$90.0014.1%4.0%20.2%8.9%12.8%6.3%-3.6%32.8K-103.6K-1.8K0.93128.82N/AN/A7267107116
2016-09-21$93.31$90.0024.5%7.0%20.6%26.4%26.6%9.4%-5.4%-2.2K-126.2K-2.3K0.93141.42N/AN/A7267107126
2016-09-22$94.86$90.0027.9%8.0%21.5%32.1%24.7%9.5%-4.3%2.7K-226.5K-2.2K0.91135.76N/AN/A7467107126
2016-09-23$95.16$90.0026.4%7.6%21.4%29.5%26.5%7.6%-6.7%12.3K-205.2K-2.4K0.81141.52N/AN/A7460109126
2016-09-26$94.61$90.0029.7%8.5%21.3%35.1%25.7%5.5%-9.8%17.3K-230.4K-2.4K0.81138.66N/AN/A7460109129
2016-09-27$95.12$90.0017.0%4.9%21.1%13.7%26.8%2.2%12.7%21.8K-220.4K-2.1K0.81142.35N/AN/A7460109129
2016-09-28$94.97$90.0011.6%3.3%21.1%4.8%13.4%1.4%2.6%42.6K-201.1K-1.6K0.81129.13N/AN/A7460109129
2016-09-29$94.86$90.0011.2%3.2%21.1%4.0%17.5%3.5%12.7%31.3K-201.8K-1.7K0.81138.78N/AN/A7460109129
2016-09-30$94.72$90.0020.1%5.8%21.0%19.0%20.1%22.6%-0.8%20.0K-260.1K-1.8K0.81141.61N/AN/A7460109129