VOX Options History — October 2016

In October 2016, VOX traded between $90.60 and $94.19. ATM implied volatility averaged 19.5%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 6.4% (HV 20d: 13.1%). Max pain ranged from $89.00 to $97.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2016-10-12: Highest Volume — 139 contracts
  • 2016-10-25: Largest IV spike — 114.9% change
  • 2016-10-06: Highest IV Rank — 41.7%
  • 2016-10-25: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.42$90.60$94.19$94.19$91.08
Max Pain$91.05$89.00$97.00$90.00$89.00
ATM IV19.5%10.5%33.6%25.5%25.7%
Expected Move5.2%3.0%7.8%7.3%7.4%
HV 20d13.1%8.9%20.9%20.8%11.2%
HV 60d14.6%14.2%14.8%14.7%14.5%
IV Rank18.0%2.8%41.7%28.0%28.3%
IV Percentile41.3%3.6%85.3%61.9%66.3%
Term Structure-2.5%-12.9%7.9%-12.9%0.8%
VWIV21.9%11.6%40.0%33.2%15.4%
Skew 25d4.1%-16.2%29.5%2.6%0.8%
Skew 10d5.6%-15.7%26.4%7.9%-1.3%
Call IV 25d20.3%9.8%41.6%41.6%15.0%
Put IV 25d24.4%13.3%44.2%44.2%15.7%
Bid-Ask Spread %132.7189.68159.66147.36126.18
Gamma HHI0.140.080.200.080.15
Net GEX17.5K-8.2K45.3K14.7K6.8K
Net DEX-66.4K-226.7K138.2K-154.2K72.5K
Net VEX-1.4K-2.2K-1.1K-2.2K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.380.810.810.70
Total Volume111.0484313913490
Total OI195.61987238238120

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$94.19$90.0025.5%7.3%20.8%28.0%33.2%2.6%-12.9%14.7K-154.2K-2.2K0.81147.36N/AN/A7460109129
2016-10-04$93.43$90.0020.7%5.9%20.9%20.0%20.4%27.8%3.1%15.8K-200.8K-1.7K0.81140.73N/AN/A7460109129
2016-10-05$93.00$90.0017.6%5.0%20.7%14.8%28.0%29.5%-4.4%11.6K-40.5K-1.8K0.81140.79N/AN/A7460109129
2016-10-06$92.72$97.0033.6%5.7%20.7%41.7%29.5%-5.1%-7.4%8.7K-116.0K-2.1K0.81157.10N/AN/A7460109119
2016-10-07$92.42$97.0012.2%3.7%17.4%5.7%12.3%2.1%0.8%32.8K-86.6K-1.4K0.81104.63N/AN/A7460109119
2016-10-10$93.23$97.0024.7%4.1%15.1%26.6%11.8%11.0%0.7%15.6K-132.5K-1.3K0.81116.69N/AN/A7460109119
2016-10-11$92.70$97.0024.8%4.9%12.3%26.9%11.6%2.1%-7.9%37.3K-102.1K-1.4K0.7796.78N/AN/A7860109119
2016-10-12$93.15$97.0026.3%7.5%12.4%29.4%30.8%7.7%-11.9%2.4K-226.7K-1.4K0.78151.97N/AN/A7861113119
2016-10-13$92.85$89.0018.2%5.2%11.8%15.7%26.0%4.6%-1.8%37.2K-100.3K-1.4K0.49147.71N/AN/A7838113120
2016-10-14$92.78$89.0013.9%4.0%11.8%8.5%12.8%4.4%-0.9%41.7K-132.7K-1.3K0.49105.42N/AN/A7838113120
2016-10-17$92.78$89.0013.1%3.7%11.8%7.1%21.4%4.9%-0.5%32.0K-110.2K-1.3K0.49127.79N/AN/A7838113120
2016-10-18$93.14$89.0026.1%7.5%9.9%29.0%35.4%8.6%-11.9%19.0K-159.8K-1.6K0.49154.99N/AN/A7838113120
2016-10-19$93.59$89.0010.5%3.0%9.4%2.8%11.7%-2.4%-1.0%45.3K-209.2K-1.1K0.46153.42N/AN/A8338113120
2016-10-20$92.14$89.0015.0%4.3%8.9%10.5%17.6%10.7%-0.4%40.4K-118.3K-1.2K0.46123.70N/AN/A8338118115
2016-10-21$91.25$89.0014.5%4.1%9.2%9.5%12.3%1.9%-0.6%5.2K-99.0K-1.1K0.46114.32N/AN/A8338118115
2016-10-24$91.79$89.0012.7%3.6%9.5%6.6%32.3%-16.2%7.9%-8.2K119.0K-1.2K0.65147.40N/AN/A26172661
2016-10-25$90.95$89.0027.3%7.8%9.5%31.1%40.0%0.2%-7.5%-7.1K115.0K-1.2K0.53150.58N/AN/A32172861
2016-10-26$90.60$89.0020.3%5.8%9.5%19.3%32.4%-11.1%4.6%-7.9K138.2K-1.3K0.38159.66N/AN/A45173461
2016-10-27$91.85$89.0013.9%4.0%11.1%8.6%12.9%1.2%-1.7%10.0K87.5K-1.2K0.70129.94N/AN/A53374761
2016-10-28$91.25$89.0013.6%3.9%11.2%8.0%13.3%1.4%0.6%13.1K62.3K-1.3K0.7089.68N/AN/A53375763
2016-10-31$91.08$89.0025.7%7.4%11.2%28.3%15.4%0.8%0.8%6.8K72.5K-1.3K0.70126.18N/AN/A53375763