VOX Options History — November 2016

In November 2016, VOX traded between $87.48 and $96.22. ATM implied volatility averaged 23.1%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.3% (HV 20d: 16.9%). Max pain ranged from $89.00 to $91.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2016-11-17: Highest Volume — 127 contracts
  • 2016-11-22: Largest IV spike — 109.9% change
  • 2016-11-03: Highest IV Rank — 52.8%
  • 2016-11-01: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.61$87.48$96.22$89.70$94.26
Max Pain$89.52$89.00$91.00$89.00$90.00
ATM IV23.1%12.9%40.2%35.5%32.5%
Expected Move6.4%3.7%10.2%10.2%9.3%
HV 20d16.9%12.0%18.7%12.0%17.8%
HV 60d16.4%14.8%17.3%14.8%17.3%
IV Rank24.1%6.8%52.8%44.8%39.8%
IV Percentile55.6%15.1%95.2%90.5%84.5%
Term Structure-5.4%-13.5%7.1%-12.7%-13.5%
VWIV22.6%12.5%40.5%40.5%28.9%
Skew 25d1.4%-27.5%28.7%-0.1%-8.4%
Skew 10d5.1%-13.7%33.7%-5.2%3.9%
Call IV 25d21.6%9.0%46.2%44.0%36.5%
Put IV 25d23.0%11.3%46.2%43.9%28.1%
Bid-Ask Spread %129.4397.45153.36153.36150.21
Gamma HHI0.170.120.470.140.20
Net GEX-90-30.7K51.4K3.7K32.0K
Net DEX70.9K-232.5K329.4K35.3K-232.5K
Net VEX-1.2K-1.5K-902-1.4K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.380.770.760.46
Total Volume103.95273127109117
Total OI126.76299154120135

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$89.70$89.0035.5%10.2%12.0%44.8%40.5%-0.1%-12.7%3.7K35.3K-1.4K0.76153.36N/AN/A62475763
2016-11-02$87.57$91.0035.0%10.0%14.3%44.1%38.4%-3.2%-3.8%-1.3K165.8K-1.5K0.76137.19N/AN/A62476373
2016-11-03$87.48$89.0040.2%7.4%14.3%52.8%29.8%6.7%-9.7%-3.2K169.2K-1.5K0.76130.59N/AN/A62476373
2016-11-04$88.05$89.0017.4%4.9%14.7%14.5%27.5%-3.3%-1.4%-26.6K329.4K-1.1K0.7697.52N/AN/A62476373
2016-11-07$88.88$89.0016.5%4.9%14.7%13.0%15.1%4.4%-4.2%-21.5K277.3K-1.2K0.76101.69N/AN/A62476373
2016-11-08$90.30$89.0017.3%3.8%16.0%14.2%21.8%-1.8%7.1%-16.7K215.2K-1.2K0.76130.64N/AN/A62476373
2016-11-09$91.37$89.0014.5%4.2%16.6%9.6%14.8%6.0%-3.1%1.8K110.3K-1.3K0.77138.25N/AN/A62486373
2016-11-10$89.48$89.0017.1%4.9%18.0%14.0%15.5%3.5%-2.4%-24.5K243.8K-1.1K0.7697.45N/AN/A63486374
2016-11-11$90.01$89.0016.7%4.8%18.2%13.3%13.9%4.3%-1.9%-17.2K220.5K-1.2K0.76117.33N/AN/A63486474
2016-11-14$89.92$89.0018.8%5.4%18.2%16.7%14.0%3.7%-2.5%-21.1K193.8K-1.1K0.76100.76N/AN/A63486474
2016-11-15$90.77$89.0015.3%4.4%18.5%11.0%14.6%4.6%-0.8%-30.7K197.7K-1.1K0.75115.86N/AN/A64486474
2016-11-16$91.46$89.0016.1%4.6%18.7%12.2%15.5%1.2%-5.5%-7.3K105.0K-1.0K0.68123.25N/AN/A75516574
2016-11-17$91.73$90.0015.3%4.4%17.9%10.9%15.8%0.7%-1.3%31.9K10.9K-1.2K0.69116.93N/AN/A75527677
2016-11-18$92.15$90.0028.8%8.2%17.6%33.5%32.0%5.8%-11.1%51.4K-15.3K-1.2K0.69137.66N/AN/A75527678
2016-11-21$93.07$90.0012.9%3.7%17.9%6.8%12.5%2.4%0.3%16.1K-24.5K-1.0K0.70140.72N/AN/A43304455
2016-11-22$94.55$90.0027.0%7.7%18.2%30.6%22.1%12.3%-12.1%6.9K-70.4K-1.0K0.70141.92N/AN/A43304455
2016-11-23$95.10$90.0027.0%7.7%18.1%30.5%23.9%-13.1%-12.8%5.9K-97.6K-1.0K0.70148.29N/AN/A43304455
2016-11-25$95.77$90.0028.4%8.1%17.7%32.9%25.1%28.7%-8.3%7.2K-83.0K-1.1K0.68152.44N/AN/A44304455
2016-11-28$96.22$90.0031.2%8.9%17.4%37.7%25.0%2.4%-13.5%5.7K-140.9K-9020.68139.98N/AN/A44304455
2016-11-29$95.92$90.0022.6%6.5%17.5%23.2%28.3%-27.5%0.9%5.7K-120.9K-9410.38145.98N/AN/A80304455
2016-11-30$94.26$90.0032.5%9.3%17.8%39.8%28.9%-8.4%-13.5%32.0K-232.5K-1.4K0.46150.21N/AN/A80378055