VOX Options History — January 2017

In January 2017, VOX traded between $100.18 and $104.14. ATM implied volatility averaged 22.5%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 5.6% (HV 20d: 16.8%). Max pain ranged from $97.00 to $101.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.22.

Notable Days

  • 2017-01-19: Highest Volume — 308 contracts
  • 2017-01-13: Largest IV spike — 77.4% change
  • 2017-01-10: Highest IV Rank — 56.7%
  • 2017-01-31: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.38$100.18$104.14$103.35$100.70
Max Pain$100.40$97.00$101.00$97.00$101.00
ATM IV22.5%10.5%42.6%27.6%30.4%
Expected Move5.7%3.0%8.7%7.9%8.7%
HV 20d16.8%15.9%18.1%17.7%16.0%
HV 60d16.5%15.0%16.9%16.5%15.0%
IV Rank23.0%2.9%56.7%31.6%36.2%
IV Percentile49.9%4.4%97.2%73.0%80.2%
Term Structure-5.4%-14.7%9.7%-13.5%-14.7%
VWIV18.7%11.7%25.9%21.6%21.5%
Skew 25d6.8%-4.8%25.7%12.3%7.6%
Skew 10d12.3%-12.2%39.5%39.5%-0.2%
Call IV 25d15.7%9.2%31.1%10.3%13.3%
Put IV 25d22.5%11.3%36.1%22.6%20.8%
Bid-Ask Spread %132.2187.23159.80138.78159.80
Gamma HHI0.210.120.370.370.21
Net GEX45.7K7.5K118.4K23.4K7.6K
Net DEX-503.9K-1.1M-117.2K-759.7K-151.0K
Net VEX-2.8K-3.5K-965-1.7K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.751.471.331.15
Total Volume203.4153308177155
Total OI260.95196359222198

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$103.35$97.0027.6%7.9%17.7%31.6%21.6%12.3%-13.5%23.4K-759.7K-1.7K1.33138.78N/AN/A76101103119
2017-01-04$104.14$97.0016.5%4.7%17.6%12.9%18.3%25.7%9.7%81.4K-1.1M-9651.47138.53N/AN/A76112135119
2017-01-05$103.40$100.0023.5%5.0%18.1%24.7%22.6%12.4%-11.1%48.6K-898.7K-2.2K1.34126.83N/AN/A92123135130
2017-01-06$102.02$100.0025.6%5.2%17.2%28.2%22.7%7.8%-5.0%49.3K-740.8K-2.9K1.34140.63N/AN/A92123150141
2017-01-09$101.07$100.0041.7%6.9%17.7%55.3%22.6%4.5%-14.6%32.1K-574.4K-3.0K1.34138.08N/AN/A92123150141
2017-01-10$101.47$100.0042.6%5.7%17.7%56.7%20.8%5.8%-10.6%30.2K-544.9K-2.8K1.33132.09N/AN/A92122150141
2017-01-11$101.01$101.0010.5%3.0%17.8%2.9%11.7%1.3%2.1%78.7K-577.9K-2.5K1.28104.51N/AN/A95122150151
2017-01-12$101.08$101.0011.5%3.3%17.6%4.5%13.7%0.6%-0.5%86.3K-578.5K-2.5K1.39109.14N/AN/A95132153151
2017-01-13$101.42$101.0020.4%5.8%16.6%19.5%16.3%13.2%-5.3%66.2K-619.9K-2.8K1.39148.92N/AN/A95132153161
2017-01-17$101.65$101.0012.1%3.5%16.6%5.5%12.9%3.5%0.8%118.4K-662.9K-2.4K1.3987.23N/AN/A95132153161
2017-01-18$100.85$101.0011.9%3.4%16.9%5.3%13.9%-2.1%0.7%65.7K-508.6K-2.6K0.98134.07N/AN/A135132153161
2017-01-19$100.81$101.0012.4%3.5%16.0%6.0%13.3%0.2%2.7%85.5K-549.6K-2.5K0.75134.69N/AN/A176132160161
2017-01-20$101.10$101.0019.2%5.5%16.0%17.5%13.4%3.4%-14.5%81.2K-787.4K-3.3K0.82119.88N/AN/A160132198161
2017-01-23$101.37$101.0029.6%8.5%15.9%34.9%25.9%4.1%-7.2%7.5K-196.4K-3.5K1.19103.86N/AN/A708310294
2017-01-24$100.18$101.0024.4%7.0%16.3%26.2%23.4%3.1%-4.8%8.5K-141.0K-3.5K1.19147.45N/AN/A708310294
2017-01-25$100.31$101.0021.6%6.2%16.3%21.5%20.6%13.4%-9.4%9.9K-117.2K-3.5K1.19141.25N/AN/A708310294
2017-01-26$100.44$101.0026.3%7.5%16.3%29.4%19.7%18.3%-8.9%10.2K-161.5K-3.4K1.15145.86N/AN/A728310294
2017-01-27$101.02$101.0018.6%5.3%16.0%16.5%19.9%6.2%4.9%9.4K-243.7K-3.4K1.15146.60N/AN/A728310494
2017-01-30$100.23$101.0023.3%6.7%16.2%24.3%19.0%-4.8%-8.2%13.3K-129.5K-3.3K1.15146.07N/AN/A728310494
2017-01-31$100.70$101.0030.4%8.7%16.0%36.2%21.5%7.6%-14.7%7.6K-151.0K-3.3K1.15159.80N/AN/A728310494