VOX Options History — February 2017

In February 2017, VOX traded between $96.94 and $99.77. ATM implied volatility averaged 22.3%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 9.9% (HV 20d: 12.3%). Max pain ranged from $96.00 to $101.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.63.

Notable Days

  • 2017-02-21: Highest Volume — 240 contracts
  • 2017-02-22: Largest IV spike — 232.6% change
  • 2017-02-28: Highest IV Rank — 47.5%
  • 2017-02-28: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.26$96.94$99.77$98.57$97.42
Max Pain$96.28$96.00$101.00$101.00$96.00
ATM IV22.3%8.6%37.0%29.5%37.0%
Expected Move6.1%2.5%10.6%8.5%10.6%
HV 20d12.3%11.6%13.5%12.1%13.5%
HV 60d15.1%14.7%15.8%15.8%14.7%
IV Rank22.7%0.0%47.5%34.8%47.5%
IV Percentile52.3%0.0%93.3%78.2%93.3%
Term Structure-5.2%-24.1%10.9%-8.5%-24.1%
VWIV21.9%11.9%31.7%31.3%23.7%
Skew 25d7.0%-9.6%28.6%4.4%28.6%
Skew 10d2.0%-29.6%28.2%-24.4%-1.3%
Call IV 25d20.4%9.7%40.3%40.3%14.7%
Put IV 25d27.4%13.9%44.7%44.7%43.2%
Bid-Ask Spread %135.6291.04160.36158.28145.19
Gamma HHI0.200.160.260.210.23
Net GEX8.8K-35.3K42.6K8.1K-16.6K
Net DEX155.5K-242.5K337.4K-147.1K285.4K
Net VEX-4.0K-6.4K-3.0K-3.4K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.631.064.001.151.06
Total Volume153.842125240155146
Total OI244.474185345198345

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$98.57$101.0029.5%8.5%12.1%34.8%31.3%4.4%-8.5%8.1K-147.1K-3.4K1.15158.28N/AN/A728310494
2017-02-02$97.92$0.0024.8%4.7%11.6%26.9%17.7%4.0%-3.3%13.5K119.4K-3.1K1.26117.43N/AN/A688610494
2017-02-03$98.62$96.0025.1%3.6%12.1%27.3%16.0%-9.6%0.8%9.6K129.0K-3.1K1.83112.60N/AN/A478610397
2017-02-06$97.27$96.0017.6%6.0%12.1%14.9%26.1%2.9%-3.9%11.2K92.7K-3.1K2.04109.32N/AN/A479610497
2017-02-07$96.94$96.0013.6%3.8%11.8%8.1%13.3%3.1%0.1%6.4K337.4K-3.0K1.68104.57N/AN/A5796104107
2017-02-08$97.35$96.0026.5%7.6%11.9%29.7%26.4%26.6%-3.4%134209.3K-3.4K1.68138.87N/AN/A5796114107
2017-02-09$97.89$96.0026.2%7.5%12.1%29.3%26.4%6.8%-4.6%2.2K147.7K-3.4K1.88137.66N/AN/A5196114107
2017-02-10$98.41$96.0012.5%3.6%12.3%6.2%11.9%3.1%-0.2%22.7K191.9K-3.2K1.5791.04N/AN/A6196119107
2017-02-13$97.76$96.0011.8%3.4%12.3%5.1%12.0%3.4%-0.1%33.8K233.8K-3.1K1.48130.03N/AN/A6596129107
2017-02-14$97.70$96.0027.0%7.7%12.3%30.6%22.6%17.1%-8.4%29.6K203.2K-3.3K1.50131.52N/AN/A6496133107
2017-02-15$97.61$96.0022.3%6.4%12.1%22.7%24.7%-4.4%-5.2%22.3K144.6K-3.3K1.50152.41N/AN/A6496133107
2017-02-16$97.67$96.0023.9%6.8%12.1%25.3%23.5%14.0%-9.0%39.9K153.8K-3.0K1.50159.60N/AN/A649613396
2017-02-17$98.51$96.0011.1%3.2%12.5%3.8%13.1%11.8%0.1%42.6K148.0K-3.0K1.50131.19N/AN/A649613396
2017-02-21$99.62$96.008.6%2.5%13.2%0.0%25.1%15.7%10.9%32.5K-242.5K-3.2K4.00158.57N/AN/A4819211075
2017-02-22$99.77$96.0028.7%8.2%12.6%33.6%28.2%0.6%-11.2%-34.3K196.3K-6.1K1.60150.21N/AN/A4877112194
2017-02-23$99.49$96.0014.2%4.1%12.6%9.3%13.6%0.9%-2.6%6.0K221.2K-5.7K1.38138.83N/AN/A5880112196
2017-02-24$99.36$96.0028.3%8.1%12.6%32.9%31.7%2.3%-3.3%-35.3K234.2K-6.3K1.31160.36N/AN/A5876124201
2017-02-27$99.13$96.0034.3%9.8%12.4%43.0%29.3%2.2%-22.4%-26.9K296.8K-6.2K1.09149.17N/AN/A6975124202
2017-02-28$97.42$96.0037.0%10.6%13.5%47.5%23.7%28.6%-24.1%-16.6K285.4K-6.4K1.06145.19N/AN/A7175132213