VOX Options History — March 2017

In March 2017, VOX traded between $93.96 and $98.60. ATM implied volatility averaged 22.0%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 8.5% (HV 20d: 13.4%). Max pain ranged from $94.00 to $98.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.83.

Notable Days

  • 2017-03-16: Highest Volume — 243 contracts
  • 2017-03-03: Largest IV spike — 196.2% change
  • 2017-03-09: Highest IV Rank — 65.7%
  • 2017-03-03: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.87$93.96$98.60$98.60$95.00
Max Pain$96.91$94.00$98.00$96.00$94.00
ATM IV22.0%9.8%47.8%17.9%10.5%
Expected Move5.2%2.8%10.0%5.1%3.0%
HV 20d13.4%12.2%14.9%14.2%13.3%
HV 60d14.2%12.3%14.9%14.7%12.3%
IV Rank22.3%2.0%65.7%15.6%3.2%
IV Percentile48.2%2.0%98.8%42.9%5.6%
Term Structure-2.3%-15.3%12.4%3.8%12.4%
VWIV16.9%11.1%28.3%18.1%15.7%
Skew 25d3.1%-33.0%24.3%8.8%-1.3%
Skew 10d-2.2%-41.2%29.4%11.8%2.2%
Call IV 25d16.2%7.7%46.7%9.7%9.9%
Put IV 25d19.3%8.6%37.7%18.5%8.6%
Bid-Ask Spread %138.08118.13155.04155.04137.72
Gamma HHI0.280.210.390.210.27
Net GEX-59.7K-95.2K-18.8K-18.8K-69.5K
Net DEX965.2K502.8K1.4M566.4K1.1M
Net VEX-7.2K-8.0K-6.5K-7.1K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.381.531.200.39
Total Volume192.783152243156195
Total OI416.522378464378435

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$98.60$96.0017.9%5.1%14.2%15.6%18.1%8.8%3.8%-18.8K566.4K-7.1K1.20155.04N/AN/A7185134244
2017-03-02$97.74$96.0011.8%3.4%12.4%5.4%12.8%-22.3%12.4%-22.5K502.8K-7.1K1.14135.31N/AN/A7181129254
2017-03-03$97.18$96.0035.0%10.0%12.3%44.2%17.7%-33.0%-15.3%-51.7K609.2K-7.1K1.52145.56N/AN/A6294129255
2017-03-06$96.55$98.0042.5%5.6%12.2%56.7%18.9%24.3%-10.7%-53.8K748.1K-7.3K1.53121.76N/AN/A6295127269
2017-03-07$94.99$98.0029.6%5.2%12.5%35.1%15.0%3.6%-0.3%-51.3K981.6K-7.0K1.04131.54N/AN/A9296127270
2017-03-08$94.58$98.0029.8%5.4%12.6%35.5%15.5%3.3%-7.8%-50.5K1.1M-6.8K1.02143.58N/AN/A9294127271
2017-03-09$94.92$98.0047.8%3.1%12.5%65.7%20.8%1.7%1.9%-74.9K1.4M-6.6K1.02139.93N/AN/A9294127280
2017-03-10$95.36$98.0013.1%4.5%12.5%7.5%13.3%8.6%-3.4%-86.2K1.4M-6.5K1.02118.13N/AN/A9294127280
2017-03-13$95.93$98.0031.7%6.9%12.5%38.6%14.5%17.3%-11.1%-53.3K1.1M-7.0K1.02134.41N/AN/A9294127280
2017-03-14$95.18$98.0014.5%4.6%12.6%9.8%13.5%5.7%0.7%-67.6K1.1M-7.0K1.02132.90N/AN/A9294127280
2017-03-15$96.71$98.0021.8%6.2%14.0%22.0%23.4%5.4%-11.6%-73.3K933.8K-7.1K1.02146.54N/AN/A9294127280
2017-03-16$96.92$98.0024.5%7.0%14.0%26.6%15.0%3.5%-7.8%-58.5K966.4K-7.1K0.63138.03N/AN/A14994127280
2017-03-17$97.61$98.0011.3%3.2%14.3%4.4%20.9%-2.5%8.1%-43.0K766.7K-8.0K0.63131.33N/AN/A14994184280
2017-03-20$97.84$98.009.8%2.8%14.0%2.0%11.1%2.4%0.7%-68.5K744.6K-7.7K0.73124.66N/AN/A12591150277
2017-03-21$96.88$98.0024.4%7.0%13.7%26.5%14.5%1.5%-6.1%-50.6K577.3K-8.0K0.73141.78N/AN/A12591150277
2017-03-22$95.26$98.0019.9%5.7%14.7%18.9%18.4%0.8%-7.2%-66.7K1.0M-7.6K0.73141.55N/AN/A12591150277
2017-03-23$95.22$98.0016.1%4.6%14.7%12.5%15.1%15.3%-0.5%-70.0K1.0M-7.6K0.73144.68N/AN/A12591150277
2017-03-24$94.89$98.0019.2%5.5%14.7%17.8%14.8%4.6%-12.6%-58.9K1.0M-7.5K0.40140.18N/AN/A13855150277
2017-03-27$93.96$95.0024.6%7.0%14.9%26.7%28.3%-0.9%0.4%-46.4K961.6K-7.8K0.40143.63N/AN/A13855163287
2017-03-28$93.99$94.0019.7%5.6%13.9%18.5%21.0%1.7%7.5%-63.8K1.2M-7.1K0.40148.42N/AN/A13855163277
2017-03-29$94.42$94.0019.5%5.6%13.1%18.2%17.3%11.5%-5.0%-78.9K1.1M-7.3K0.38144.42N/AN/A13852163277
2017-03-30$95.17$94.0010.1%2.9%13.4%2.5%12.2%10.9%-1.4%-95.2K1.3M-6.6K0.39134.75N/AN/A14055163275
2017-03-31$95.00$94.0010.5%3.0%13.3%3.2%15.7%-1.3%12.4%-69.5K1.1M-6.8K0.39137.72N/AN/A14055165270