VOX Options History — May 2017

In May 2017, VOX traded between $91.44 and $96.55. ATM implied volatility averaged 18.2%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.7% (HV 20d: 15.5%). Max pain ranged from $92.00 to $98.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.97.

Notable Days

  • 2017-05-30: Highest Volume — 123 contracts
  • 2017-05-03: Largest IV spike — 196.0% change
  • 2017-05-03: Highest IV Rank — 42.5%
  • 2017-05-03: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.59$91.44$96.55$96.50$94.15
Max Pain$96.00$92.00$98.00$92.00$98.00
ATM IV18.2%10.0%33.7%23.4%31.8%
Expected Move5.2%3.1%9.7%6.7%9.1%
HV 20d15.5%11.0%17.3%11.1%16.6%
HV 60d13.5%12.0%14.3%12.1%13.6%
IV Rank16.8%3.2%42.5%25.4%39.4%
IV Percentile36.7%4.0%88.1%55.2%84.9%
Term Structure-2.9%-14.8%8.4%-1.8%-12.0%
VWIV17.6%9.7%37.5%28.0%22.3%
Skew 25d2.5%-12.6%24.4%-0.9%0.5%
Skew 10d4.9%-12.9%35.0%0.3%-4.0%
Call IV 25d16.5%7.9%40.9%12.8%40.9%
Put IV 25d19.0%11.7%44.6%11.9%41.4%
Bid-Ask Spread %137.61111.39161.98158.09161.98
Gamma HHI0.400.350.450.350.41
Net GEX-123.3K-206.4K-62.9K-62.9K-125.5K
Net DEX1.4M639.3K1.9M639.3K1.5M
Net VEX-4.0K-5.4K-2.4K-5.4K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.701.481.480.81
Total Volume95.55712357123
Total OI288.136269314310294

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$96.50$92.0023.4%6.7%11.1%25.4%28.0%-0.9%-1.8%-62.9K639.3K-5.4K1.48158.09N/AN/A233476234
2017-05-02$96.55$92.0011.4%3.3%11.0%5.5%11.0%-0.8%1.0%-106.2K772.5K-5.3K1.48131.96N/AN/A233476234
2017-05-03$94.66$92.0033.7%9.7%11.8%42.5%37.5%10.1%-14.8%-85.2K834.5K-5.2K1.48161.48N/AN/A233476234
2017-05-04$92.53$0.0019.3%5.6%14.1%18.6%16.2%6.0%-2.5%-90.4K1.3M-4.4K1.35140.74N/AN/A263576234
2017-05-05$93.93$92.0010.6%4.1%15.4%4.2%9.9%2.7%-3.8%-109.2K1.4M-4.3K0.70118.75N/AN/A503579235
2017-05-08$94.40$92.0024.0%3.3%15.3%26.5%11.6%3.5%0.3%-114.6K1.3M-4.2K0.70115.91N/AN/A503556235
2017-05-09$93.81$92.0010.0%5.9%15.3%3.2%9.7%0.8%-3.3%-89.7K1.0M-4.6K0.70130.38N/AN/A503556235
2017-05-10$93.88$92.0024.5%7.0%15.3%27.3%17.4%24.4%-11.9%-88.5K1.1M-4.4K0.82141.05N/AN/A564656235
2017-05-11$92.51$98.0024.3%7.0%15.7%26.9%17.3%3.5%-11.3%-129.7K1.4M-3.8K0.88139.68N/AN/A564925246
2017-05-12$93.17$98.0022.2%6.4%16.1%23.5%21.4%-10.6%-3.3%-131.4K1.4M-4.0K0.89138.63N/AN/A554926249
2017-05-15$93.03$98.0010.9%3.1%16.0%4.8%15.4%1.7%-0.1%-138.8K1.5M-3.6K0.87145.94N/AN/A554826249
2017-05-16$93.15$98.0013.1%3.8%15.7%8.4%15.1%1.8%-1.3%-141.8K1.6M-3.4K0.87111.39N/AN/A554826250
2017-05-17$91.44$98.0019.2%5.5%16.5%18.4%22.4%3.1%-4.8%-107.3K1.5M-3.5K0.91142.89N/AN/A534824250
2017-05-18$92.08$98.0013.4%3.8%17.0%8.8%16.4%2.9%-0.9%-108.5K1.9M-2.4K0.91116.45N/AN/A534824252
2017-05-19$92.92$98.0013.8%4.0%17.3%9.6%14.7%4.5%0.3%-146.6K1.7M-3.1K0.87125.29N/AN/A554824252
2017-05-22$93.43$98.0012.2%3.5%17.3%6.9%14.7%3.1%1.0%-151.9K1.7M-3.3K0.93122.61N/AN/A555119250
2017-05-23$93.34$98.0011.0%3.1%16.9%4.9%14.4%-12.6%8.4%-112.4K1.4M-4.0K1.00140.61N/AN/A555526256
2017-05-24$92.89$98.0019.8%5.7%16.4%19.5%21.7%-4.8%-2.9%-137.6K1.5M-3.8K1.00160.78N/AN/A555526260
2017-05-25$93.46$98.0012.0%3.4%16.6%6.6%14.6%1.1%8.3%-135.0K1.6M-3.7K1.00139.18N/AN/A555526260
2017-05-26$93.22$98.0028.6%8.2%16.2%34.2%22.4%11.2%-10.1%-206.4K1.6M-3.5K1.00161.73N/AN/A555526260
2017-05-30$93.98$98.0010.8%3.1%16.6%4.6%13.3%3.9%1.0%-192.6K1.6M-3.3K0.81121.90N/AN/A685526260
2017-05-31$94.15$98.0031.8%9.1%16.6%39.4%22.3%0.5%-12.0%-125.5K1.5M-3.7K0.81161.98N/AN/A685535259