VOX Options History — June 2017

In June 2017, VOX traded between $91.73 and $96.21. ATM implied volatility averaged 20.9%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 9.9% (HV 20d: 11.1%). Max pain ranged from $96.00 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 0.90.

Notable Days

  • 2017-06-20: Highest Volume — 188 contracts
  • 2017-06-05: Largest IV spike — 296.8% change
  • 2017-06-13: Highest IV Rank — 60.0%
  • 2017-06-01: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.38$91.73$96.21$94.94$92.15
Max Pain$96.18$96.00$98.00$98.00$96.00
ATM IV20.9%7.2%44.2%33.3%29.3%
Expected Move4.8%2.1%9.5%9.5%8.4%
HV 20d11.1%9.0%15.4%15.4%9.7%
HV 60d13.0%12.5%13.5%13.3%12.6%
IV Rank22.0%0.0%60.0%41.9%36.1%
IV Percentile44.3%0.0%98.0%87.7%78.6%
Term Structure-3.9%-13.5%8.9%-12.9%-13.1%
VWIV17.0%10.8%24.4%24.3%23.7%
Skew 25d2.4%-6.3%10.4%-4.0%3.9%
Skew 10d-0.7%-35.4%9.5%-3.7%-35.4%
Call IV 25d16.7%6.3%41.9%41.9%38.3%
Put IV 25d19.1%10.1%42.2%37.9%42.2%
Bid-Ask Spread %140.89118.08154.79154.79148.48
Gamma HHI0.360.200.470.400.20
Net GEX-159.1K-263.6K-79.5K-108.7K-79.5K
Net DEX1.4M1.0M2.1M1.3M1.3M
Net VEX-4.3K-5.9K-3.3K-3.9K-5.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.621.580.860.83
Total Volume125.0457618810897
Total OI348.136287432294370

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$94.94$98.0033.3%9.5%15.4%41.9%24.3%-4.0%-12.9%-108.7K1.3M-3.9K0.86154.79N/AN/A585035259
2017-06-02$95.81$98.009.7%2.8%13.1%2.8%17.9%-3.5%-0.5%-211.9K1.2M-3.8K0.86144.89N/AN/A585036258
2017-06-05$95.43$96.0038.5%5.4%12.3%50.5%19.1%5.3%-7.9%-248.3K1.4M-3.6K0.83148.87N/AN/A605036258
2017-06-06$95.74$96.009.5%2.5%12.2%2.5%10.8%1.2%4.8%-260.8K1.2M-3.6K1.00133.27N/AN/A606038258
2017-06-07$94.94$96.0027.1%6.1%12.4%31.7%18.1%-1.8%-6.8%-103.5K1.0M-3.6K0.83145.78N/AN/A605038249
2017-06-08$94.97$96.0012.2%6.0%12.4%6.9%13.8%3.8%-5.0%-263.6K1.1M-3.5K0.83140.15N/AN/A605038250
2017-06-09$94.97$96.0033.1%6.2%11.0%41.6%18.4%4.6%-12.5%-110.8K1.2M-3.4K0.83141.47N/AN/A605038250
2017-06-12$96.21$96.0041.4%2.5%11.6%55.3%12.0%5.3%1.6%-249.5K1.1M-3.4K0.83136.87N/AN/A605038250
2017-06-13$96.00$96.0044.2%4.5%11.6%60.0%15.5%6.6%-11.6%-118.2K1.0M-3.4K0.83139.40N/AN/A605038250
2017-06-14$95.91$96.0016.3%4.7%11.6%13.6%16.3%8.4%-13.5%-129.1K1.1M-3.3K0.85145.12N/AN/A736238250
2017-06-15$95.39$96.0022.7%6.5%9.4%24.4%15.7%3.1%-8.2%-150.3K1.1M-3.9K0.79146.65N/AN/A1038151262
2017-06-16$95.48$96.0021.8%6.3%9.2%22.8%16.0%1.1%-8.9%-102.2K1.1M-5.9K0.79145.71N/AN/A10381100294
2017-06-19$95.05$96.007.2%2.1%9.0%0.0%11.3%2.7%8.8%-259.2K1.0M-5.3K0.62132.22N/AN/A1006297270
2017-06-20$94.00$96.0016.6%4.8%9.9%15.5%18.5%10.4%-4.3%-145.5K1.1M-5.3K0.90143.55N/AN/A998997270
2017-06-21$92.94$96.009.8%2.8%10.7%4.2%24.4%-6.3%-2.5%-135.9K1.4M-5.0K0.72145.26N/AN/A997198301
2017-06-22$92.89$96.0024.7%7.1%10.6%28.7%18.2%3.4%-4.0%-117.8K2.1M-4.2K0.73135.33N/AN/A997298313
2017-06-23$92.88$96.0010.6%3.0%10.3%5.6%16.4%1.4%0.4%-130.4K2.1M-4.4K0.85138.37N/AN/A615298314
2017-06-26$93.49$96.0011.3%3.2%10.5%6.7%18.7%3.8%1.6%-178.1K2.0M-5.0K0.85137.37N/AN/A6152108324
2017-06-27$92.82$96.0017.7%5.1%10.4%17.2%14.6%0.1%8.9%-141.6K2.0M-4.8K1.58146.18N/AN/A3352108324
2017-06-28$92.61$96.0011.7%3.3%10.4%7.4%11.6%2.5%-0.6%-143.8K2.0M-4.9K1.30118.08N/AN/A3343108324
2017-06-29$91.73$96.0012.1%3.5%10.2%8.0%19.1%0.4%0.1%-112.3K2.0M-4.7K1.33131.84N/AN/A3344108317
2017-06-30$92.15$96.0029.3%8.4%9.7%36.1%23.7%3.9%-13.1%-79.5K1.3M-5.0K0.83148.48N/AN/A5344108262