VOX Options History — July 2017

In July 2017, VOX traded between $89.46 and $94.44. ATM implied volatility averaged 22.5%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 11.8% (HV 20d: 10.7%). Max pain ranged from $88.00 to $96.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2017-07-20: Highest Volume — 165 contracts
  • 2017-07-11: Largest IV spike — 189.9% change
  • 2017-07-11: Highest IV Rank — 57.5%
  • 2017-07-05: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.15$89.46$94.44$92.38$93.79
Max Pain$88.80$88.00$96.00$96.00$88.00
ATM IV22.5%9.9%42.4%32.2%11.5%
Expected Move6.3%3.0%9.4%9.2%3.3%
HV 20d10.7%8.7%14.6%9.8%14.3%
HV 60d12.8%12.5%13.9%12.6%12.6%
IV Rank26.7%4.5%57.5%40.9%7.8%
IV Percentile53.6%4.8%96.4%84.5%13.9%
Term Structure-4.5%-14.5%9.6%-6.1%7.3%
VWIV18.7%10.4%32.5%27.1%17.8%
Skew 25d1.3%-20.2%15.9%2.1%3.9%
Skew 10d-7.5%-40.9%22.8%-39.0%8.6%
Call IV 25d20.9%8.1%44.5%42.8%10.1%
Put IV 25d22.3%13.1%48.4%44.9%14.0%
Bid-Ask Spread %135.28106.41159.21143.21141.51
Gamma HHI0.200.150.280.190.15
Net GEX-16.1K-73.2K29.7K-73.2K27.4K
Net DEX897.3K-57.7K1.8M1.2M61.0K
Net VEX-4.0K-5.4K-3.1K-5.4K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.410.990.830.43
Total Volume1149716597119
Total OI315.05257378376276

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$92.38$96.0032.2%9.2%9.8%40.9%27.1%2.1%-6.1%-73.2K1.2M-5.4K0.83143.21N/AN/A5344114262
2017-07-05$91.81$96.0032.7%9.4%9.7%41.7%32.5%3.9%-9.6%-70.9K1.2M-5.4K0.80151.10N/AN/A5544114262
2017-07-06$90.60$88.009.9%5.0%10.3%4.5%18.4%14.0%0.9%-52.5K1.8M-3.5K0.80140.10N/AN/A5544116262
2017-07-07$90.38$88.0011.1%3.0%10.3%6.3%14.2%3.2%2.3%-26.4K1.4M-3.5K0.77110.60N/AN/A5744116216
2017-07-10$90.32$88.0014.6%3.8%10.2%12.2%11.5%3.0%0.7%-28.0K1.2M-3.4K0.77106.60N/AN/A5744118193
2017-07-11$89.49$88.0042.4%6.8%8.7%57.5%12.0%6.2%-8.2%-21.6K1.0M-4.0K0.75140.38N/AN/A5743118193
2017-07-12$89.82$88.0025.9%7.4%9.1%30.7%16.1%15.9%-12.1%-17.9K1.2M-3.5K0.75137.36N/AN/A5743118194
2017-07-13$89.46$88.0017.6%5.0%9.0%18.8%11.4%4.9%-9.3%-20.7K1.2M-3.1K0.75108.80N/AN/A5743118194
2017-07-14$89.95$88.0026.8%7.7%9.5%35.6%14.0%-12.9%-14.5%-31.5K1.1M-3.8K0.75135.14N/AN/A5743118195
2017-07-17$90.27$88.0026.8%7.7%9.7%35.5%12.9%8.9%-9.9%-18.3K1.2M-3.5K0.73129.63N/AN/A5943118195
2017-07-18$89.63$88.0028.2%8.1%9.8%38.2%20.3%5.0%-13.1%-27.4K1.2M-3.2K0.61122.87N/AN/A7143120195
2017-07-19$90.03$88.0013.7%3.9%9.7%11.7%12.5%1.0%-0.7%-2.7K1.2M-3.3K0.76132.71N/AN/A7255132194
2017-07-20$91.37$88.0011.0%3.2%10.7%6.9%10.4%4.8%9.6%-9.9K1.2M-3.6K0.99127.09N/AN/A8382133206
2017-07-21$91.48$88.0011.9%3.4%10.8%8.5%11.5%2.1%1.3%11.0K1.3M-3.8K0.99106.41N/AN/A8382151227
2017-07-24$90.64$88.0027.4%7.9%11.2%36.6%26.7%-3.9%-7.3%-3.6K299.1K-4.4K0.51153.02N/AN/A7136127130
2017-07-25$91.14$88.0029.4%8.4%11.1%40.2%29.1%-20.2%-4.2%-2.3K323.3K-4.5K0.42150.27N/AN/A8536127130
2017-07-26$92.17$88.0029.5%8.5%11.7%40.5%27.3%7.8%-4.7%6.1K163.7K-4.8K0.42155.85N/AN/A8536141130
2017-07-27$94.44$88.0018.3%5.2%14.6%20.1%23.8%-4.5%-2.2%29.7K-40.4K-4.1K0.41159.21N/AN/A8736144130
2017-07-28$93.79$88.0028.9%8.3%14.3%39.4%23.8%-19.0%-10.9%10.3K-57.7K-5.2K0.43153.73N/AN/A8336144130
2017-07-31$93.79$88.0011.5%3.3%14.3%7.8%17.8%3.9%7.3%27.4K61.0K-4.6K0.43141.51N/AN/A8336146130