VOX Options History — August 2017

In August 2017, VOX traded between $91.86 and $95.00. ATM implied volatility averaged 17.5%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.7% (HV 20d: 13.8%). Max pain ranged from $88.00 to $93.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.13.

Notable Days

  • 2017-08-25: Highest Volume — 191 contracts
  • 2017-08-23: Largest IV spike — 206.4% change
  • 2017-08-01: Highest IV Rank — 50.3%
  • 2017-08-01: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.69$91.86$95.00$94.43$93.60
Max Pain$92.13$88.00$93.00$88.00$92.00
ATM IV17.5%9.5%34.9%34.9%22.5%
Expected Move5.0%2.7%10.0%10.0%6.4%
HV 20d13.8%11.4%15.4%14.4%11.4%
HV 60d12.1%11.6%12.6%12.3%12.0%
IV Rank18.6%4.2%50.3%50.3%27.7%
IV Percentile35.0%1.2%90.5%90.5%54.0%
Term Structure-2.4%-16.2%8.0%-16.2%-4.7%
VWIV17.3%9.1%36.1%27.2%36.1%
Skew 25d0.7%-23.3%7.6%-23.3%-5.5%
Skew 10d4.6%-16.1%37.6%6.3%-0.8%
Call IV 25d17.9%8.5%42.2%42.2%17.1%
Put IV 25d18.5%11.3%37.7%18.9%11.6%
Bid-Ask Spread %133.79101.47163.12153.30150.57
Gamma HHI0.190.140.720.170.17
Net GEX26.4K-33.8K481.8K13.9K-33.8K
Net DEX213.0K-179.0K588.6K-138.4K588.6K
Net VEX-4.5K-5.4K-3.6K-4.6K-5.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.422.260.431.57
Total Volume152.913119191119157
Total OI294.913264324276323

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$94.43$88.0034.9%10.0%14.4%50.3%27.2%-23.3%-16.2%13.9K-138.4K-4.6K0.43153.30N/AN/A8336146130
2017-08-02$93.77$88.0011.7%3.4%14.5%8.2%13.0%1.3%-0.8%28.9K84.0K-4.1K0.43115.62N/AN/A8336146130
2017-08-03$93.26$93.0014.6%5.6%13.7%13.5%21.4%-1.3%-2.9%19.2K87.7K-4.2K0.43126.40N/AN/A8336146130
2017-08-04$94.48$93.0010.5%3.3%14.2%6.1%9.1%5.1%0.9%32.3K22.0K-4.0K0.43101.47N/AN/A8336146130
2017-08-07$95.00$93.0018.3%3.7%14.2%20.1%14.7%2.9%0.5%20.4K-66.9K-4.1K0.42113.98N/AN/A8636146130
2017-08-08$94.61$93.0027.4%7.1%13.8%36.6%18.6%4.8%-11.2%19.9K-179.0K-4.2K0.62139.00N/AN/A8653149130
2017-08-09$94.35$93.0025.4%7.3%13.9%33.1%20.4%-2.7%-7.8%15.5K-175.6K-4.7K0.64139.76N/AN/A8655149150
2017-08-10$93.98$93.0011.4%3.3%13.9%7.7%9.5%3.2%0.9%21.1K77.2K-4.4K0.85109.80N/AN/A8673149150
2017-08-11$93.88$93.0022.3%6.4%13.9%27.4%20.6%5.8%-0.7%17.8K122.8K-5.1K0.85130.11N/AN/A8673149150
2017-08-14$94.90$93.0010.8%3.1%14.2%6.6%10.3%3.0%-1.4%4.8K8.0K-4.4K0.85130.74N/AN/A8673149150
2017-08-15$94.05$93.0011.5%3.3%14.4%7.8%9.6%1.2%0.0%23.0K102.2K-4.3K0.85123.73N/AN/A8673149150
2017-08-16$94.04$93.0027.9%8.0%14.4%37.5%22.7%1.9%-13.0%5.9K17.4K-5.1K0.85157.33N/AN/A8673149150
2017-08-17$92.36$93.0011.1%3.2%15.3%7.0%9.6%4.2%4.6%43.9K220.6K-3.6K0.86133.93N/AN/A8674149150
2017-08-18$92.03$92.0023.7%6.8%15.4%29.9%30.0%7.6%-2.7%481.8K189.7K-4.8K0.86163.12N/AN/A8674149151
2017-08-21$91.86$92.0013.0%3.7%15.0%10.6%12.1%3.8%-0.7%-7.1K567.2K-3.6K1.18121.40N/AN/A6071116148
2017-08-22$92.76$92.009.5%2.7%15.2%4.2%10.3%3.9%1.1%-3.0K522.4K-3.7K1.18136.57N/AN/A6071116148
2017-08-23$93.46$92.0029.0%8.3%15.0%39.7%31.2%-4.9%-9.5%-12.0K329.5K-4.6K2.17159.47N/AN/A60130116148
2017-08-24$93.33$92.0010.6%3.0%12.1%6.2%10.5%2.2%0.3%-13.5K537.2K-5.3K2.17103.94N/AN/A60130116207
2017-08-25$93.87$92.0010.8%3.1%12.0%6.6%11.6%2.1%-0.0%-14.9K484.0K-4.7K2.18126.46N/AN/A60131116207
2017-08-28$93.83$92.0010.3%3.0%12.0%5.7%10.6%2.5%0.5%-11.4K466.6K-4.3K2.18129.90N/AN/A60131116208
2017-08-29$93.68$92.0024.2%6.9%11.8%30.8%29.5%-6.2%8.0%-32.3K458.9K-5.4K2.26155.20N/AN/A58131116208
2017-08-30$93.35$92.0010.1%2.9%11.6%5.3%9.8%4.2%0.6%-13.3K572.7K-4.9K1.66155.35N/AN/A5896114208
2017-08-31$93.60$92.0022.5%6.4%11.4%27.7%36.1%-5.5%-4.7%-33.8K588.6K-5.0K1.57150.57N/AN/A6196114209