VOX Options History — September 2017

In September 2017, VOX traded between $88.92 and $94.23. ATM implied volatility averaged 24.2%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 9.8% (HV 20d: 14.4%). Max pain ranged from $92.00 to $99.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.71.

Notable Days

  • 2017-09-26: Highest Volume — 207 contracts
  • 2017-09-08: Largest IV spike — 410.1% change
  • 2017-09-08: Highest IV Rank — 89.3%
  • 2017-09-01: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.84$88.92$94.23$94.23$92.19
Max Pain$98.65$92.00$99.00$92.00$99.00
ATM IV24.2%11.1%56.4%33.9%29.1%
Expected Move5.3%2.6%9.7%9.7%8.4%
HV 20d14.4%10.7%15.6%10.7%15.6%
HV 60d13.3%12.1%13.9%12.1%13.5%
IV Rank32.3%7.0%89.3%48.5%44.6%
IV Percentile52.4%12.7%99.6%90.1%80.6%
Term Structure-2.0%-21.6%10.2%-21.6%-9.5%
VWIV17.6%11.3%32.7%32.7%17.0%
Skew 25d2.9%-11.9%18.9%-11.9%2.1%
Skew 10d3.5%-21.5%50.1%50.1%-18.7%
Call IV 25d14.7%7.2%37.3%37.3%11.3%
Put IV 25d17.6%7.8%38.1%25.4%13.3%
Bid-Ask Spread %136.29113.40166.86166.86153.72
Gamma HHI0.180.140.250.210.15
Net GEX-50.4K-67.3K-70-70-66.3K
Net DEX790.4K300.3K1.1M319.5K737.9K
Net VEX-4.6K-5.6K-3.5K-3.5K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.711.232.061.552.00
Total Volume184.4158207158207
Total OI337.65320360328345

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$94.23$92.0033.9%9.7%10.7%48.5%32.7%-11.9%-21.6%-70319.5K-3.5K1.55166.86N/AN/A6296119209
2017-09-05$93.30$99.0041.4%5.4%11.0%62.1%22.5%-4.5%-6.2%-23.2K300.3K-4.9K1.60144.72N/AN/A6299119209
2017-09-06$91.83$99.0013.4%3.1%12.2%11.4%12.1%2.0%2.1%-25.4K772.7K-4.2K1.63113.40N/AN/A62101119212
2017-09-07$89.80$99.0011.1%2.6%14.3%7.0%15.7%5.3%2.4%-52.0K950.1K-4.2K1.60121.41N/AN/A63101119215
2017-09-08$89.35$99.0056.4%7.4%14.3%89.3%19.9%17.3%-6.7%-46.9K932.6K-4.6K1.60134.83N/AN/A63101113215
2017-09-11$88.92$99.0047.2%5.6%14.3%72.6%17.2%1.3%-1.2%-58.7K1.1M-4.1K1.60117.13N/AN/A63101113215
2017-09-12$90.15$99.0046.3%4.6%14.7%71.0%16.8%18.9%5.5%-50.8K1.0M-4.2K1.33131.26N/AN/A76101113216
2017-09-13$90.38$99.0024.3%7.0%14.6%34.8%23.7%-11.5%-7.2%-50.7K880.4K-4.4K1.33141.11N/AN/A76101113216
2017-09-14$90.09$99.0012.1%3.5%14.6%10.0%12.6%3.5%1.6%-57.5K1.0M-3.9K1.32122.08N/AN/A77102113216
2017-09-15$91.02$99.0011.1%3.2%14.0%7.9%11.3%4.4%-1.2%-67.3K965.9K-4.0K1.23133.56N/AN/A84103114217
2017-09-18$91.36$99.0011.8%3.4%14.0%9.3%15.6%0.9%5.6%-55.2K803.3K-4.2K1.57128.93N/AN/A67105104216
2017-09-19$93.01$99.0016.7%4.8%15.4%19.3%15.9%3.1%10.2%-51.4K789.5K-4.5K1.58140.46N/AN/A67106104223
2017-09-20$92.93$99.0024.8%7.1%15.0%35.7%25.7%5.3%-5.4%-46.4K632.2K-5.3K2.06152.24N/AN/A67138104224
2017-09-21$92.36$99.0011.4%3.3%14.9%8.5%13.6%2.6%0.8%-64.9K892.6K-5.0K2.06128.38N/AN/A67138104255
2017-09-22$93.40$99.0011.1%3.2%15.5%8.0%13.7%2.7%0.3%-58.2K847.9K-4.9K2.06133.26N/AN/A67138104255
2017-09-25$93.78$99.0011.6%3.3%15.4%9.0%15.6%7.4%2.4%-57.9K767.3K-5.0K2.03134.39N/AN/A68138104255
2017-09-26$93.30$99.0019.5%5.6%15.5%25.1%14.9%-6.8%3.2%-61.5K670.2K-4.8K2.00149.69N/AN/A69138105255
2017-09-27$92.76$99.0020.9%6.0%15.6%27.8%16.6%9.5%-8.9%-67.3K782.8K-5.0K2.00133.89N/AN/A69138101255
2017-09-28$92.57$99.0029.4%8.4%15.6%45.1%18.8%5.6%-6.4%-46.9K655.1K-5.6K2.00144.45N/AN/A69138101244
2017-09-29$92.19$99.0029.1%8.4%15.6%44.6%17.0%2.1%-9.5%-66.3K737.9K-5.1K2.00153.72N/AN/A69138101244