VOX Options History — October 2017

In October 2017, VOX traded between $88.86 and $94.81. ATM implied volatility averaged 22.4%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 9.8% (HV 20d: 12.6%). Max pain ranged from $90.00 to $99.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.54.

Notable Days

  • 2017-10-19: Highest Volume — 234 contracts
  • 2017-10-10: Largest IV spike — 236.4% change
  • 2017-10-10: Highest IV Rank — 67.1%
  • 2017-10-31: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.94$88.86$94.81$92.66$89.45
Max Pain$92.95$90.00$99.00$99.00$90.00
ATM IV22.4%10.0%40.2%13.2%33.3%
Expected Move5.8%2.9%9.6%3.8%9.6%
HV 20d12.6%10.6%16.6%15.5%10.6%
HV 60d13.6%12.8%14.4%13.6%13.0%
IV Rank31.0%5.6%67.1%12.3%53.1%
IV Percentile54.1%4.0%94.0%28.2%88.1%
Term Structure-5.1%-14.9%5.7%-3.1%-9.9%
VWIV21.7%8.9%39.0%19.5%33.4%
Skew 25d4.3%-22.9%25.7%-17.7%3.2%
Skew 10d-2.2%-29.3%10.7%7.1%-10.2%
Call IV 25d18.8%8.4%41.6%32.8%41.6%
Put IV 25d23.1%10.7%44.8%15.1%44.8%
Bid-Ask Spread %146.92114.92159.99139.90159.07
Gamma HHI0.150.130.200.160.16
Net GEX-47.5K-95.6K-1.9K-57.8K-48.2K
Net DEX607.6K308.7K800.2K722.0K735.3K
Net VEX-4.9K-5.7K-4.1K-4.6K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.541.242.002.001.51
Total Volume212.227188234207188
Total OI351.727321383345329

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$92.66$99.0013.2%3.8%15.5%12.3%19.5%-17.7%-3.1%-57.8K722.0K-4.6K2.00139.90N/AN/A69138101244
2017-10-03$94.40$99.0030.7%8.8%16.6%47.9%25.1%23.6%-11.7%-46.1K579.4K-5.6K1.68152.62N/AN/A82138101244
2017-10-04$94.81$99.0020.8%6.0%15.4%27.7%22.1%-22.9%-1.7%-1.9K378.9K-5.7K1.68155.05N/AN/A82138115244
2017-10-05$94.63$0.0032.9%7.0%12.7%52.2%25.2%7.1%-10.3%-13.3K308.7K-5.4K1.62146.29N/AN/A85138114241
2017-10-06$94.00$95.0034.7%5.5%12.8%56.0%22.5%3.5%-7.5%-47.4K488.8K-5.4K1.62158.19N/AN/A85138120241
2017-10-09$93.59$95.0011.9%3.1%12.8%9.7%11.9%0.3%0.4%-24.7K481.9K-4.4K1.62119.25N/AN/A85138120241
2017-10-10$93.93$95.0040.2%4.7%12.1%67.1%25.2%1.0%5.7%-36.4K423.5K-5.5K1.62155.83N/AN/A85138120241
2017-10-11$93.52$95.0023.4%6.7%12.3%32.9%26.8%3.8%-14.9%-31.7K452.2K-5.6K1.62155.62N/AN/A85138120241
2017-10-12$91.96$95.0010.0%2.9%13.9%5.6%9.1%5.1%-1.9%-35.6K577.3K-4.4K1.55137.35N/AN/A89138120241
2017-10-13$91.55$95.0022.0%6.3%13.6%30.1%31.7%7.5%-9.0%-33.2K628.5K-5.5K1.52159.99N/AN/A91138124241
2017-10-16$91.77$95.0013.1%3.8%13.5%12.0%12.1%3.4%-2.1%-71.8K770.6K-4.3K1.53114.92N/AN/A91139126241
2017-10-17$91.52$90.0023.4%6.7%11.8%32.9%21.7%13.5%-11.0%-59.9K723.1K-4.9K1.32152.55N/AN/A91120126242
2017-10-18$91.14$90.0012.7%3.6%11.9%11.2%12.3%4.0%0.4%-95.6K800.2K-4.5K1.24147.62N/AN/A101125126242
2017-10-19$91.58$90.0023.7%6.8%11.9%33.6%22.3%5.9%-12.3%-35.1K641.7K-5.1K1.32159.84N/AN/A101133136247
2017-10-20$91.56$90.0011.3%3.2%11.1%8.4%8.9%1.8%-3.2%-76.7K769.0K-4.5K1.32126.53N/AN/A101133136247
2017-10-23$90.90$90.0026.0%7.4%11.1%38.2%21.5%7.7%-6.4%-44.4K516.6K-4.7K1.51153.37N/AN/A75113110211
2017-10-24$90.59$90.0019.4%5.6%11.1%24.8%13.7%3.8%4.1%-54.6K624.7K-4.4K1.51137.32N/AN/A75113114215
2017-10-25$89.77$90.0027.6%7.9%11.3%41.6%30.1%25.7%-6.1%-45.9K627.7K-4.9K1.51158.17N/AN/A75113114215
2017-10-26$90.16$90.0013.0%3.7%11.5%11.9%12.2%3.0%0.0%-77.0K743.6K-4.1K1.51136.90N/AN/A75113114215
2017-10-27$90.41$90.0019.1%5.5%11.5%24.3%30.1%8.1%-1.2%-58.8K708.1K-4.6K1.51154.06N/AN/A75113114215
2017-10-30$88.86$90.0031.1%8.9%12.6%48.6%39.0%3.0%-9.2%-47.8K665.5K-4.7K1.51151.90N/AN/A75113114215
2017-10-31$89.45$90.0033.3%9.6%10.6%53.1%33.4%3.2%-9.9%-48.2K735.3K-4.6K1.51159.07N/AN/A75113114215