VOX Options History — November 2017

In November 2017, VOX traded between $83.86 and $91.72. ATM implied volatility averaged 26.1%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 13.0% (HV 20d: 13.1%). Max pain ranged from $84.00 to $90.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2017-11-15: Highest Volume — 269 contracts
  • 2017-11-03: Largest IV spike — 213.9% change
  • 2017-11-03: Highest IV Rank — 63.6%
  • 2017-11-01: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.86$83.86$91.72$88.65$91.72
Max Pain$84.38$84.00$90.00$90.00$84.00
ATM IV26.1%12.3%38.5%33.6%24.6%
Expected Move7.4%4.8%9.6%9.6%7.0%
HV 20d13.1%10.5%15.5%10.5%15.1%
HV 60d13.6%13.0%14.4%13.1%14.1%
IV Rank38.4%10.3%63.6%53.7%35.3%
IV Percentile66.6%25.4%93.3%88.5%60.3%
Term Structure-9.4%-24.7%-1.4%-12.6%-1.4%
VWIV31.4%15.7%37.0%37.0%36.2%
Skew 25d-0.3%-14.4%13.3%-9.0%-1.6%
Skew 10d-2.9%-28.0%39.1%4.5%1.6%
Call IV 25d29.0%14.8%44.3%44.3%39.6%
Put IV 25d28.7%13.3%41.0%35.3%38.0%
Bid-Ask Spread %149.11110.40161.80155.78159.19
Gamma HHI0.170.130.230.160.16
Net GEX-66.7K-112.6K-29.0K-44.5K-29.0K
Net DEX1.0M290.2K1.6M674.7K290.2K
Net VEX-4.0K-4.7K-2.7K-4.7K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.211.071.511.511.19
Total Volume221.381165269188226
Total OI388.333329445329388

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$88.65$90.0033.6%9.6%10.5%53.7%37.0%-9.0%-12.6%-44.5K674.7K-4.7K1.51155.78N/AN/A75113114215
2017-11-02$87.13$0.0012.3%6.7%11.6%10.3%0.0%12.9%-8.8%-70.7K858.9K-4.3K1.20131.16N/AN/A7590114215
2017-11-03$86.05$0.0038.5%7.2%11.9%63.6%0.0%6.2%-9.8%-77.3K992.5K-4.4K1.20138.25N/AN/A7590113251
2017-11-06$84.93$0.0030.0%6.7%12.3%46.3%0.0%-3.0%-6.3%-66.5K1.2M-4.1K1.23143.08N/AN/A7592113251
2017-11-07$84.98$0.0017.5%4.9%12.1%21.0%0.0%2.9%-2.7%-112.6K1.6M-2.7K1.24110.40N/AN/A7694113253
2017-11-08$84.94$0.0022.7%6.5%12.2%31.6%33.3%5.1%-6.8%-65.9K1.3M-3.8K1.18148.24N/AN/A111131114255
2017-11-09$84.95$84.0023.6%6.8%11.4%33.4%32.2%0.8%-4.8%-93.7K1.4M-4.4K1.20155.58N/AN/A112134149292
2017-11-10$84.79$84.0023.2%6.6%11.4%32.5%33.9%4.0%-7.5%-64.4K1.3M-4.5K1.20151.84N/AN/A112134151294
2017-11-13$84.38$84.0024.6%7.1%11.2%35.4%33.6%0.4%-6.6%-64.6K1.3M-4.4K1.20155.55N/AN/A112134151294
2017-11-14$83.86$84.0024.7%7.1%11.2%35.7%36.5%3.3%-6.4%-66.9K1.3M-4.2K1.20148.92N/AN/A112134151294
2017-11-15$84.34$84.0025.6%7.3%11.8%37.3%34.8%-0.5%-7.7%-72.3K1.4M-4.3K1.34148.91N/AN/A115154151294
2017-11-16$85.81$84.0026.5%7.6%13.7%39.3%28.4%-11.6%-10.9%-72.0K1.3M-3.7K1.34155.48N/AN/A115154139278
2017-11-17$86.57$84.0025.7%7.4%14.3%37.6%35.2%13.3%-17.5%-70.6K1.1M-3.6K1.31156.02N/AN/A115151139277
2017-11-20$87.22$84.0027.3%7.8%14.6%40.8%24.1%-3.8%-18.1%-64.2K1.0M-3.7K1.09155.14N/AN/A104113122241
2017-11-21$87.14$84.0016.8%4.8%14.6%19.6%15.7%1.6%-3.4%-77.8K999.5K-3.2K1.09123.23N/AN/A104113127241
2017-11-22$88.33$84.0029.9%8.6%15.4%46.1%24.0%-2.7%-8.2%-51.3K792.7K-4.2K1.07156.19N/AN/A106113127241
2017-11-24$88.43$84.0029.7%8.5%15.3%45.7%21.4%-12.2%-10.9%-75.0K874.1K-3.7K1.07161.80N/AN/A106113129241
2017-11-27$88.80$84.0031.9%9.1%15.3%50.2%36.1%10.6%-24.7%-64.7K774.3K-3.7K1.07161.31N/AN/A106113129241
2017-11-28$89.83$84.0033.1%9.5%14.6%52.5%35.8%-14.4%-17.6%-61.1K638.7K-3.8K1.26161.42N/AN/A98123129241
2017-11-29$91.26$84.0026.3%7.5%15.5%38.8%36.1%-9.6%-5.1%-35.0K459.6K-4.0K1.19153.75N/AN/A103123132251
2017-11-30$91.72$84.0024.6%7.0%15.1%35.3%36.2%-1.6%-1.4%-29.0K290.2K-3.8K1.19159.19N/AN/A103123137251