VOX Options History — December 2017

In December 2017, VOX traded between $88.28 and $92.67. ATM implied volatility averaged 29.4%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 11.3% (HV 20d: 18.1%). Max pain ranged from $84.00 to $94.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2017-12-14: Highest Volume — 300 contracts
  • 2017-12-18: Largest IV spike — 70.4% change
  • 2017-12-11: Highest IV Rank — 89.6%
  • 2017-12-27: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.96$88.28$92.67$91.86$91.23
Max Pain$92.60$84.00$94.00$84.00$92.00
ATM IV29.4%13.2%51.3%25.0%21.4%
Expected Move6.2%3.4%7.9%7.2%6.1%
HV 20d18.1%12.2%20.3%13.3%19.0%
HV 60d15.1%13.3%15.8%13.3%15.4%
IV Rank45.1%12.3%89.6%36.2%28.9%
IV Percentile68.3%29.4%99.6%64.3%45.6%
Term Structure-6.9%-12.9%2.2%0.9%-10.8%
VWIV25.5%16.7%43.8%43.8%24.7%
Skew 25d6.5%-9.7%26.5%-0.1%26.5%
Skew 10d3.4%-21.5%30.9%5.4%-5.5%
Call IV 25d23.9%12.1%47.0%47.0%12.6%
Put IV 25d30.5%13.6%46.9%46.9%39.0%
Bid-Ask Spread %145.93120.08160.12160.12136.05
Gamma HHI0.160.120.210.130.19
Net GEX-59.2K-102.5K-31.8K-31.8K-94.4K
Net DEX495.8K106.9K811.9K308.5K490.0K
Net VEX-3.9K-4.6K-3.2K-4.2K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.981.571.291.07
Total Volume251.75236300236248
Total OI384.75340458388352

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$91.86$84.0025.0%7.2%13.3%36.2%43.8%-0.1%0.9%-31.8K308.5K-4.2K1.29160.12N/AN/A103133137251
2017-12-04$92.67$94.0039.3%5.5%12.2%65.3%23.6%8.8%-9.5%-38.0K302.5K-4.3K1.29149.28N/AN/A103133137261
2017-12-05$90.69$94.0028.4%3.4%14.0%43.1%17.7%2.7%2.2%-68.9K529.1K-3.6K1.34124.76N/AN/A103138137261
2017-12-06$88.59$94.0035.0%4.7%16.9%56.6%16.7%3.1%-0.1%-95.5K811.9K-3.6K1.23135.74N/AN/A113139137266
2017-12-07$88.28$94.0046.8%5.8%17.0%80.4%27.0%9.0%-8.5%-46.9K752.1K-4.4K1.23145.71N/AN/A113139147268
2017-12-08$89.58$94.0041.6%6.1%17.5%69.9%24.5%13.3%-11.8%-57.0K796.7K-4.2K1.22147.66N/AN/A114139147268
2017-12-11$90.88$94.0051.3%6.2%17.9%89.6%23.5%12.0%-12.9%-62.1K640.9K-4.0K1.22151.38N/AN/A114139148268
2017-12-12$92.14$94.0044.3%6.0%18.0%75.3%21.4%8.0%-6.9%-44.4K324.9K-4.1K1.17140.98N/AN/A119139148268
2017-12-13$92.39$94.0021.3%6.1%17.6%28.8%25.3%6.9%-6.9%-66.3K106.9K-3.8K1.57145.36N/AN/A102160153270
2017-12-14$90.22$93.0022.0%6.3%20.3%30.1%30.2%6.0%-5.6%-39.8K414.9K-4.6K1.14150.12N/AN/A140160167291
2017-12-15$90.56$94.0013.2%3.8%19.6%12.3%17.5%-3.2%0.4%-102.5K413.3K-3.4K1.14120.08N/AN/A140160154291
2017-12-18$91.52$93.0022.5%6.5%19.7%31.2%24.1%-4.6%-7.8%-59.9K555.4K-3.9K0.98148.52N/AN/A120118109239
2017-12-19$90.44$92.0023.8%6.8%20.3%33.7%23.6%13.6%-6.6%-52.0K458.5K-3.8K0.98150.48N/AN/A120118113229
2017-12-20$90.74$92.0024.1%6.9%20.3%34.3%24.6%-5.1%-9.0%-55.9K561.3K-3.8K0.98153.23N/AN/A120118111229
2017-12-21$91.31$92.0023.6%6.8%19.9%33.4%29.3%-9.7%-8.5%-55.7K525.6K-3.8K0.98152.14N/AN/A120118111229
2017-12-22$91.28$92.0024.4%7.0%19.9%34.9%29.2%22.2%-6.8%-42.6K444.6K-3.9K1.07152.66N/AN/A120128113229
2017-12-26$91.70$92.0025.3%7.3%19.9%36.8%23.5%11.5%-10.8%-68.4K484.8K-3.7K1.07149.59N/AN/A120128113239
2017-12-27$91.35$92.0027.6%7.9%19.6%41.5%32.0%2.9%-9.4%-49.6K491.6K-3.9K1.07153.68N/AN/A120128113239
2017-12-28$91.86$92.0026.7%7.6%18.9%39.5%26.8%7.0%-9.3%-52.2K503.2K-3.8K1.07151.02N/AN/A120128113239
2017-12-29$91.23$92.0021.4%6.1%19.0%28.9%24.7%26.5%-10.8%-94.4K490.0K-3.2K1.07136.05N/AN/A120128113239