VOX Options History — January 2018

In January 2018, VOX traded between $89.56 and $92.97. ATM implied volatility averaged 25.0%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 10.6% (HV 20d: 14.4%). Max pain ranged from $91.00 to $92.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.05.

Notable Days

  • 2018-01-05: Highest Volume — 381 contracts
  • 2018-01-08: Largest IV spike — 211.1% change
  • 2018-01-08: Highest IV Rank — 62.4%
  • 2018-01-03: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.18$89.56$92.97$91.59$92.36
Max Pain$91.10$91.00$92.00$92.00$91.00
ATM IV25.0%12.2%37.9%31.5%33.0%
Expected Move6.7%4.7%9.5%9.0%9.4%
HV 20d14.4%10.9%19.4%19.0%13.7%
HV 60d15.8%15.4%16.2%15.4%15.4%
IV Rank36.2%10.2%62.4%49.4%52.4%
IV Percentile60.9%24.2%92.5%84.1%86.5%
Term Structure-6.6%-17.7%1.2%-17.7%-10.2%
VWIV23.0%11.3%39.0%39.0%31.3%
Skew 25d6.6%-20.8%36.1%-20.8%36.1%
Skew 10d7.8%-23.5%38.8%4.2%36.2%
Call IV 25d20.8%9.9%42.3%42.3%12.0%
Put IV 25d27.3%11.8%48.1%21.5%48.1%
Bid-Ask Spread %154.2480.81174.72153.05171.19
Gamma HHI0.210.130.330.150.27
Net GEX-87.8K-182.9K-42.8K-61.7K-48.9K
Net DEX795.5K486.3K1.2M530.8K502.6K
Net VEX-5.8K-6.8K-3.4K-3.5K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.050.973.360.972.62
Total Volume283.762192381238192
Total OI403.619262523354284

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$91.59$92.0031.5%9.0%19.0%49.4%39.0%-20.8%-17.7%-61.7K530.8K-3.5K0.97153.05N/AN/A121117115239
2018-01-03$90.29$92.0033.2%9.5%19.4%52.8%34.1%10.6%-15.9%-73.8K659.9K-3.4K0.98154.46N/AN/A131129116239
2018-01-04$90.78$91.0033.3%5.8%17.9%53.1%21.1%2.1%-8.5%-51.5K525.6K-3.9K1.82166.08N/AN/A131238126251
2018-01-05$90.50$91.0012.2%5.1%15.7%10.2%16.2%2.6%-1.3%-182.9K1.1M-6.3K1.8480.81N/AN/A134247126368
2018-01-08$91.25$91.0037.9%5.9%15.8%62.4%21.5%3.6%-7.4%-158.6K997.9K-6.4K1.87160.43N/AN/A129241129377
2018-01-09$90.40$91.0027.7%4.9%15.5%41.6%11.3%-6.7%0.8%-158.9K907.7K-6.5K1.82126.53N/AN/A129235134383
2018-01-10$89.56$91.0020.4%5.8%14.9%26.8%23.2%1.6%-7.3%-94.8K1.0M-6.8K1.87163.29N/AN/A129241134381
2018-01-11$90.23$91.0016.6%4.7%14.3%19.1%23.8%4.7%-4.2%-134.7K1.2M-6.6K1.87164.17N/AN/A129241134387
2018-01-12$91.00$91.0021.2%6.1%14.6%28.5%22.8%6.1%-7.6%-137.7K1.1M-6.6K1.87161.29N/AN/A129241134387
2018-01-16$90.33$91.0021.6%6.2%12.2%29.3%27.2%11.1%-2.5%-114.9K1.1M-6.2K1.57151.70N/AN/A129203134387
2018-01-17$90.31$91.0018.7%5.4%12.1%23.5%17.0%-8.2%1.2%-129.1K1.2M-6.0K1.58144.00N/AN/A129204134383
2018-01-18$90.12$91.0017.2%4.9%11.4%20.4%14.7%2.1%1.1%-108.4K1.1M-6.0K1.58132.50N/AN/A129204133381
2018-01-19$90.71$91.0023.9%6.8%10.9%33.9%16.5%6.6%-10.3%-58.4K919.6K-5.7K1.58166.61N/AN/A129204133390
2018-01-22$92.50$91.0018.9%5.4%12.9%23.9%21.2%3.7%-3.5%-56.6K647.0K-5.7K3.36151.28N/AN/A4414846216
2018-01-23$91.46$91.0016.7%4.8%13.4%19.3%13.7%1.3%0.8%-43.1K602.2K-5.8K2.62128.09N/AN/A5313959216
2018-01-24$91.89$91.0027.1%7.8%13.5%40.4%24.4%32.8%-7.9%-47.5K515.1K-6.0K2.62173.14N/AN/A5313967217
2018-01-25$92.12$91.0027.7%8.0%13.4%41.7%27.3%0.8%-9.2%-50.6K560.4K-5.9K2.62174.72N/AN/A5313967217
2018-01-26$92.97$91.0026.9%7.7%13.7%40.1%23.1%11.0%-8.7%-43.0K486.3K-6.1K2.62170.49N/AN/A5313967217
2018-01-29$92.18$91.0029.3%8.4%14.0%45.0%25.6%2.3%-8.4%-45.1K508.3K-5.9K2.62172.80N/AN/A5313967217
2018-01-30$92.20$91.0029.8%8.6%13.7%46.0%29.0%34.3%-11.4%-42.8K523.5K-6.0K2.62172.43N/AN/A5313967217
2018-01-31$92.36$91.0033.0%9.4%13.7%52.4%31.3%36.1%-10.2%-48.9K502.6K-5.9K2.62171.19N/AN/A5313967217