VOX Options History — February 2018

In February 2018, VOX traded between $85.42 and $92.89. ATM implied volatility averaged 30.4%, placing in the 47.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 9.2% (HV 20d: 21.3%). Max pain ranged from $87.00 to $87.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 2.47.

Notable Days

2018-02-15: Highest Volume — 225 contracts
2018-02-07: Largest IV drop — 49.6% change
2018-02-06: Highest IV Rank — 78.5%
2018-02-26: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.87	$85.42	$92.89	$92.89	$86.94
Max Pain	$87.00	$87.00	$87.00	$87.00	$87.00
ATM IV	30.4%	22.8%	45.8%	32.9%	33.5%
Expected Move	7.8%	5.6%	11.0%	5.8%	9.6%
HV 20d	21.3%	12.6%	24.6%	12.6%	24.6%
HV 60d	18.2%	15.2%	19.5%	15.2%	19.4%
IV Rank	47.2%	31.7%	78.5%	52.2%	53.5%
IV Percentile	75.2%	47.2%	97.6%	85.7%	87.7%
Term Structure	-9.1%	-17.4%	0.2%	-8.8%	-16.1%
VWIV	30.4%	22.0%	42.6%	26.1%	37.6%
Skew 25d	3.0%	-18.7%	24.2%	24.2%	-18.5%
Skew 10d	3.9%	-28.1%	37.0%	20.0%	2.0%
Call IV 25d	34.0%	11.7%	47.1%	11.7%	47.1%
Put IV 25d	37.0%	21.0%	53.9%	35.9%	28.6%
Bid-Ask Spread %	145.30	129.27	161.31	160.09	159.41
Gamma HHI	0.15	0.11	0.31	0.28	0.12
Net GEX	-27.1K	-50.7K	-17.3K	-45.2K	-25.0K
Net DEX	459.0K	340.2K	634.4K	437.5K	340.2K
Net VEX	-4.2K	-5.9K	-3.7K	-5.9K	-3.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.47	1.94	2.69	2.57	2.61
Total Volume	212.316	189	225	193	220
Total OI	248.211	216	285	284	250

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2018-02-01	$92.89	$0.00	32.9%	5.8%	12.6%	52.2%	0.0%	24.2%	-8.8%	-45.2K	437.5K	-5.9K	2.57	160.09	N/A	N/A	54	139	67	217
2018-02-02	$90.96	$0.00	35.6%	5.6%	14.8%	57.7%	0.0%	3.8%	-4.5%	-50.7K	488.0K	-5.8K	2.57	161.31	N/A	N/A	54	139	68	217
2018-02-05	$88.02	$0.00	35.2%	5.7%	18.9%	56.9%	0.0%	1.9%	-3.0%	-47.0K	547.9K	-5.7K	2.44	152.02	N/A	N/A	55	134	68	217
2018-02-06	$87.76	$0.00	45.8%	8.7%	18.5%	78.5%	0.0%	2.7%	0.2%	-17.3K	487.6K	-4.0K	2.00	129.27	N/A	N/A	64	128	69	147
2018-02-07	$88.47	$0.00	23.1%	6.6%	18.6%	32.3%	0.0%	2.8%	-4.4%	-19.4K	367.2K	-4.2K	1.94	152.69	N/A	N/A	66	128	79	151
2018-02-08	$85.48	$0.00	26.8%	7.7%	21.9%	39.8%	26.1%	5.6%	-1.4%	-18.1K	379.1K	-4.2K	2.24	138.02	N/A	N/A	66	148	81	151
2018-02-09	$85.42	$87.00	27.6%	7.9%	21.6%	41.4%	26.4%	-0.9%	-4.4%	-26.2K	634.4K	-4.1K	2.66	132.31	N/A	N/A	59	157	76	171
2018-02-12	$86.20	$87.00	30.4%	8.7%	21.7%	47.2%	25.0%	23.9%	-12.2%	-24.8K	549.9K	-3.9K	2.45	130.26	N/A	N/A	64	157	77	161
2018-02-13	$86.63	$87.00	26.0%	7.5%	21.8%	38.3%	26.7%	7.1%	-11.1%	-22.9K	545.9K	-3.9K	2.45	143.51	N/A	N/A	64	157	82	161
2018-02-14	$86.92	$87.00	25.8%	7.4%	21.9%	37.8%	25.8%	16.6%	-12.7%	-24.4K	567.1K	-3.8K	2.45	144.23	N/A	N/A	64	157	82	161
2018-02-15	$88.67	$87.00	27.1%	7.8%	23.2%	40.4%	22.0%	-0.3%	-17.4%	-25.1K	478.3K	-3.9K	2.31	134.71	N/A	N/A	68	157	82	161
2018-02-16	$89.40	$87.00	31.7%	9.1%	23.3%	49.7%	35.3%	10.8%	-11.7%	-24.7K	350.8K	-4.2K	2.31	142.18	N/A	N/A	68	157	86	161
2018-02-20	$88.10	$87.00	26.2%	7.5%	22.5%	38.7%	34.4%	8.2%	-4.4%	-25.0K	481.0K	-3.7K	2.66	143.62	N/A	N/A	59	157	80	161
2018-02-21	$86.70	$87.00	28.1%	8.1%	22.8%	42.5%	31.6%	12.2%	-10.5%	-23.4K	357.8K	-3.7K	2.69	151.73	N/A	N/A	59	159	82	161
2018-02-22	$86.08	$87.00	28.8%	8.2%	22.7%	43.8%	32.4%	-10.9%	-8.1%	-23.5K	382.8K	-3.7K	2.69	148.59	N/A	N/A	59	159	82	163
2018-02-23	$87.90	$87.00	32.9%	9.4%	24.2%	52.2%	35.7%	-18.7%	-14.8%	-25.2K	524.3K	-3.8K	2.69	144.09	N/A	N/A	59	159	82	165
2018-02-26	$88.91	$87.00	38.2%	11.0%	24.3%	63.1%	42.6%	3.0%	-15.3%	-24.7K	431.9K	-3.8K	2.61	144.38	N/A	N/A	61	159	82	165
2018-02-27	$88.00	$87.00	22.8%	6.5%	24.4%	31.7%	24.4%	-16.3%	-12.8%	-23.1K	369.2K	-3.7K	2.61	148.34	N/A	N/A	61	159	85	165
2018-02-28	$86.94	$87.00	33.5%	9.6%	24.6%	53.5%	37.6%	-18.5%	-16.1%	-25.0K	340.2K	-3.7K	2.61	159.41	N/A	N/A	61	159	85	165