VOX Options History — March 2018

In March 2018, VOX traded between $82.72 and $89.44. ATM implied volatility averaged 34.0%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 16.5% (HV 20d: 17.5%). Max pain ranged from $87.00 to $93.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 2.36.

Notable Days

  • 2018-03-27: Highest Volume — 260 contracts
  • 2018-03-14: Largest IV drop — 77.3% change
  • 2018-03-12: Highest IV Rank — 100.0%
  • 2018-03-02: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.64$82.72$89.44$87.05$83.84
Max Pain$92.43$87.00$93.00$87.00$93.00
ATM IV34.0%16.0%78.5%36.6%33.7%
Expected Move6.9%4.6%11.3%10.5%9.7%
HV 20d17.5%13.4%24.6%24.6%14.1%
HV 60d18.0%17.2%19.4%19.4%18.0%
IV Rank45.3%12.4%100.0%59.8%37.1%
IV Percentile70.1%27.4%100.0%92.1%86.5%
Term Structure-7.2%-23.7%4.3%-21.3%-10.4%
VWIV27.1%16.6%40.3%37.1%40.3%
Skew 25d7.8%-11.4%32.3%9.3%5.9%
Skew 10d5.7%-19.8%32.5%-0.6%-4.1%
Call IV 25d27.2%15.0%53.8%49.6%44.6%
Put IV 25d34.9%20.5%66.8%58.9%50.5%
Bid-Ask Spread %134.81109.32158.47156.95146.15
Gamma HHI0.160.110.820.120.12
Net GEX-3.1K-36.4K402.0K-25.1K-21.7K
Net DEX488.7K298.4K726.2K452.0K603.6K
Net VEX-3.4K-3.7K-2.8K-3.7K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.361.842.752.611.98
Total Volume226.952200260220259
Total OI261.714238303250303

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$87.05$87.0036.6%10.5%24.6%59.8%37.1%9.3%-21.3%-25.1K452.0K-3.7K2.61156.95N/AN/A6115985165
2018-03-02$87.37$87.0039.3%11.3%24.5%65.3%40.2%13.1%-23.7%-24.8K436.0K-3.6K2.61158.47N/AN/A6115985165
2018-03-05$88.45$93.0041.6%5.7%24.1%70.0%27.6%4.3%-4.2%-26.4K445.8K-3.7K2.61148.30N/AN/A6115987165
2018-03-06$88.59$93.0030.0%6.0%21.1%46.3%26.7%5.1%-9.9%-25.8K386.6K-3.6K2.61139.76N/AN/A6115987165
2018-03-07$89.28$93.0047.4%6.1%21.2%81.6%27.4%-1.1%-9.7%-28.6K373.6K-3.7K2.75142.88N/AN/A5916287165
2018-03-08$89.36$93.0033.3%6.2%21.0%52.9%18.9%5.8%-9.2%-31.3K423.8K-3.6K2.61131.84N/AN/A6216284168
2018-03-09$89.44$93.0053.4%6.7%16.5%93.8%28.6%6.9%-13.8%-25.6K298.4K-3.4K2.61136.45N/AN/A6216289168
2018-03-12$89.22$93.0066.8%4.8%16.6%100.0%17.0%7.6%4.3%-25.9K401.5K-3.3K2.53133.81N/AN/A6416289168
2018-03-13$88.39$93.0078.5%6.1%16.8%100.0%22.0%22.3%-5.2%-22.4K353.4K-3.5K2.39147.08N/AN/A6415391168
2018-03-14$88.01$93.0017.8%5.1%16.9%14.9%17.7%7.6%1.2%-36.4K554.0K-3.1K2.55109.32N/AN/A6015391168
2018-03-15$87.35$93.0022.9%6.6%17.1%22.1%31.4%3.9%-9.7%-26.7K451.4K-3.4K2.25149.61N/AN/A6815392168
2018-03-16$87.99$93.0022.3%6.4%15.7%21.2%30.7%2.9%-5.8%402.0K350.3K-3.5K2.51145.41N/AN/A61153100168
2018-03-19$86.74$93.0019.1%5.5%16.1%16.7%19.4%4.9%-2.1%-16.8K485.4K-3.2K2.45116.55N/AN/A5814290148
2018-03-20$85.82$93.0018.5%5.3%15.7%15.9%19.2%5.2%-2.5%-18.3K594.1K-2.8K2.45116.00N/AN/A5814290149
2018-03-21$85.45$93.0016.0%4.6%14.8%12.4%16.6%5.6%1.4%-18.2K597.3K-2.9K2.33112.06N/AN/A6715690149
2018-03-22$84.30$93.0019.9%5.7%15.3%17.8%19.1%4.3%-2.3%-22.3K693.8K-3.0K2.08109.59N/AN/A7515699162
2018-03-23$82.82$93.0029.7%8.5%14.1%31.5%37.5%-11.4%-4.6%-15.6K454.2K-3.6K1.84133.16N/AN/A85156109162
2018-03-26$83.39$93.0035.1%10.1%13.5%39.1%33.4%21.5%-14.0%-14.0K575.0K-3.6K1.94136.15N/AN/A86167119162
2018-03-27$82.72$93.0022.9%6.6%13.4%22.0%22.8%6.9%-9.4%-19.0K726.2K-3.2K1.99115.64N/AN/A87173120174
2018-03-28$83.83$93.0029.7%8.5%14.2%31.6%34.9%32.3%-0.5%-22.8K606.7K-3.6K1.98145.82N/AN/A87172121181
2018-03-29$83.84$93.0033.7%9.7%14.1%37.1%40.3%5.9%-10.4%-21.7K603.6K-3.6K1.98146.15N/AN/A87172121182