VOX Options History — April 2018

In April 2018, VOX traded between $82.08 and $87.99. ATM implied volatility averaged 23.7%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 5.1% (HV 20d: 18.7%). Max pain ranged from $81.00 to $93.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.76.

Notable Days

  • 2018-04-20: Highest Volume — 285 contracts
  • 2018-04-10: Largest IV spike — 95.6% change
  • 2018-04-10: Highest IV Rank — 51.9%
  • 2018-04-04: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.97$82.08$87.99$82.08$85.03
Max Pain$82.76$81.00$93.00$93.00$82.00
ATM IV23.7%14.5%44.2%34.7%32.0%
Expected Move6.3%4.1%10.6%9.9%9.2%
HV 20d18.7%14.8%20.9%15.5%20.6%
HV 60d19.3%18.3%20.5%18.3%20.5%
IV Rank23.2%10.2%51.9%38.6%34.9%
IV Percentile49.0%22.6%95.2%87.3%79.4%
Term Structure-3.3%-24.9%9.9%-9.6%-12.0%
VWIV25.6%16.8%47.6%47.6%37.9%
Skew 25d4.6%-3.8%10.3%6.3%4.9%
Skew 10d9.4%-8.6%38.1%-4.9%3.5%
Call IV 25d24.3%11.2%50.7%49.0%46.6%
Put IV 25d28.9%17.9%55.7%55.3%51.5%
Bid-Ask Spread %133.3498.68161.22139.42156.32
Gamma HHI0.120.110.160.110.11
Net GEX-8.8K-23.0K4.2K-16.2K2.4K
Net DEX350.2K-125.4K853.2K568.9K12.2K
Net VEX-3.0K-3.6K-2.6K-3.6K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.761.522.101.981.53
Total Volume263.095231285259238
Total OI279.095202305303235

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$82.08$93.0034.7%9.9%15.5%38.6%47.6%6.3%-9.6%-16.2K568.9K-3.6K1.98139.42N/AN/A87172121182
2018-04-03$82.53$93.0019.6%5.6%14.8%17.5%26.9%3.9%4.9%-23.0K853.2K-2.9K1.98118.31N/AN/A87172121182
2018-04-04$84.02$93.0036.9%10.6%16.6%41.6%46.6%5.0%-24.9%-20.7K706.4K-3.3K2.10142.14N/AN/A87183121182
2018-04-05$84.86$81.0022.2%5.4%16.8%21.0%19.0%3.6%-0.4%-19.2K702.1K-2.8K1.9998.68N/AN/A92183121170
2018-04-06$84.05$81.0022.8%6.4%16.9%21.9%20.4%5.2%-1.2%-17.9K623.9K-2.9K1.99103.02N/AN/A92183126170
2018-04-09$84.40$81.0022.6%5.5%17.0%21.6%16.8%1.9%3.4%-17.3K642.9K-2.7K1.99115.02N/AN/A92183126170
2018-04-10$86.68$81.0044.2%5.0%20.0%51.9%24.1%5.9%0.4%-17.3K421.3K-3.1K1.72145.26N/AN/A101174126171
2018-04-11$86.43$81.0023.4%6.7%19.8%22.8%28.5%8.6%-7.3%-10.7K258.7K-3.4K1.72161.22N/AN/A101174136168
2018-04-12$86.27$81.0017.1%4.9%19.8%13.9%20.1%7.9%0.3%-9.0K439.1K-2.9K1.72112.56N/AN/A101174136168
2018-04-13$85.51$81.0018.7%5.4%19.8%16.2%19.3%6.1%0.5%-9.4K495.7K-2.9K1.72107.41N/AN/A101174136168
2018-04-16$87.15$81.0017.0%4.9%20.9%13.7%19.4%3.6%-0.7%-6.3K442.1K-2.8K1.74125.34N/AN/A100174136168
2018-04-17$87.85$81.0015.9%4.6%20.4%12.3%22.2%6.2%0.3%-8.7K295.6K-2.8K1.74123.25N/AN/A100174136168
2018-04-18$87.99$81.0020.1%5.8%20.0%18.1%22.7%3.1%-1.6%-8.3K288.3K-2.9K1.73142.75N/AN/A100173137168
2018-04-19$87.59$81.0015.7%4.5%20.0%11.9%22.2%6.2%-0.5%-6.5K315.3K-2.8K1.74127.81N/AN/A100174136167
2018-04-20$86.61$81.0015.1%4.3%19.8%11.2%18.0%3.6%3.2%-7.6K461.5K-2.6K1.57133.07N/AN/A111174136169
2018-04-23$87.02$81.0014.5%4.1%18.5%10.2%19.5%3.3%9.9%-20969.7K-2.7K1.75152.15N/AN/A8414793109
2018-04-24$87.04$81.0021.7%6.2%18.4%20.3%24.0%10.3%-5.6%1.1K-125.4K-3.0K1.58129.06N/AN/A93147106108
2018-04-25$87.97$81.0025.1%7.2%18.2%25.1%26.3%6.2%-1.4%4.2K-92.5K-3.3K1.59154.75N/AN/A95151116108
2018-04-26$86.65$81.0029.0%8.3%18.9%30.6%28.2%-0.8%-12.9%2.6K28.0K-3.2K1.52153.23N/AN/A95144118112
2018-04-27$87.56$81.0029.7%8.5%19.1%31.6%27.7%-3.8%-14.4%3.8K-53.2K-3.5K1.53159.34N/AN/A94144118116
2018-04-30$85.03$82.0032.0%9.2%20.6%34.9%37.9%4.9%-12.0%2.4K12.2K-3.3K1.53156.32N/AN/A94144118117