VOX Options History — May 2018

In May 2018, VOX traded between $81.93 and $84.19. ATM implied volatility averaged 24.8%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 6.4% (HV 20d: 18.4%). Max pain ranged from $82.00 to $83.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.43.

Notable Days

  • 2018-05-18: Highest Volume — 258 contracts
  • 2018-05-31: Largest IV spike — 90.7% change
  • 2018-05-02: Highest IV Rank — 43.2%
  • 2018-05-02: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.22$81.93$84.19$83.38$82.66
Max Pain$82.75$82.00$83.00$82.00$82.00
ATM IV24.8%13.0%38.0%35.5%38.0%
Expected Move6.9%3.7%10.9%10.2%10.9%
HV 20d18.4%13.9%21.9%21.9%14.4%
HV 60d18.1%16.9%20.5%20.5%17.3%
IV Rank24.7%8.1%43.2%39.8%43.2%
IV Percentile52.6%16.7%90.5%88.9%90.1%
Term Structure-7.0%-26.1%12.9%-14.5%-26.1%
VWIV27.9%12.3%45.9%44.7%37.5%
Skew 25d-0.6%-31.8%32.5%-25.7%-0.9%
Skew 10d-10.8%-41.5%9.2%-33.3%-2.3%
Call IV 25d26.9%11.9%51.8%48.9%51.8%
Put IV 25d26.3%11.6%58.3%23.2%51.0%
Bid-Ask Spread %147.30121.79161.73154.68160.82
Gamma HHI0.110.090.170.110.09
Net GEX-149-14.6K14.6K-114-5.1K
Net DEX291.2K138.4K464.9K138.4K336.9K
Net VEX-2.6K-3.2K-2.1K-3.1K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.431.201.721.531.70
Total Volume240.045222258238243
Total OI246.455229272235259

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$83.38$82.0035.5%10.2%21.9%39.8%44.7%-25.7%-14.5%-114138.4K-3.1K1.53154.68N/AN/A94144118117
2018-05-02$83.39$82.0038.0%10.9%20.9%43.2%45.9%19.9%-17.6%230141.6K-3.2K1.53160.89N/AN/A94144118118
2018-05-03$82.91$0.0036.9%6.5%20.6%41.6%0.0%5.6%-3.0%-50287.9K-2.8K1.53156.52N/AN/A94144118118
2018-05-04$83.70$0.0015.2%4.5%20.7%11.2%0.0%1.7%0.4%-2.2K370.5K-2.5K1.52133.48N/AN/A95144118118
2018-05-07$83.56$0.0018.3%4.7%20.6%15.6%0.0%3.8%0.9%2.7K340.7K-2.3K1.53121.79N/AN/A94144120118
2018-05-08$82.36$0.0018.1%4.7%18.5%15.3%0.0%3.8%-1.6%-4.2K464.9K-2.1K1.54124.64N/AN/A95146122118
2018-05-09$81.93$0.0024.0%6.9%18.5%23.5%0.0%1.3%-8.4%-1.9K268.7K-2.8K1.39155.85N/AN/A105146123120
2018-05-10$83.32$0.0015.9%4.6%19.8%12.3%0.0%5.0%1.3%-7.8K396.7K-2.3K1.34139.79N/AN/A105141133120
2018-05-11$84.12$0.0024.2%6.9%20.0%23.8%0.0%32.5%-8.0%-3.2K151.3K-3.1K1.34161.73N/AN/A105141133123
2018-05-14$83.50$0.0022.6%6.5%18.7%21.6%0.0%17.4%-0.2%-882216.8K-2.8K1.32152.59N/AN/A107141133123
2018-05-15$83.06$0.0028.3%8.1%18.3%29.6%0.0%-14.2%-8.3%-13.6K362.1K-2.4K1.31150.63N/AN/A107140137123
2018-05-16$83.36$0.0026.0%7.5%18.4%26.4%26.4%5.4%-12.8%2.9K339.5K-2.5K1.20159.79N/AN/A117140137124
2018-05-17$83.33$83.0013.0%3.7%18.4%8.2%13.4%2.8%3.5%910310.6K-2.3K1.20140.43N/AN/A117140147125
2018-05-18$83.15$83.0015.5%4.4%18.1%11.6%16.1%4.8%-1.6%-14.6K334.4K-2.3K1.21124.92N/AN/A117141147125
2018-05-21$83.93$83.0013.0%3.7%18.4%8.1%24.6%3.0%12.9%4.9K238.6K-2.5K1.34134.24N/AN/A95127121108
2018-05-22$84.19$83.0024.5%7.0%18.5%24.3%19.3%-17.2%-5.7%4.8K220.4K-2.6K1.32139.59N/AN/A96127125108
2018-05-23$83.40$83.0031.5%9.0%18.1%34.2%30.4%-27.0%-11.3%5.2K144.6K-3.0K1.32160.35N/AN/A96127127108
2018-05-24$83.46$83.0025.4%7.3%17.5%25.6%18.2%-27.8%-6.6%6.9K324.4K-2.3K1.43145.21N/AN/A96137127108
2018-05-25$82.57$83.0035.9%10.3%17.1%40.3%38.2%-31.8%-24.2%2.2K260.7K-2.9K1.54153.52N/AN/A89137129118
2018-05-29$82.13$83.0026.5%7.6%14.1%27.0%35.3%27.0%-14.1%5.0K346.0K-2.7K1.55158.35N/AN/A89138129118
2018-05-30$83.53$83.0019.9%5.7%13.9%17.9%12.3%-1.8%-8.9%14.6K411.6K-2.4K1.72150.78N/AN/A89153124119
2018-05-31$82.66$82.0038.0%10.9%14.4%43.2%37.5%-0.9%-26.1%-5.1K336.9K-3.0K1.70160.82N/AN/A90153124135