VOX Options History — June 2018

In June 2018, VOX traded between $83.33 and $86.98. ATM implied volatility averaged 22.9%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 10.0% (HV 20d: 12.8%). Max pain ranged from $82.00 to $91.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.63.

Notable Days

  • 2018-06-28: Highest Volume — 305 contracts
  • 2018-06-11: Largest IV spike — 245.2% change
  • 2018-06-05: Highest IV Rank — 53.8%
  • 2018-06-01: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.41$83.33$86.98$83.33$85.08
Max Pain$87.81$82.00$91.00$82.00$91.00
ATM IV22.9%10.3%45.6%38.5%21.8%
Expected Move5.4%2.9%11.0%11.0%6.3%
HV 20d12.8%11.1%14.5%14.5%11.5%
HV 60d16.9%15.8%17.4%17.3%15.8%
IV Rank21.0%4.4%53.8%43.8%17.9%
IV Percentile41.6%2.8%96.0%90.9%38.1%
Term Structure-2.8%-22.9%11.3%-22.9%-9.3%
VWIV21.1%15.1%41.2%41.2%26.2%
Skew 25d3.8%-5.7%21.1%-1.4%-1.7%
Skew 10d-1.9%-22.6%16.2%-13.1%3.2%
Call IV 25d20.6%6.6%54.8%54.8%37.9%
Put IV 25d24.5%12.6%53.4%53.4%36.1%
Bid-Ask Spread %148.10136.19159.61159.61155.18
Gamma HHI0.110.090.170.090.17
Net GEX-2.8K-20.5K11.4K-4.2K-20.5K
Net DEX232.6K6.8K622.7K329.0K622.7K
Net VEX-3.0K-3.6K-2.5K-3.0K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.631.471.781.661.75
Total Volume278.81245305245305
Total OI296.905260372260372

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$83.33$82.0038.5%11.0%14.5%43.8%41.2%-1.4%-22.9%-4.2K329.0K-3.0K1.66159.61N/AN/A92153125135
2018-06-04$83.73$90.0044.5%6.4%14.2%52.3%23.1%8.4%-8.3%-2.7K280.1K-3.0K1.65144.08N/AN/A93153127135
2018-06-05$83.80$90.0045.6%6.2%14.2%53.8%22.7%0.2%-12.3%1.2K249.0K-2.8K1.65150.58N/AN/A93153128135
2018-06-06$84.20$90.0014.4%4.3%13.2%10.1%18.2%4.7%-4.1%5.4K343.9K-2.5K1.78144.55N/AN/A93166128135
2018-06-07$84.59$90.0015.1%3.8%13.0%11.1%18.4%2.0%2.7%-3.2K320.6K-2.8K1.78142.05N/AN/A93166128148
2018-06-08$84.80$90.0012.9%3.4%11.7%8.0%17.5%2.6%3.7%-9.8K366.9K-2.6K1.78136.19N/AN/A93166128148
2018-06-11$85.35$90.0044.5%4.0%11.5%52.4%18.0%21.1%-4.6%-7.5K314.1K-2.6K1.47141.99N/AN/A113166129148
2018-06-12$85.71$87.0018.8%2.9%11.1%16.3%15.1%2.0%3.4%11.4K178.4K-2.7K1.51143.87N/AN/A113171149148
2018-06-13$84.80$87.0023.9%6.8%11.7%23.4%19.7%10.9%-16.8%4.0K248.7K-2.9K1.51152.50N/AN/A113171149153
2018-06-14$86.29$87.0016.5%4.7%13.1%13.1%16.9%-5.5%3.3%-3.6K171.8K-2.9K1.50147.18N/AN/A114171149153
2018-06-15$86.59$87.0013.9%4.0%13.0%9.4%17.6%-0.5%1.4%-4.8K11.0K-2.6K1.54151.94N/AN/A114176150158
2018-06-18$86.35$87.0010.3%3.0%13.1%4.4%16.5%6.1%9.4%1.9K158.9K-2.7K1.63146.37N/AN/A103168138150
2018-06-19$86.98$87.0016.1%4.6%12.9%12.5%16.9%0.4%9.0%-759135.5K-2.7K1.54140.50N/AN/A111171138150
2018-06-20$86.83$87.0025.2%7.2%13.0%22.8%19.3%14.8%-10.2%-1.4K6.8K-3.3K1.67152.89N/AN/A111185149150
2018-06-21$86.09$87.0013.7%3.9%12.9%6.1%22.3%8.2%11.3%-5.6K40.3K-3.6K1.67146.94N/AN/A111185149168
2018-06-22$86.89$87.0026.4%7.6%13.2%24.5%21.3%2.7%-8.7%-7.8K88.8K-3.4K1.60151.43N/AN/A111178149168
2018-06-25$85.69$87.0020.2%5.8%13.6%15.5%27.3%-5.7%7.2%-5.0K149.1K-3.4K1.60154.81N/AN/A111178149168
2018-06-26$85.83$87.0020.3%5.8%13.4%15.7%26.7%-1.5%4.1%-5.3K258.0K-3.4K1.60154.23N/AN/A111178149168
2018-06-27$85.30$87.0021.6%6.2%12.5%17.5%20.6%3.3%-14.4%325308.3K-2.9K1.68147.43N/AN/A111186149168
2018-06-28$85.30$87.0015.9%4.6%11.7%9.3%18.5%9.5%-3.2%-1.4K303.7K-2.9K1.75145.89N/AN/A111194149168
2018-06-29$85.08$91.0021.8%6.3%11.5%17.9%26.2%-1.7%-9.3%-20.5K622.7K-3.4K1.75155.18N/AN/A111194149223