VOX Options History — July 2018

In July 2018, VOX traded between $84.13 and $88.12. ATM implied volatility averaged 19.3%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 6.9% (HV 20d: 12.4%). Max pain ranged from $84.00 to $91.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2018-07-11: Highest Volume — 329 contracts
  • 2018-07-25: Largest IV spike — 151.9% change
  • 2018-07-30: Highest IV Rank — 34.5%
  • 2018-07-30: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.43$84.13$88.12$84.93$84.41
Max Pain$87.73$84.00$91.00$91.00$84.00
ATM IV19.3%8.5%32.7%24.9%21.2%
Expected Move5.5%2.9%9.4%7.1%6.1%
HV 20d12.4%10.8%13.8%11.5%12.8%
HV 60d14.4%12.7%15.7%15.7%12.7%
IV Rank15.1%0.0%34.5%22.4%18.1%
IV Percentile34.0%0.0%79.4%52.8%36.1%
Term Structure-7.2%-19.0%5.1%-14.7%-17.1%
VWIV21.0%5.0%35.4%33.0%35.4%
Skew 25d0.6%-22.6%14.8%4.1%-11.3%
Skew 10d10.5%-12.8%29.7%27.2%14.1%
Call IV 25d22.5%7.5%47.3%45.5%42.1%
Put IV 25d23.1%11.0%49.5%49.5%30.9%
Bid-Ask Spread %144.64104.24173.54154.30173.54
Gamma HHI0.220.120.880.160.19
Net GEX15.3K-41.0K407.9K-20.3K20.4K
Net DEX242.1K-202.0K674.8K674.8K-152.8K
Net VEX-2.6K-3.4K-2.0K-3.4K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.571.731.730.57
Total Volume243.1995329306118
Total OI302.429117396372156

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$84.93$91.0024.9%7.1%11.5%22.4%33.0%4.1%-14.7%-20.3K674.8K-3.4K1.73154.30N/AN/A112194149223
2018-07-03$84.75$91.0025.5%7.3%11.5%23.2%30.5%0.8%-18.8%-21.1K625.8K-3.4K1.72155.78N/AN/A113194150223
2018-07-05$86.34$0.0028.3%6.1%13.1%27.3%0.0%10.3%-7.9%-11.1K594.4K-2.7K1.72168.86N/AN/A113194151223
2018-07-06$87.36$0.0010.5%4.6%13.6%1.5%0.0%4.5%-11.6%-17.1K414.7K-2.9K1.56124.76N/AN/A122190152221
2018-07-09$87.65$0.008.5%3.0%13.6%0.0%0.0%2.1%2.1%6.0K318.3K-2.6K1.53104.24N/AN/A124190161215
2018-07-10$87.99$0.009.4%2.9%13.5%1.2%0.0%1.3%1.7%35.7K248.9K-2.3K1.53105.65N/AN/A124190163215
2018-07-11$87.35$0.0021.9%6.3%13.8%19.1%0.0%-5.0%-10.4%-34.5K321.1K-3.2K1.63163.78N/AN/A125204163228
2018-07-12$88.12$0.0023.3%6.7%13.4%21.1%0.0%5.8%-10.2%-30.3K260.5K-2.5K1.69143.18N/AN/A116196161228
2018-07-13$87.87$0.0022.4%6.4%12.2%19.9%0.0%5.4%-11.2%-32.9K187.3K-3.4K1.73161.53N/AN/A113196163230
2018-07-16$87.70$0.0011.2%3.2%12.2%3.8%0.0%2.2%1.2%-36.1K358.0K-2.6K1.73109.66N/AN/A113196165230
2018-07-17$87.53$0.0024.5%7.0%12.1%22.8%0.0%9.7%-12.7%-41.0K328.8K-2.8K1.73160.78N/AN/A113196165230
2018-07-18$86.94$0.0014.3%4.1%12.1%8.3%9.1%3.3%-2.1%37.5K492.6K-2.4K1.69138.61N/AN/A116196165230
2018-07-19$86.22$90.0015.6%4.5%12.5%10.1%5.0%-16.6%4.2%-24.6K521.1K-2.6K1.69134.93N/AN/A116196166230
2018-07-20$86.04$90.0012.5%3.6%12.1%5.7%5.3%2.8%-3.4%407.9K670.9K-2.1K1.70129.10N/AN/A115196166230
2018-07-23$86.17$90.0013.1%3.8%11.6%6.6%12.1%1.3%4.8%6.3K-64.0K-2.0K0.76124.77N/AN/A54416651
2018-07-24$86.80$87.0011.5%3.3%10.8%4.2%11.0%1.8%5.1%14.3K-191.1K-2.1K0.72140.43N/AN/A57417351
2018-07-25$86.71$87.0028.9%8.3%10.8%29.1%27.1%14.8%-14.2%13.8K-202.0K-2.2K0.72169.13N/AN/A57418351
2018-07-26$85.23$87.0013.2%3.8%12.3%6.7%13.9%1.2%-1.0%17.2K-38.7K-2.0K0.74142.99N/AN/A57428351
2018-07-27$84.75$84.0031.3%9.0%12.5%32.6%35.1%-3.2%-16.8%13.4K-110.0K-2.1K0.57162.07N/AN/A75438353
2018-07-30$84.13$84.0032.7%9.4%12.7%34.5%34.7%-22.6%-19.0%17.6K-174.5K-2.3K0.57169.37N/AN/A754310153
2018-07-31$84.41$84.0021.2%6.1%12.8%18.1%35.4%-11.3%-17.1%20.4K-152.8K-2.3K0.57173.54N/AN/A754310353