VOX Options History — August 2018

In August 2018, VOX traded between $84.27 and $87.99. ATM implied volatility averaged 24.4%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 13.1% (HV 20d: 11.3%). Max pain ranged from $84.00 to $85.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.60.

Notable Days

  • 2018-08-07: Highest Volume — 123 contracts
  • 2018-08-09: Largest IV spike — 310.0% change
  • 2018-08-09: Highest IV Rank — 55.7%
  • 2018-08-03: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.49$84.27$87.99$84.27$86.68
Max Pain$84.87$84.00$85.00$84.00$85.00
ATM IV24.4%8.5%47.5%26.2%29.9%
Expected Move6.1%2.4%10.7%7.5%8.6%
HV 20d11.3%10.1%12.7%12.7%11.4%
HV 60d12.0%11.5%12.7%12.7%11.7%
IV Rank22.7%0.0%55.7%25.3%30.6%
IV Percentile48.6%0.0%98.0%60.7%73.0%
Term Structure-5.3%-19.2%6.9%-16.2%-8.3%
VWIV20.1%9.5%41.6%41.0%25.9%
Skew 25d0.9%-12.9%9.7%1.9%2.4%
Skew 10d2.2%-29.2%41.9%41.9%-27.6%
Call IV 25d20.8%6.8%46.6%46.6%40.7%
Put IV 25d21.7%10.1%48.5%48.5%43.1%
Bid-Ask Spread %158.40115.80175.71175.04169.56
Gamma HHI0.180.110.390.170.12
Net GEX31.4K14.9K70.0K19.0K16.6K
Net DEX-267.3K-381.3K-128.8K-177.1K-222.1K
Net VEX-2.1K-2.3K-1.8K-2.3K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.540.890.570.89
Total Volume117.478106123118117
Total OI155.391142166156166

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-08-01$84.27$84.0026.2%7.5%12.7%25.3%41.0%1.9%-16.2%19.0K-177.1K-2.3K0.57175.04N/AN/A754310353
2018-08-02$84.78$84.0036.8%10.5%10.9%40.4%41.6%-11.0%-19.2%20.1K-128.8K-2.3K0.57169.70N/AN/A754310353
2018-08-03$85.14$84.0037.5%10.7%10.1%41.4%41.2%-7.4%-15.5%21.9K-213.8K-2.3K0.57175.71N/AN/A754310353
2018-08-06$86.37$85.008.9%3.1%11.4%0.5%10.7%4.3%4.6%46.2K-219.4K-2.2K0.57138.98N/AN/A754310453
2018-08-07$86.68$85.0012.5%2.7%11.4%5.7%11.5%3.7%-0.2%61.4K-287.5K-2.1K0.54149.25N/AN/A804310452
2018-08-08$86.55$85.0011.6%5.6%11.1%4.4%12.3%9.7%-8.8%60.3K-287.5K-2.3K0.54164.49N/AN/A804310952
2018-08-09$87.14$85.0047.5%6.1%10.9%55.7%16.6%-12.9%-4.7%25.1K-323.9K-2.3K0.54168.46N/AN/A804310952
2018-08-10$86.45$85.0013.2%3.3%11.2%6.7%11.3%2.6%-1.4%63.0K-303.0K-2.1K0.54115.80N/AN/A804310952
2018-08-13$86.47$85.0038.8%3.1%11.2%43.3%11.1%1.3%6.9%70.0K-312.6K-2.1K0.54136.16N/AN/A804310952
2018-08-14$87.19$85.0044.0%6.3%11.7%50.6%17.3%7.1%-7.6%32.4K-323.3K-2.2K0.54170.74N/AN/A804310952
2018-08-15$86.04$85.0025.4%7.3%12.4%24.1%18.9%-0.4%-9.2%23.2K-302.7K-2.2K0.54161.34N/AN/A804310952
2018-08-16$86.19$85.0023.4%6.7%12.0%21.2%18.0%6.1%-4.9%28.3K-310.0K-2.1K0.54171.34N/AN/A804310952
2018-08-17$86.06$85.0023.7%6.8%12.0%21.6%22.0%-3.6%-3.7%14.9K-220.3K-2.1K0.54172.79N/AN/A804310952
2018-08-20$86.28$85.0027.9%8.0%12.0%27.6%23.9%3.8%-7.9%15.5K-220.6K-2.1K0.61148.99N/AN/A69429151
2018-08-21$86.71$85.008.5%2.4%11.9%0.0%9.5%2.3%1.1%30.3K-229.4K-1.8K0.61136.83N/AN/A69429351
2018-08-22$86.44$85.0018.9%5.4%11.9%14.9%25.3%-0.6%-0.9%17.3K-236.9K-2.0K0.61173.02N/AN/A69429351
2018-08-23$86.10$85.0029.0%8.3%10.2%29.3%24.4%2.3%-7.5%15.9K-219.5K-2.0K0.59163.56N/AN/A71429351
2018-08-24$87.07$85.009.9%2.8%10.6%2.0%10.0%4.3%-2.0%37.1K-239.9K-1.8K0.63148.11N/AN/A68439651
2018-08-27$87.83$85.0029.7%8.5%10.4%30.3%21.7%1.4%-7.5%18.4K-327.7K-2.0K0.63153.39N/AN/A68439752
2018-08-28$87.52$85.0028.7%8.2%10.6%28.9%24.5%-0.6%-10.4%18.9K-337.0K-2.0K0.60169.46N/AN/A72439752
2018-08-29$87.99$85.0015.9%4.6%10.6%10.6%11.6%4.2%1.3%33.9K-381.3K-1.8K0.71154.24N/AN/A624410252
2018-08-30$87.39$85.0013.7%3.9%10.9%7.5%11.3%1.0%-0.4%32.3K-322.9K-2.1K0.89156.19N/AN/A625510264
2018-08-31$86.68$85.0029.9%8.6%11.4%30.6%25.9%2.4%-8.3%16.6K-222.1K-2.2K0.89169.56N/AN/A625510264