VOX Options History — September 2018

In September 2018, VOX traded between $84.49 and $87.19. ATM implied volatility averaged 20.7%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 9.9% (HV 20d: 10.8%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.71.

Notable Days

2018-09-11: Highest Volume — 187 contracts
2018-09-12: Largest IV spike — 70.1% change
2018-09-04: Highest IV Rank — 33.9%
2018-09-04: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.90	$84.49	$87.19	$85.90	$86.94
Max Pain	$85.00	$85.00	$85.00	$85.00	$85.00
ATM IV	20.7%	10.4%	32.2%	32.2%	25.4%
Expected Move	5.6%	3.0%	9.2%	9.2%	7.3%
HV 20d	10.8%	10.1%	11.4%	10.7%	10.1%
HV 60d	11.4%	10.6%	12.1%	11.9%	10.6%
IV Rank	17.4%	2.7%	33.9%	33.9%	24.1%
IV Percentile	36.4%	2.8%	77.4%	77.4%	54.8%
Term Structure	-5.2%	-19.7%	6.9%	-19.7%	-6.4%
VWIV	21.6%	13.4%	32.5%	30.8%	32.5%
Skew 25d	4.9%	-12.0%	30.5%	30.5%	7.5%
Skew 10d	5.1%	-20.0%	35.3%	35.3%	32.2%
Call IV 25d	19.8%	8.8%	38.9%	16.5%	32.8%
Put IV 25d	24.8%	11.6%	47.0%	47.0%	40.3%
Bid-Ask Spread %	150.11	121.24	178.00	178.00	162.18
Gamma HHI	0.19	0.12	0.24	0.12	0.13
Net GEX	24.8K	-636	57.6K	14.1K	13.5K
Net DEX	-209.1K	-422.2K	59.8K	-184.0K	-237.0K
Net VEX	-2.5K	-3.3K	-1.9K	-2.1K	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.52	0.90	0.77	0.63
Total Volume	150.737	117	187	126	169
Total OI	208.421	166	240	166	195

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2018-09-04	$85.90	$85.00	32.2%	9.2%	10.7%	33.9%	30.8%	30.5%	-19.7%	14.1K	-184.0K	-2.1K	0.77	178.00	N/A	N/A	71	55	102	64
2018-09-05	$84.89	$85.00	24.5%	7.0%	11.4%	22.9%	23.9%	5.4%	2.8%	23.5K	-114.6K	-2.2K	0.74	169.44	N/A	N/A	81	60	110	64
2018-09-06	$84.52	$85.00	27.5%	6.3%	11.4%	27.2%	23.0%	5.2%	-13.1%	14.4K	-99.5K	-2.3K	0.79	160.15	N/A	N/A	81	64	110	69
2018-09-07	$84.49	$85.00	25.5%	3.5%	11.0%	24.3%	16.9%	4.6%	1.7%	14.4K	31.5K	-2.0K	0.79	126.04	N/A	N/A	81	64	110	74
2018-09-10	$84.76	$85.00	13.1%	3.4%	10.9%	6.6%	14.0%	4.9%	-0.8%	16.6K	59.8K	-1.9K	0.77	133.48	N/A	N/A	83	64	110	75
2018-09-11	$85.52	$85.00	13.6%	3.2%	11.4%	7.2%	13.4%	3.4%	0.4%	15.8K	-11.7K	-1.9K	0.52	126.88	N/A	N/A	123	64	112	75
2018-09-12	$85.63	$85.00	23.1%	6.6%	11.0%	20.8%	18.1%	-2.3%	-13.3%	39.0K	-242.5K	-3.0K	0.52	153.04	N/A	N/A	123	64	157	75
2018-09-13	$86.00	$85.00	23.8%	6.8%	10.1%	21.9%	26.4%	5.6%	-15.3%	28.7K	-301.7K	-3.0K	0.67	161.97	N/A	N/A	95	64	157	75
2018-09-14	$86.10	$85.00	23.3%	6.7%	10.1%	21.2%	25.8%	2.1%	-14.0%	57.6K	-409.4K	-3.1K	0.75	159.97	N/A	N/A	85	64	165	75
2018-09-17	$85.37	$85.00	18.6%	5.3%	10.5%	14.4%	15.8%	5.8%	-10.5%	29.6K	-216.2K	-2.7K	0.75	148.28	N/A	N/A	85	64	158	75
2018-09-18	$86.07	$85.00	17.2%	4.9%	10.9%	12.4%	18.2%	2.1%	-0.1%	32.1K	-162.5K	-2.5K	0.74	148.97	N/A	N/A	87	64	158	75
2018-09-19	$86.03	$85.00	10.4%	3.0%	10.7%	2.7%	14.0%	2.0%	1.5%	-636	-108.5K	-2.4K	0.71	130.04	N/A	N/A	90	64	148	75
2018-09-20	$86.88	$85.00	16.0%	4.6%	11.3%	10.7%	15.6%	1.2%	0.7%	32.5K	-238.6K	-2.5K	0.72	141.48	N/A	N/A	78	56	149	75
2018-09-21	$86.60	$85.00	21.0%	6.0%	11.2%	17.9%	26.8%	5.8%	-6.0%	27.2K	-422.2K	-3.0K	0.69	162.02	N/A	N/A	81	56	150	75
2018-09-24	$86.06	$85.00	12.0%	3.4%	10.7%	5.0%	13.8%	2.7%	6.9%	30.0K	-234.5K	-2.6K	0.75	121.24	N/A	N/A	67	50	143	68
2018-09-25	$86.36	$85.00	19.3%	5.5%	10.2%	15.5%	26.8%	-1.3%	-10.7%	32.6K	-390.2K	-2.9K	0.90	160.10	N/A	N/A	67	60	148	68
2018-09-26	$86.77	$85.00	25.6%	7.3%	10.4%	24.5%	32.3%	-12.0%	-4.0%	27.5K	-408.7K	-3.3K	0.60	162.82	N/A	N/A	107	64	148	78
2018-09-27	$87.19	$85.00	20.8%	6.0%	10.3%	17.6%	21.6%	20.2%	0.7%	22.6K	-281.6K	-2.3K	0.63	145.96	N/A	N/A	104	65	113	82
2018-09-28	$86.94	$85.00	25.4%	7.3%	10.1%	24.1%	32.5%	7.5%	-6.4%	13.5K	-237.0K	-2.5K	0.63	162.18	N/A	N/A	104	65	112	83