VOX Options History — October 2018

In October 2018, VOX traded between $76.89 and $86.96. ATM implied volatility averaged 29.0%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 11.7% (HV 20d: 17.3%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 0.66.

Notable Days

  • 2018-10-16: Highest Volume — 272 contracts
  • 2018-10-04: Largest IV spike — 63.1% change
  • 2018-10-30: Highest IV Rank — 55.4%
  • 2018-10-30: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.95$76.89$86.96$86.37$81.99
Max Pain$85.00$85.00$85.00$85.00$85.00
ATM IV29.0%16.4%47.2%32.5%32.3%
Expected Move8.1%4.8%13.5%9.3%9.2%
HV 20d17.3%8.3%32.3%10.0%32.3%
HV 60d13.6%10.4%20.2%10.4%20.2%
IV Rank29.4%11.3%55.4%34.3%34.0%
IV Percentile64.5%19.8%97.6%79.4%77.4%
Term Structure-8.0%-28.8%11.4%-14.0%-28.8%
VWIV27.3%16.1%44.1%35.9%21.6%
Skew 25d6.4%-20.7%45.2%-20.7%45.2%
Skew 10d6.2%-14.0%34.0%12.4%-2.6%
Call IV 25d30.4%11.8%58.2%42.6%16.2%
Put IV 25d36.9%11.5%61.4%21.8%61.4%
Bid-Ask Spread %146.86124.44164.54154.55143.43
Gamma HHI0.160.110.710.140.13
Net GEX714-158.2K24.1K13.1K21.0K
Net DEX-7.7K-352.0K315.4K-210.5K-136.5K
Net VEX-3.6K-4.2K-2.5K-2.5K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.460.890.520.54
Total Volume238.783192272192233
Total OI256.913195310195290

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-10-01$86.37$85.0032.5%9.3%10.0%34.3%35.9%-20.7%-14.0%13.1K-210.5K-2.5K0.52154.55N/AN/A1266611283
2018-10-02$86.75$85.0021.8%6.2%9.5%19.0%24.9%1.8%11.4%24.1K-303.5K-2.8K0.52151.58N/AN/A1266613384
2018-10-03$86.96$85.0022.1%6.3%8.3%19.5%28.4%-18.4%6.3%17.9K-352.0K-2.9K0.49164.54N/AN/A1356613284
2018-10-04$85.64$85.0036.1%6.0%10.0%39.4%28.1%9.5%-3.9%18.3K-316.4K-3.2K0.51159.62N/AN/A1296614184
2018-10-05$84.99$85.0025.5%4.8%10.4%24.2%18.9%4.9%-2.2%15.5K-182.2K-2.8K0.69157.47N/AN/A1298913184
2018-10-08$84.81$85.0016.4%5.2%10.4%11.3%16.1%4.6%-2.3%3.6K-16.6K-3.0K0.86124.44N/AN/A124107131105
2018-10-09$84.97$85.0020.7%6.0%9.9%17.4%18.1%-7.9%-6.5%-2.3K15.7K-3.5K0.86140.77N/AN/A124107133133
2018-10-10$82.25$85.0025.7%7.4%15.1%24.6%19.0%1.7%-7.6%726169-3.6K0.89157.06N/AN/A123109133133
2018-10-11$81.18$85.0025.2%7.2%15.4%23.8%27.4%-4.5%-1.8%-4.6K315.4K-3.4K0.78147.86N/AN/A143111135138
2018-10-12$82.07$85.0024.7%7.1%16.1%23.2%25.5%7.4%-7.9%702164.2K-3.9K0.78155.94N/AN/A143111155138
2018-10-15$82.46$85.0026.2%7.5%16.1%25.3%19.8%15.5%-8.2%138143.8K-3.8K0.71153.14N/AN/A157111155138
2018-10-16$84.07$85.0022.9%6.6%17.5%20.6%18.7%3.3%-3.2%5.4K17.7K-4.1K0.69153.30N/AN/A161111169138
2018-10-17$84.44$85.0028.3%8.1%17.6%28.3%31.2%8.0%-11.9%7.8K-120.3K-4.2K0.69151.45N/AN/A161111172138
2018-10-18$83.02$85.0034.1%9.8%18.0%36.6%31.5%24.6%-14.1%8.4K-29.4K-4.1K0.69138.12N/AN/A161111172138
2018-10-19$83.13$85.0032.0%9.2%18.0%33.6%31.3%3.4%-16.8%-158.2K77.3K-4.0K0.69142.51N/AN/A161111172138
2018-10-22$83.24$85.0036.5%10.5%18.0%40.1%27.4%14.2%-14.4%1.2K24.8K-3.9K0.70142.30N/AN/A13292114104
2018-10-23$83.16$85.0024.1%6.9%17.9%22.4%27.1%7.5%-0.1%-196131.3K-3.6K0.70138.80N/AN/A13292116104
2018-10-24$79.87$85.0032.7%9.4%22.3%34.6%30.5%23.5%-5.7%1.6K93.6K-3.7K0.69139.62N/AN/A13492116104
2018-10-25$81.35$85.0031.2%9.0%23.5%32.5%25.1%34.7%-11.1%7.4K48.9K-4.0K0.59153.41N/AN/A15592142104
2018-10-26$78.73$85.0032.9%9.4%25.7%34.8%40.2%-1.1%-10.6%7.5K166.8K-3.6K0.63142.87N/AN/A14692142104
2018-10-29$76.89$85.0036.7%10.5%26.5%40.3%37.3%-11.6%-11.7%9.2K234.3K-3.3K0.46133.13N/AN/A18686143104
2018-10-30$79.49$85.0047.2%13.5%29.8%55.4%44.1%2.6%-19.2%18.2K57.0K-4.1K0.46131.80N/AN/A18686183107
2018-10-31$81.99$85.0032.3%9.2%32.3%34.0%21.6%45.2%-28.8%21.0K-136.5K-4.2K0.54143.43N/AN/A15182183107