VOX Options History — November 2018

In November 2018, VOX traded between $77.09 and $83.06. ATM implied volatility averaged 36.6%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 8.0% (HV 20d: 28.5%). Max pain ranged from $77.00 to $85.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2018-11-09: Highest Volume — 314 contracts
  • 2018-11-13: Largest IV spike — 257.1% change
  • 2018-11-13: Highest IV Rank — 100.0%
  • 2018-11-01: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.10$77.09$83.06$81.78$80.93
Max Pain$77.76$77.00$85.00$85.00$77.00
ATM IV36.6%17.3%95.4%43.0%40.4%
Expected Move7.7%5.0%12.3%12.3%11.6%
HV 20d28.5%19.6%32.0%31.9%19.6%
HV 60d21.0%20.1%22.2%20.2%22.1%
IV Rank36.1%10.2%100.0%49.3%36.7%
IV Percentile68.2%20.6%100.0%94.0%90.9%
Term Structure-7.1%-23.4%2.3%-23.4%-12.8%
VWIV27.7%22.1%40.8%40.3%35.1%
Skew 25d13.1%-3.1%33.7%11.9%31.9%
Skew 10d12.3%-12.7%44.4%2.6%40.9%
Call IV 25d25.0%11.0%56.7%54.5%18.4%
Put IV 25d38.1%20.8%66.4%66.4%50.3%
Bid-Ask Spread %141.73114.01159.55143.49142.78
Gamma HHI0.120.110.160.130.12
Net GEX19.1K10.0K29.1K21.7K22.6K
Net DEX33.7K-377.2K372.9K-231.8K-121.2K
Net VEX-4.6K-5.7K-3.8K-4.6K-5.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.580.850.580.61
Total Volume295.476223314223298
Total OI370.381291397291397

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$81.78$85.0043.0%12.3%31.9%49.3%40.3%11.9%-23.4%21.7K-231.8K-4.6K0.58143.49N/AN/A14182185106
2018-11-02$81.57$85.0040.0%11.5%31.9%44.9%40.8%1.5%-21.1%22.2K-214.1K-4.5K0.58159.55N/AN/A14182186106
2018-11-05$81.19$77.0051.5%6.9%31.9%61.4%24.6%5.6%-8.6%21.5K-134.1K-4.3K0.71143.94N/AN/A142101186106
2018-11-06$81.61$77.0022.2%6.0%32.0%19.6%22.6%9.7%-5.5%16.9K-70.9K-4.3K0.85126.43N/AN/A142121187125
2018-11-07$83.06$77.0054.7%6.9%30.5%66.0%24.7%20.9%-12.0%10.0K-167.8K-4.8K0.63143.78N/AN/A192121187145
2018-11-08$81.90$77.0056.5%6.3%30.6%68.5%25.4%6.7%-5.8%29.1K-377.2K-5.7K0.63154.45N/AN/A192121241145
2018-11-09$80.95$77.0056.1%6.5%30.6%68.0%23.6%7.2%-3.7%24.5K-114.6K-5.2K0.64150.64N/AN/A192122241145
2018-11-12$79.78$77.0026.7%6.3%30.9%26.0%23.5%10.7%-0.3%23.3K109.3K-4.6K0.64131.48N/AN/A192122241146
2018-11-13$79.50$77.0095.4%7.2%29.9%100.0%24.2%21.8%-1.8%18.4K45.7K-5.1K0.64151.56N/AN/A192122241156
2018-11-14$79.82$77.0017.3%5.0%29.9%10.2%22.1%1.8%1.6%23.9K78.6K-5.0K0.64129.00N/AN/A192122241156
2018-11-15$79.91$77.0026.7%7.7%29.5%21.0%25.5%23.7%-8.5%19.8K69.2K-5.1K0.64149.98N/AN/A192122241156
2018-11-16$80.27$77.0019.6%5.6%29.5%12.8%24.3%5.9%0.6%20.7K127.7K-4.7K0.64148.14N/AN/A192122241156
2018-11-19$78.00$77.0026.8%7.7%31.0%21.1%26.2%-3.1%-6.1%16.5K204.9K-4.2K0.62145.56N/AN/A189117235151
2018-11-20$77.09$77.0027.0%7.7%31.1%21.3%28.7%5.1%-7.0%14.1K288.2K-4.3K0.61143.34N/AN/A191117235151
2018-11-21$77.94$77.0022.2%6.4%28.3%15.8%30.6%31.8%2.3%12.1K321.2K-4.1K0.61150.56N/AN/A191117237151
2018-11-23$77.27$77.0029.0%8.3%27.5%23.6%33.3%12.2%-8.8%15.3K240.2K-4.4K0.61151.46N/AN/A191117237151
2018-11-26$78.67$77.0023.4%6.7%25.9%17.2%24.8%11.9%-2.8%15.0K372.9K-3.8K0.61120.94N/AN/A191117237151
2018-11-27$79.00$77.0022.0%6.3%24.4%15.6%23.4%14.0%-3.6%18.4K308.9K-3.8K0.59114.01N/AN/A191113237151
2018-11-28$80.61$77.0033.2%9.5%22.5%28.5%24.6%33.7%-12.6%15.0K41.9K-4.5K0.59135.50N/AN/A193113237157
2018-11-29$81.15$77.0034.3%9.8%19.6%29.7%32.3%10.9%-9.3%19.9K-68.9K-4.8K0.61139.82N/AN/A184113240157
2018-11-30$80.93$77.0040.4%11.6%19.6%36.7%35.1%31.9%-12.8%22.6K-121.2K-5.0K0.61142.78N/AN/A185113240157