VOX Options History — December 2018

In December 2018, VOX traded between $69.86 and $80.99. ATM implied volatility averaged 32.5%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 9.2% (HV 20d: 23.3%). Max pain ranged from $77.00 to $84.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.05.

Notable Days

  • 2018-12-24: Highest Volume — 213 contracts
  • 2018-12-12: Largest IV drop — 59.8% change
  • 2018-12-11: Highest IV Rank — 46.1%
  • 2018-12-03: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.94$69.86$80.99$80.99$73.80
Max Pain$80.75$77.00$84.00$77.00$79.00
ATM IV32.5%19.5%48.5%37.8%37.0%
Expected Move8.3%5.6%10.8%10.8%10.6%
HV 20d23.3%19.6%29.6%19.6%28.4%
HV 60d24.1%22.1%26.9%22.1%26.8%
IV Rank27.6%12.7%46.1%33.7%32.9%
IV Percentile71.6%25.4%96.4%86.9%86.9%
Term Structure-6.3%-21.4%6.1%-4.0%-6.2%
VWIV41.5%14.3%73.5%14.3%41.5%
Skew 25d1.7%-23.2%32.9%2.4%2.0%
Skew 10d1.8%-38.6%31.0%10.0%-5.5%
Call IV 25d33.2%13.7%55.5%49.6%55.5%
Put IV 25d34.9%17.1%57.5%52.0%57.5%
Bid-Ask Spread %136.01111.52152.21147.20143.61
Gamma HHI0.240.100.450.120.29
Net GEX29.0K1.4K73.9K23.2K43.6K
Net DEX225.3K-218.2K686.5K-218.2K76.0K
Net VEX-3.5K-5.1K-1.5K-5.0K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.050.000.430.000.00
Total Volume45.85121312
Total OI487.8397585398541

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$80.99$77.0037.8%10.8%19.6%33.7%0.0%2.4%-4.0%23.2K-218.2K-5.0K0.00147.20N/AN/A10241157
2018-12-04$78.50$77.0027.6%7.9%22.5%22.0%0.0%-14.8%-18.9%13.2K200.5K-3.9K0.00152.21N/AN/A10241157
2018-12-05$78.39$77.0028.8%8.3%22.3%23.4%0.0%-13.3%-21.4%13.7K188.2K-3.9K0.00152.21N/AN/A10241157
2018-12-06$78.91$84.0041.8%7.6%21.4%38.3%0.0%7.9%-9.6%16.7K218.1K-4.2K0.00140.07N/AN/A20242157
2018-12-07$78.28$84.0040.7%5.7%21.0%37.1%0.0%1.5%6.1%15.1K224.2K-4.0K0.00144.31N/AN/A50242157
2018-12-10$78.05$84.0036.8%6.7%20.7%32.6%0.0%-2.7%-6.5%14.3K438.1K-3.4K0.00139.56N/AN/A40244157
2018-12-11$78.32$84.0048.5%7.1%20.3%46.1%0.0%21.9%-3.4%14.4K237.0K-3.8K0.00147.00N/AN/A40240157
2018-12-12$79.07$84.0019.5%5.6%20.6%12.7%14.3%7.1%0.7%24.4K288.3K-3.4K0.00111.52N/AN/A1920240157
2018-12-13$78.02$83.0026.6%7.6%21.0%20.8%35.5%2.0%-5.0%73.9K-77.3K-5.1K0.00145.46N/AN/A1920428157
2018-12-14$76.99$83.0026.3%7.5%21.4%20.5%21.6%12.1%-2.2%70.0K19.5K-4.9K0.00130.84N/AN/A1920428157
2018-12-17$74.99$80.0024.6%7.1%22.9%18.6%0.0%-15.2%-3.5%54.9K76.6K-3.9K0.00128.07N/AN/A50428125
2018-12-18$76.23$80.0028.4%8.1%21.9%22.9%0.0%32.9%-1.7%65.2K-176.0K-4.5K0.00143.69N/AN/A50424125
2018-12-19$74.56$80.0032.3%9.2%22.9%27.4%0.0%-23.2%-12.9%46.5K65.9K-3.8K0.00136.56N/AN/A70424125
2018-12-20$73.24$80.0026.6%7.6%23.0%20.8%0.0%14.4%-0.7%14.2K558.1K-2.2K0.00115.93N/AN/A110424125
2018-12-21$70.92$80.0030.4%8.7%25.2%25.3%0.0%8.7%-4.2%1.4K686.5K-1.5K0.27111.73N/AN/A154429125
2018-12-24$69.86$80.0027.3%7.8%24.0%21.6%61.9%-2.1%-1.3%2.6K653.2K-1.5K0.02120.80N/AN/A2094397122
2018-12-26$72.95$80.0036.3%10.4%29.6%32.0%73.5%-2.7%-12.7%15.1K492.2K-2.3K0.43134.50N/AN/A73400122
2018-12-27$73.22$80.0036.6%10.5%28.4%32.4%42.3%2.2%-8.1%24.3K354.8K-2.7K0.10133.96N/AN/A293400122
2018-12-28$73.54$79.0035.4%10.1%28.2%31.0%41.5%-7.4%-9.8%34.1K200.4K-3.2K0.27140.94N/AN/A154419122
2018-12-31$73.80$79.0037.0%10.6%28.4%32.9%0.0%2.0%-6.2%43.6K76.0K-3.2K0.00143.61N/AN/A20424117