VOX Options History — January 2019

In January 2019, VOX traded between $74.22 and $81.89. ATM implied volatility averaged 31.2%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 4.5% (HV 20d: 26.7%). Max pain ranged from $76.00 to $80.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2019-01-16: Highest Volume — 141 contracts
  • 2019-01-28: Largest IV spike — 82.3% change
  • 2019-01-07: Highest IV Rank — 43.3%
  • 2019-01-30: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.73$74.22$81.89$74.81$81.89
Max Pain$79.69$76.00$80.00$79.00$76.00
ATM IV31.2%19.3%46.1%31.7%37.7%
Expected Move7.8%5.5%10.9%9.1%6.3%
HV 20d26.7%18.1%31.2%29.1%22.6%
HV 60d26.3%23.1%28.2%27.0%24.3%
IV Rank26.1%12.5%43.3%26.8%33.7%
IV Percentile64.1%23.8%95.2%71.8%85.7%
Term Structure-7.9%-16.1%2.1%-14.5%-6.4%
VWIV24.7%8.9%36.2%36.2%28.2%
Skew 25d8.8%-10.9%29.3%8.8%16.6%
Skew 10d13.8%-17.4%41.7%4.8%21.0%
Call IV 25d25.2%11.1%46.2%16.3%12.7%
Put IV 25d34.0%19.7%50.9%25.0%29.3%
Bid-Ask Spread %142.77122.97167.25136.48167.25
Gamma HHI0.240.130.420.150.13
Net GEX27.9K-55.6K109.5K15.4K-17.4K
Net DEX-36.0K-660.5K447.4K387.9K36.3K
Net VEX-3.8K-4.4K-2.3K-2.3K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.003.700.170.00
Total Volume31.048014178
Total OI484.333314691543336

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$74.81$79.0031.7%9.1%29.1%26.8%36.2%8.8%-14.5%15.4K387.9K-2.3K0.17136.48N/AN/A61426117
2019-01-03$74.22$0.0041.3%8.4%27.3%37.8%0.0%2.3%-5.5%29.5K262.3K-2.7K0.20146.14N/AN/A51426118
2019-01-04$77.01$0.0042.2%7.6%30.7%38.8%0.0%10.3%-3.1%58.6K-198.9K-3.7K0.20137.78N/AN/A51427118
2019-01-07$77.99$0.0046.1%7.2%31.0%43.3%0.0%13.6%-4.8%73.8K-449.1K-3.7K0.00141.99N/AN/A10427118
2019-01-08$79.02$0.0045.8%7.9%31.2%42.9%0.0%11.8%-7.9%78.0K-473.9K-3.7K0.00135.06N/AN/A30428118
2019-01-09$78.94$0.0025.1%7.2%31.2%19.2%26.9%11.2%-4.2%84.2K-660.5K-3.9K0.00140.97N/AN/A90430118
2019-01-10$79.32$80.0028.2%8.1%31.2%22.6%28.9%9.0%-6.0%82.3K-513.8K-3.6K0.77137.00N/AN/A2620433118
2019-01-11$79.24$80.0025.4%7.3%31.1%19.5%24.4%15.8%-8.5%92.8K-431.3K-3.6K0.77134.35N/AN/A2620453138
2019-01-14$78.81$80.0026.8%7.7%30.7%21.1%0.0%16.8%-8.4%84.2K-399.6K-3.4K0.00150.62N/AN/A00453138
2019-01-15$79.91$80.0025.1%7.2%30.6%19.1%18.2%-0.3%-10.8%109.5K-586.6K-3.3K1.00148.12N/AN/A2929453138
2019-01-16$79.67$80.0027.4%7.8%28.8%21.7%32.6%1.0%-9.8%88.4K-398.9K-3.6K3.70150.02N/AN/A30111432167
2019-01-17$79.77$80.0019.3%5.5%28.4%12.5%8.9%8.3%-5.7%1.3K243.9K-4.3K3.70122.97N/AN/A30111433258
2019-01-18$80.35$80.0028.6%8.2%26.9%23.1%18.5%1.5%-6.1%-55.6K22.6K-4.4K2.86140.47N/AN/A36103433258
2019-01-22$78.65$80.0031.0%8.9%27.3%25.9%0.0%29.3%-9.7%-19.6K306.3K-4.2K0.00148.12N/AN/A00127187
2019-01-23$78.81$80.0024.8%7.1%23.9%18.7%0.0%1.0%2.1%-19.3K333.7K-4.2K0.00133.14N/AN/A05127187
2019-01-24$78.94$80.0031.3%9.0%22.7%26.3%0.0%16.0%-16.1%-23.6K447.4K-4.0K1.00151.46N/AN/A55127192
2019-01-25$79.81$80.0019.6%5.6%18.1%12.8%0.0%3.6%-4.7%-20.2K293.9K-4.1K0.63127.41N/AN/A85132192
2019-01-28$78.94$80.0035.8%10.3%18.9%31.4%0.0%14.5%-13.2%-20.3K303.2K-4.1K0.00151.00N/AN/A30135192
2019-01-29$78.11$80.0023.9%6.9%19.6%17.8%0.0%-10.9%-8.5%-19.9K437.9K-4.0K0.00147.93N/AN/A40138192
2019-01-30$79.08$80.0037.9%10.9%19.9%33.8%0.0%4.6%-14.6%-17.2K281.2K-4.1K0.00149.97N/AN/A60139192
2019-01-31$81.89$76.0037.7%6.3%22.6%33.7%28.2%16.6%-6.4%-17.4K36.3K-4.0K0.00167.25N/AN/A80144192