VOX Options History — March 2019

In March 2019, VOX traded between $82.45 and $85.24. ATM implied volatility averaged 14.3%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.8% (HV 20d: 11.5%). Max pain ranged from $70.00 to $83.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.29.

Notable Days

  • 2019-03-11: Highest Volume — 43 contracts
  • 2019-03-18: Largest IV spike — 37.4% change
  • 2019-03-11: Highest IV Rank — 12.7%
  • 2019-03-08: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.83$82.45$85.24$83.02$83.46
Max Pain$76.50$70.00$83.00$76.00$83.00
ATM IV14.3%10.2%19.5%14.6%16.1%
Expected Move4.1%3.3%5.4%4.2%3.8%
HV 20d11.5%9.8%12.4%11.4%11.8%
HV 60d19.8%16.1%22.6%22.6%16.1%
IV Rank6.7%2.0%12.7%7.0%8.7%
IV Percentile13.9%2.0%29.8%13.1%24.2%
Term Structure0.2%-7.7%6.8%-7.7%-0.5%
VWIV15.0%12.5%18.5%13.1%12.5%
Skew 25d4.3%-1.9%7.5%-1.9%3.0%
Skew 10d4.9%-3.4%10.3%-3.4%7.4%
Call IV 25d11.5%7.1%17.3%17.3%11.8%
Put IV 25d15.8%14.2%17.7%15.4%14.8%
Bid-Ask Spread %125.4864.76151.36151.36136.92
Gamma HHI0.190.150.220.180.16
Net GEX111.2K77.9K150.0K77.9K129.5K
Net DEX-1.8M-2.6M-952.9K-1.2M-1.9M
Net VEX-3.9K-4.7K-2.0K-4.7K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.001.780.501.33
Total Volume23.905143628
Total OI533.905476589476589

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$83.02$76.0014.6%4.2%11.4%7.0%0.0%-1.9%-7.7%77.9K-1.2M-4.7K0.50151.36N/AN/A42297179
2019-03-04$82.85$76.0016.5%4.7%11.4%9.2%0.0%3.0%-0.0%79.0K-1.1M-4.5K0.00137.34N/AN/A01298180
2019-03-05$83.54$76.0014.6%4.2%11.6%7.1%0.0%6.0%2.1%92.1K-1.3M-4.3K0.08147.28N/AN/A262298181
2019-03-06$83.28$76.0014.1%4.1%11.4%6.5%0.0%4.1%6.2%87.9K-1.2M-4.3K0.08122.78N/AN/A262301181
2019-03-07$82.54$76.0017.0%4.9%10.6%9.8%0.0%3.5%-0.5%81.0K-1.0M-4.6K0.08131.66N/AN/A262301182
2019-03-08$82.45$76.0018.8%5.4%9.8%11.9%0.0%6.7%-1.7%87.9K-952.9K-4.5K0.08148.63N/AN/A262301182
2019-03-11$83.97$70.0019.5%3.9%11.5%12.7%13.1%4.3%1.1%87.0K-1.4M-3.7K0.00127.48N/AN/A430301182
2019-03-12$84.63$70.0012.9%4.5%11.6%5.1%0.0%6.3%0.7%98.2K-1.9M-3.7K0.0093.56N/AN/A420338182
2019-03-13$84.90$70.0010.6%4.2%11.0%2.5%0.0%6.3%1.1%150.0K-2.6M-2.0K0.00110.37N/AN/A420379182
2019-03-14$84.53$70.0012.4%3.3%11.2%4.5%0.0%2.7%-4.0%113.9K-2.2M-3.9K0.00131.91N/AN/A410379182
2019-03-15$84.43$70.0010.2%4.3%11.2%2.0%0.0%7.5%6.8%129.3K-2.3M-3.1K0.00135.20N/AN/A260379182
2019-03-18$83.92$0.0014.0%3.7%11.4%6.4%0.0%5.9%-1.5%114.5K-1.8M-4.2K0.00142.95N/AN/A40361175
2019-03-19$83.60$0.0011.7%3.3%11.4%3.7%0.0%5.5%0.4%117.7K-1.9M-3.9K0.00137.68N/AN/A100365175
2019-03-20$84.55$0.0013.0%3.6%12.0%5.2%18.5%3.1%-0.7%116.7K-2.1M-3.6K0.38141.25N/AN/A83371175
2019-03-21$85.24$81.0012.2%3.7%11.4%4.2%15.1%3.4%1.2%132.6K-2.5M-2.6K0.08127.45N/AN/A363369178
2019-03-22$84.10$81.0014.2%4.1%12.3%6.6%17.0%1.9%1.6%115.1K-2.3M-4.0K0.1164.76N/AN/A364398178
2019-03-25$84.01$81.0016.9%4.6%12.3%9.7%0.0%4.4%-1.2%129.7K-2.0M-4.1K0.0095.26N/AN/A10395179
2019-03-26$83.99$81.0013.8%4.0%12.2%6.1%14.5%7.3%-1.7%130.1K-2.3M-3.5K0.00127.13N/AN/A30395179
2019-03-27$83.96$81.0013.4%4.0%12.1%5.6%15.4%3.8%1.4%140.7K-2.3M-3.3K1.78102.72N/AN/A916395179
2019-03-28$83.42$83.0014.1%4.2%12.4%6.4%13.3%4.0%0.2%125.0K-1.9M-4.5K1.33121.36N/AN/A1216404185
2019-03-29$83.46$83.0016.1%3.8%11.8%8.7%12.5%3.0%-0.5%129.5K-1.9M-4.3K1.33136.92N/AN/A1216404185