VOX Options History — April 2019

In April 2019, VOX traded between $84.51 and $90.50. ATM implied volatility averaged 12.2%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 2.7% (HV 20d: 9.5%). Max pain ranged from $83.00 to $83.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.27.

Notable Days

  • 2019-04-30: Highest Volume — 127 contracts
  • 2019-04-08: Largest IV spike — 42.7% change
  • 2019-04-03: Highest IV Rank — 7.5%
  • 2019-04-02: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.35$84.51$90.50$84.51$88.47
Max Pain$83.00$83.00$83.00$83.00$83.00
ATM IV12.2%9.7%15.0%13.3%12.5%
Expected Move3.5%2.9%4.1%3.6%3.6%
HV 20d9.5%6.3%12.6%12.6%10.9%
HV 60d13.4%10.4%16.2%16.2%11.5%
IV Rank4.3%1.4%7.5%5.6%4.7%
IV Percentile9.8%1.6%20.6%11.9%11.9%
Term Structure0.9%-1.6%5.5%0.6%-1.5%
VWIV13.2%9.2%19.8%14.1%12.1%
Skew 25d3.6%-1.8%14.5%2.1%5.0%
Skew 10d3.6%-3.8%11.0%-2.5%-3.0%
Call IV 25d10.9%6.7%16.4%15.0%7.8%
Put IV 25d14.6%9.8%21.1%17.1%12.8%
Bid-Ask Spread %127.3883.30155.61148.32122.71
Gamma HHI0.200.130.330.180.26
Net GEX77.8K25.3K143.7K143.7K64.1K
Net DEX-2.3M-3.3M-827.5K-2.6M-1.1M
Net VEX-1.8K-3.0K-975-3.0K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.001.000.630.00
Total Volume21.667312710127
Total OI449.857136594579201

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-04-01$84.51$83.0013.3%3.6%12.6%5.6%0.0%2.1%0.6%143.7K-2.6M-3.0K0.00148.32N/AN/A010404175
2019-04-02$84.94$83.0012.8%4.1%12.4%5.0%0.0%4.4%1.1%131.5K-2.7M-2.6K0.6383.30N/AN/A1610404185
2019-04-03$85.25$83.0015.0%3.7%12.3%7.5%0.0%1.7%0.9%125.3K-2.8M-2.5K1.00150.09N/AN/A1717409185
2019-04-04$85.78$83.0014.7%3.6%11.8%7.1%14.1%14.5%-0.1%130.0K-2.9M-2.3K0.85116.33N/AN/A2017409184
2019-04-05$86.07$83.0010.5%3.8%11.8%2.3%14.3%7.8%-0.4%95.4K-3.0M-2.1K0.8585.53N/AN/A2017409184
2019-04-08$85.98$83.0014.9%3.6%10.2%7.4%0.0%3.4%-0.3%106.9K-2.9M-2.1K0.00155.61N/AN/A30409184
2019-04-09$86.15$83.009.7%3.8%9.9%1.4%0.0%5.3%1.0%86.9K-3.0M-1.9K0.6792.48N/AN/A32410184
2019-04-10$86.62$83.0012.2%3.5%10.0%4.3%0.0%2.4%1.6%88.1K-3.1M-1.8K0.50153.51N/AN/A42410184
2019-04-11$86.70$83.0011.0%3.1%9.8%2.9%0.0%6.2%3.6%97.8K-3.0M-2.1K0.50114.42N/AN/A42410184
2019-04-12$87.54$83.0011.5%3.3%10.2%3.5%0.0%0.7%-1.0%69.3K-3.3M-1.4K0.40150.40N/AN/A52409184
2019-04-15$87.62$83.0013.0%3.7%9.7%5.2%13.6%3.0%-1.2%63.4K-3.3M-1.4K0.0096.85N/AN/A70409184
2019-04-16$87.74$83.0010.1%2.9%9.5%1.9%12.0%-1.8%5.5%60.8K-3.3M-1.3K0.00140.00N/AN/A70410184
2019-04-17$87.73$83.0010.9%3.1%8.9%2.8%19.8%0.4%2.6%74.8K-3.2M-1.2K0.00155.13N/AN/A100410184
2019-04-18$87.83$83.0011.2%3.2%8.6%3.2%15.0%1.8%1.9%68.7K-3.3M-1.1K0.00152.68N/AN/A100408184
2019-04-22$88.22$83.0010.0%2.9%6.6%1.8%0.0%2.6%2.3%25.3K-827.5K-1.1K0.00112.33N/AN/A10011422
2019-04-23$88.98$83.0012.2%3.5%6.8%4.3%13.9%3.2%0.1%30.1K-937.4K-9750.00145.46N/AN/A6012422
2019-04-24$88.65$83.0011.1%3.2%7.1%3.0%10.9%5.7%0.7%30.0K-891.9K-1.5K0.00119.33N/AN/A24012922
2019-04-25$89.33$83.0012.0%3.5%7.2%4.1%9.2%4.8%2.7%45.8K-975.6K-1.6K0.04129.66N/AN/A27114822
2019-04-26$89.73$83.0013.4%3.8%6.3%5.6%11.7%-0.4%-0.6%50.0K-1.0M-1.6K0.04120.72N/AN/A27115423
2019-04-29$90.50$83.0013.6%3.9%6.4%5.9%12.2%3.6%-1.6%46.5K-1.1M-1.4K0.00130.18N/AN/A27015423
2019-04-30$88.47$83.0012.5%3.6%10.9%4.7%12.1%5.0%-1.5%64.1K-1.1M-1.9K0.00122.71N/AN/A127017823