VOX Options History — May 2019

In May 2019, VOX traded between $83.70 and $88.77. ATM implied volatility averaged 18.5%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.0% (HV 20d: 16.5%). Max pain ranged from $83.00 to $84.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.09.

Notable Days

  • 2019-05-14: Highest Volume — 169 contracts
  • 2019-05-15: Largest IV drop — 53.5% change
  • 2019-05-14: Highest IV Rank — 29.2%
  • 2019-05-10: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.64$83.70$88.77$88.19$83.70
Max Pain$83.13$83.00$84.00$83.00$83.00
ATM IV18.5%12.6%33.8%12.6%18.5%
Expected Move4.7%3.5%6.0%3.6%5.3%
HV 20d16.5%11.0%19.4%11.0%18.3%
HV 60d13.0%11.2%14.4%11.5%14.4%
IV Rank11.5%4.7%29.2%4.7%11.5%
IV Percentile37.5%12.7%83.3%12.7%38.9%
Term Structure-0.8%-4.3%2.9%0.4%0.2%
VWIV15.9%11.2%19.9%11.2%15.6%
Skew 25d4.4%-1.7%10.3%0.4%1.9%
Skew 10d4.7%-3.6%10.2%5.9%-0.0%
Call IV 25d13.2%8.0%17.8%8.0%12.3%
Put IV 25d17.6%8.5%22.7%8.5%14.3%
Bid-Ask Spread %121.54101.72137.77122.97118.22
Gamma HHI0.310.110.540.500.12
Net GEX132.3K63.0K226.8K192.0K63.0K
Net DEX-1.2M-1.7M-755.1K-1.6M-755.1K
Net VEX-2.7K-3.1K-2.3K-2.8K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.000.440.000.13
Total Volume33.36401693835
Total OI280.364229340301238

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-05-01$88.19$83.0012.6%3.6%11.0%4.7%11.2%0.4%0.4%192.0K-1.6M-2.8K0.00122.97N/AN/A38027823
2019-05-02$87.41$83.0014.4%4.1%11.6%6.8%13.6%4.4%-0.2%191.1K-1.4M-3.0K0.03123.59N/AN/A38128923
2019-05-03$88.73$83.0012.7%3.7%12.5%4.9%13.2%3.4%-1.3%223.8K-1.7M-3.1K0.03119.74N/AN/A38129924
2019-05-06$88.77$0.0017.7%3.5%12.5%10.6%0.0%7.7%-2.9%185.6K-1.7M-3.0K0.00115.01N/AN/A0029924
2019-05-07$87.12$0.0018.8%4.7%14.4%11.8%0.0%1.3%-2.6%191.8K-1.5M-3.1K0.00101.72N/AN/A100029924
2019-05-08$87.47$0.0025.6%5.6%14.4%19.7%0.0%2.2%-4.3%135.4K-1.3M-2.8K0.00116.87N/AN/A103027224
2019-05-09$87.22$0.0021.8%5.3%14.4%15.4%0.0%10.3%-0.3%148.8K-1.2M-2.9K0.00116.21N/AN/A109027524
2019-05-10$87.19$0.0021.6%6.0%14.4%15.1%0.0%5.9%-2.3%152.8K-1.2M-2.8K0.00130.94N/AN/A0027524
2019-05-13$84.85$0.0032.6%5.6%16.9%27.7%19.1%4.8%0.7%99.5K-920.4K-2.8K0.00123.99N/AN/A0527524
2019-05-14$85.34$84.0033.8%5.2%17.1%29.2%15.8%1.4%-2.5%112.4K-956.1K-2.6K0.04120.18N/AN/A162727528
2019-05-15$86.92$84.0015.7%4.5%18.5%8.3%15.9%2.7%0.3%180.4K-1.2M-2.6K0.00131.48N/AN/A19029328
2019-05-16$87.59$83.0012.9%3.7%18.7%5.1%14.5%4.0%2.9%215.8K-1.6M-2.5K0.00116.80N/AN/A19031228
2019-05-17$87.22$83.0014.8%4.2%18.7%7.3%17.9%3.6%0.3%226.8K-1.4M-2.7K0.00132.51N/AN/A24031228
2019-05-20$86.42$83.0018.3%5.3%18.9%11.3%0.0%2.1%-0.0%69.2K-1.1M-2.7K0.00125.45N/AN/A0020524
2019-05-21$87.17$83.0016.5%4.7%18.9%9.3%0.0%8.0%0.8%74.6K-1.1M-2.5K0.00137.77N/AN/A0020524
2019-05-22$87.13$83.0014.6%4.2%18.9%7.1%0.0%-1.7%0.4%76.9K-1.1M-2.6K0.00135.23N/AN/A0320524
2019-05-23$85.65$83.0015.5%4.5%19.4%8.1%0.0%6.2%2.7%73.6K-988.7K-2.6K0.00114.37N/AN/A0320527
2019-05-24$85.94$83.0016.4%4.7%19.4%9.1%0.0%7.5%-4.3%75.6K-1.0M-2.6K0.00108.89N/AN/A0320527
2019-05-28$85.90$83.0016.8%4.8%19.0%9.6%0.0%5.7%-0.7%73.1K-1.1M-2.5K0.00127.63N/AN/A0020527
2019-05-29$85.11$83.0018.5%5.3%17.7%11.5%19.9%9.5%-3.7%72.5K-929.1K-2.5K0.44116.90N/AN/A9420527
2019-05-30$85.12$83.0016.9%4.9%17.7%9.7%18.3%5.1%-2.0%76.3K-923.2K-2.3K0.44117.47N/AN/A9420531
2019-05-31$83.70$83.0018.5%5.3%18.3%11.5%15.6%1.9%0.2%63.0K-755.1K-2.5K0.13118.22N/AN/A31420731