VOX Options History — June 2019

In June 2019, VOX traded between $81.18 and $87.42. ATM implied volatility averaged 16.6%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 2.5% (HV 20d: 19.1%). Max pain ranged from $76.00 to $84.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.13.

Notable Days

2019-06-07: Highest Volume — 23 contracts
2019-06-04: Largest IV drop — 32.0% change
2019-06-03: Highest IV Rank — 19.0%
2019-06-03: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.24	$81.18	$87.42	$81.18	$86.34
Max Pain	$77.20	$76.00	$84.00	$84.00	$76.00
ATM IV	16.6%	12.8%	25.0%	25.0%	14.2%
Expected Move	4.7%	3.7%	7.2%	7.2%	4.1%
HV 20d	19.1%	17.2%	21.7%	19.7%	17.2%
HV 60d	15.8%	15.6%	16.2%	15.6%	15.9%
IV Rank	9.4%	5.0%	19.0%	19.0%	6.6%
IV Percentile	32.7%	13.9%	59.1%	59.1%	23.4%
Term Structure	-0.6%	-11.4%	6.2%	-11.4%	2.5%
VWIV	17.5%	12.7%	23.3%	23.3%	17.8%
Skew 25d	3.4%	-4.8%	9.1%	-4.8%	5.7%
Skew 10d	7.3%	-5.4%	15.1%	-5.4%	3.6%
Call IV 25d	15.6%	11.5%	22.6%	22.5%	16.2%
Put IV 25d	19.1%	13.1%	23.7%	17.8%	22.0%
Bid-Ask Spread %	117.69	105.79	132.46	126.78	122.46
Gamma HHI	0.15	0.11	0.23	0.12	0.15
Net GEX	80.4K	51.8K	139.1K	51.8K	66.1K
Net DEX	-996.3K	-1.4M	-527.3K	-527.3K	-1.2M
Net VEX	-2.5K	-2.8K	-2.1K	-2.3K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	0.35	0.31	0.00
Total Volume	16.05	6	23	21	22
Total OI	251.6	228	268	246	252

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2019-06-03	$81.18	$84.00	25.0%	7.2%	19.7%	19.0%	23.3%	-4.8%	-11.4%	51.8K	-527.3K	-2.3K	0.31	126.78	N/A	N/A	16	5	215	31
2019-06-04	$82.90	$84.00	17.0%	4.9%	21.7%	9.8%	17.7%	1.2%	-2.3%	60.9K	-701.3K	-2.5K	0.31	132.28	N/A	N/A	16	5	219	31
2019-06-05	$83.01	$84.00	18.7%	5.4%	20.9%	11.7%	20.2%	6.3%	-3.7%	69.6K	-728.2K	-2.4K	0.31	132.46	N/A	N/A	16	5	219	31
2019-06-06	$83.48	$76.00	17.5%	5.0%	21.0%	10.4%	16.3%	1.3%	-2.0%	62.8K	-756.3K	-2.5K	0.31	115.43	N/A	N/A	16	5	218	31
2019-06-07	$84.53	$76.00	17.3%	5.0%	21.7%	10.2%	17.3%	1.7%	1.6%	68.1K	-906.9K	-2.4K	0.35	114.06	N/A	N/A	17	6	218	31
2019-06-10	$84.47	$76.00	21.0%	4.5%	21.7%	14.4%	0.0%	9.1%	6.2%	75.6K	-879.0K	-2.6K	0.00	115.25	N/A	N/A	11	0	219	32
2019-06-11	$84.60	$76.00	20.1%	5.0%	19.4%	13.4%	0.0%	7.1%	-2.3%	71.9K	-888.3K	-2.5K	0.00	107.86	N/A	N/A	11	0	220	32
2019-06-12	$84.26	$76.00	18.0%	5.2%	19.3%	11.0%	0.0%	5.0%	-2.6%	69.6K	-859.7K	-2.5K	0.00	121.25	N/A	N/A	11	0	220	32
2019-06-13	$84.97	$76.00	16.2%	4.6%	18.3%	8.8%	15.6%	4.4%	0.2%	77.8K	-894.9K	-2.4K	0.00	105.79	N/A	N/A	12	0	220	32
2019-06-14	$85.47	$76.00	17.4%	5.0%	18.2%	10.3%	16.6%	7.5%	-0.8%	86.4K	-980.1K	-2.4K	0.00	114.53	N/A	N/A	12	0	221	32
2019-06-17	$86.30	$76.00	14.9%	4.3%	18.6%	7.4%	0.0%	2.6%	1.0%	139.1K	-1.1M	-2.1K	0.20	110.46	N/A	N/A	5	1	218	32
2019-06-18	$87.01	$76.00	14.7%	4.2%	18.6%	7.1%	0.0%	2.2%	-0.4%	108.7K	-1.3M	-2.3K	0.18	116.44	N/A	N/A	11	2	223	33
2019-06-19	$87.11	$76.00	13.7%	3.9%	18.3%	5.9%	0.0%	3.9%	2.5%	97.7K	-1.3M	-2.4K	0.22	126.72	N/A	N/A	9	2	233	34
2019-06-20	$87.40	$76.00	12.8%	3.7%	18.3%	5.0%	12.7%	1.0%	3.3%	120.0K	-1.3M	-2.4K	0.17	120.52	N/A	N/A	12	2	234	34
2019-06-21	$87.42	$76.00	14.7%	4.2%	17.2%	7.1%	17.8%	-1.5%	-1.6%	124.1K	-1.4M	-2.4K	0.17	110.38	N/A	N/A	12	2	233	34
2019-06-24	$87.30	$76.00	13.3%	3.8%	17.2%	5.5%	0.0%	7.6%	3.4%	62.4K	-1.1M	-2.4K	0.00	110.24	N/A	N/A	18	0	199	29
2019-06-25	$85.79	$76.00	13.4%	3.9%	18.3%	5.7%	0.0%	0.6%	1.5%	64.8K	-1.1M	-2.7K	0.00	115.16	N/A	N/A	18	0	217	29
2019-06-26	$85.33	$76.00	17.3%	5.0%	18.1%	10.1%	0.0%	3.0%	-4.6%	65.8K	-1.0M	-2.7K	0.00	118.07	N/A	N/A	20	0	217	29
2019-06-27	$85.90	$76.00	15.6%	4.5%	18.3%	8.1%	0.0%	4.6%	-2.8%	64.8K	-1.1M	-2.6K	0.00	117.62	N/A	N/A	21	0	219	29
2019-06-28	$86.34	$76.00	14.2%	4.1%	17.2%	6.6%	0.0%	5.7%	2.5%	66.1K	-1.2M	-2.8K	0.00	122.46	N/A	N/A	22	0	223	29