VOX Options History — July 2019

In July 2019, VOX traded between $87.26 and $91.62. ATM implied volatility averaged 13.4%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.3% (HV 20d: 12.1%). Max pain ranged from $76.00 to $90.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.31.

Notable Days

  • 2019-07-19: Highest Volume — 32 contracts
  • 2019-07-31: Largest IV spike — 29.7% change
  • 2019-07-31: Highest IV Rank — 9.4%
  • 2019-07-31: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.32$87.26$91.62$87.26$89.99
Max Pain$88.09$76.00$90.00$76.00$90.00
ATM IV13.4%11.1%16.7%14.0%16.7%
Expected Move3.8%3.2%4.8%4.0%4.8%
HV 20d12.1%10.9%14.6%12.5%14.4%
HV 60d16.4%15.9%16.8%16.0%16.6%
IV Rank5.7%3.0%9.4%6.3%9.4%
IV Percentile19.4%5.2%40.1%22.2%40.1%
Term Structure0.6%-4.3%4.8%-1.1%-2.7%
VWIV12.5%11.3%13.6%11.3%13.6%
Skew 25d3.5%-1.6%9.5%1.0%-1.6%
Skew 10d6.6%-3.5%11.7%-3.5%-1.0%
Call IV 25d11.9%7.1%16.2%15.2%13.5%
Put IV 25d15.3%10.8%21.1%16.2%11.9%
Bid-Ask Spread %116.1081.75143.49126.12143.49
Gamma HHI0.220.170.350.170.17
Net GEX67.1K46.1K84.2K74.9K62.9K
Net DEX-1.2M-1.6M-637.3K-1.3M-986.9K
Net VEX-2.4K-2.9K-2.2K-2.5K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.001.000.000.00
Total Volume11.136032731
Total OI216.273142265252181

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$87.26$76.0014.0%4.0%12.5%6.3%0.0%1.0%-1.1%74.9K-1.3M-2.5K0.00126.12N/AN/A7022329
2019-07-02$88.10$76.0013.1%3.7%11.0%5.3%11.3%6.7%2.3%76.1K-1.3M-2.5K0.57116.42N/AN/A7422329
2019-07-03$88.73$76.0011.3%3.2%11.1%3.2%0.0%-0.1%-4.3%68.1K-1.4M-2.4K0.57117.16N/AN/A7422429
2019-07-05$89.15$90.0014.5%4.0%11.0%6.9%13.6%5.6%0.1%72.7K-1.5M-2.4K0.5781.75N/AN/A7422429
2019-07-08$88.40$90.0015.9%3.5%11.2%8.5%0.0%3.4%1.6%74.8K-1.4M-2.4K0.0091.62N/AN/A0022425
2019-07-09$88.72$90.0013.8%3.9%11.2%6.1%0.0%0.4%-0.5%84.2K-1.4M-2.3K0.0098.44N/AN/A0122425
2019-07-10$89.80$90.0011.8%3.4%11.7%3.8%0.0%3.5%1.9%74.5K-1.5M-2.3K1.00139.91N/AN/A1122426
2019-07-11$89.66$90.0013.7%3.9%11.5%6.0%0.0%5.6%-0.5%76.2K-1.5M-2.2K1.00113.10N/AN/A1122426
2019-07-12$90.26$90.0011.5%3.3%11.4%3.5%0.0%5.6%4.3%78.9K-1.6M-2.2K0.1495.80N/AN/A7122426
2019-07-15$90.34$90.0012.2%3.5%11.4%4.2%0.0%5.0%-2.7%76.5K-1.6M-2.2K0.0098.18N/AN/A2022726
2019-07-16$90.38$90.0011.1%3.2%11.1%3.0%0.0%3.7%4.1%82.8K-1.6M-2.2K0.75117.54N/AN/A4322826
2019-07-17$89.59$90.0012.3%3.5%11.6%4.4%0.0%6.9%2.1%79.3K-1.6M-2.2K0.43121.05N/AN/A7322926
2019-07-18$88.75$90.0011.6%3.3%12.2%3.6%0.0%0.4%1.3%72.5K-1.5M-2.2K0.18132.02N/AN/A17322926
2019-07-19$88.12$90.0012.3%3.5%12.5%4.4%0.0%0.5%0.7%79.1K-1.4M-2.4K0.10119.97N/AN/A29323926
2019-07-22$87.94$90.0015.4%4.4%12.5%7.9%0.0%2.6%4.8%46.1K-637.3K-2.5K0.00107.20N/AN/A201339
2019-07-23$88.28$90.0016.0%4.6%12.6%8.7%0.0%7.6%-1.4%46.2K-645.8K-2.5K0.00101.91N/AN/A701359
2019-07-24$89.27$90.0013.1%3.7%11.1%5.3%0.0%1.1%0.9%52.7K-709.8K-2.6K0.23129.02N/AN/A1331419
2019-07-25$89.12$90.0015.0%4.3%10.9%7.5%0.0%2.8%-1.0%48.1K-704.4K-2.5K0.21114.76N/AN/A14313712
2019-07-26$91.62$90.0014.5%4.1%14.1%6.9%0.0%4.2%2.4%48.4K-883.8K-2.3K0.20142.23N/AN/A15313812
2019-07-29$90.97$90.0012.7%3.6%14.6%4.8%0.0%2.4%0.4%48.3K-834.1K-2.4K0.00106.29N/AN/A0013912
2019-07-30$90.50$90.0012.8%3.7%14.5%5.0%0.0%9.5%-0.3%52.1K-804.0K-2.4K0.00140.28N/AN/A30013912
2019-07-31$89.99$90.0016.7%4.8%14.4%9.4%0.0%-1.6%-2.7%62.9K-986.9K-2.9K0.00143.49N/AN/A31016912