VOX Options History — August 2019

In August 2019, VOX traded between $84.64 and $89.37. ATM implied volatility averaged 22.3%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 1.5% (HV 20d: 20.8%). Max pain ranged from $88.00 to $90.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.08.

Notable Days

  • 2019-08-01: Highest Volume — 31 contracts
  • 2019-08-13: Largest IV spike — 51.3% change
  • 2019-08-13: Highest IV Rank — 31.0%
  • 2019-08-01: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.68$84.64$89.37$89.37$87.07
Max Pain$88.18$88.00$90.00$90.00$88.00
ATM IV22.3%14.8%35.4%26.3%17.2%
Expected Move5.7%4.0%7.5%7.5%4.9%
HV 20d20.8%14.5%23.4%14.5%22.9%
HV 60d17.4%16.2%18.7%16.2%17.0%
IV Rank15.5%6.0%31.0%20.5%8.8%
IV Percentile56.8%29.8%88.1%69.0%40.5%
Term Structure-2.0%-9.9%6.9%-9.9%-2.0%
VWIV19.9%13.6%25.1%20.9%13.6%
Skew 25d8.2%2.2%12.6%11.5%6.3%
Skew 10d8.0%-4.1%15.3%-4.1%3.8%
Call IV 25d13.3%8.4%19.1%11.8%9.9%
Put IV 25d21.5%16.2%26.1%23.3%16.2%
Bid-Ask Spread %139.81107.36156.57148.18150.74
Gamma HHI0.160.150.170.160.15
Net GEX60.9K53.3K69.6K55.3K68.9K
Net DEX-827.6K-971.7K-688.4K-971.7K-951.2K
Net VEX-3.6K-4.0K-3.0K-3.0K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.750.000.00
Total Volume5.409031311
Total OI212.727182229182229

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$89.37$90.0026.3%7.5%14.5%20.5%0.0%11.5%-9.9%55.3K-971.7K-3.0K0.00148.18N/AN/A31017012
2019-08-02$88.33$90.0018.1%5.2%15.0%11.1%0.0%4.6%-3.7%55.7K-846.1K-3.1K0.05139.51N/AN/A21117012
2019-08-05$85.73$88.0027.2%5.4%18.1%21.6%20.9%3.3%2.6%55.3K-763.2K-3.5K0.75120.13N/AN/A4319113
2019-08-06$86.73$88.0027.4%5.7%18.6%21.8%0.0%5.9%-2.7%55.3K-812.8K-3.7K0.00147.15N/AN/A0019216
2019-08-07$86.74$88.0032.7%5.7%18.0%27.8%0.0%9.3%-4.9%59.2K-793.2K-3.6K0.00153.65N/AN/A0019216
2019-08-08$88.13$88.0021.3%5.0%19.0%14.8%0.0%10.5%-0.1%65.8K-906.3K-3.5K0.00132.32N/AN/A0019216
2019-08-09$87.66$88.0021.6%4.0%18.9%15.0%0.0%8.7%4.7%62.6K-862.8K-3.6K0.00125.98N/AN/A0019216
2019-08-12$86.44$88.0023.4%6.9%19.4%17.2%0.0%7.1%-7.1%54.0K-796.7K-3.6K0.00140.76N/AN/A1019216
2019-08-13$87.48$88.0035.4%5.2%20.0%31.0%0.0%11.6%2.4%61.3K-844.7K-3.5K0.00147.59N/AN/A0019316
2019-08-14$84.92$88.0023.5%6.7%22.2%17.3%25.1%6.9%-0.2%54.2K-688.8K-3.4K0.05136.71N/AN/A22119316
2019-08-15$85.21$88.0022.9%6.6%22.2%16.7%0.0%10.8%-1.9%53.3K-688.4K-3.5K0.00136.45N/AN/A0019216
2019-08-16$86.09$88.0019.7%5.6%22.5%12.9%0.0%5.3%-3.9%57.0K-772.6K-3.5K0.00147.62N/AN/A0019216
2019-08-19$87.43$88.0017.8%5.1%23.3%10.7%0.0%11.5%-0.8%61.9K-842.8K-3.4K0.00108.08N/AN/A3019015
2019-08-20$86.78$88.0018.2%5.2%23.4%11.2%0.0%10.0%-1.6%65.1K-832.4K-3.4K0.00107.36N/AN/A20019315
2019-08-21$86.93$88.0017.9%5.1%23.0%10.8%0.0%9.1%-1.4%67.9K-916.4K-4.0K0.00155.49N/AN/A0021315
2019-08-22$86.93$88.0014.8%4.2%23.0%6.0%0.0%8.6%6.9%69.6K-907.7K-3.9K0.00156.57N/AN/A0021315
2019-08-23$84.64$88.0021.8%6.3%22.0%14.1%0.0%9.7%-6.2%62.6K-752.7K-3.8K0.00150.03N/AN/A2021315
2019-08-26$85.43$88.0021.6%6.2%22.4%13.9%0.0%9.6%-1.4%64.3K-747.9K-3.7K0.00143.95N/AN/A8021115
2019-08-27$85.73$88.0022.2%6.4%22.5%14.6%0.0%12.6%-2.0%63.5K-809.1K-3.8K0.00120.91N/AN/A0121315
2019-08-28$86.03$88.0020.0%5.7%22.6%12.1%0.0%6.5%-7.7%62.8K-794.3K-3.8K0.00156.55N/AN/A0021316
2019-08-29$87.24$88.0019.3%5.5%23.2%11.3%0.0%2.2%-3.4%64.0K-904.5K-3.9K0.00150.13N/AN/A0021316
2019-08-30$87.07$88.0017.2%4.9%22.9%8.8%13.6%6.3%-2.0%68.9K-951.2K-3.8K0.00150.74N/AN/A1021316