VOX Options History — October 2019

In October 2019, VOX traded between $84.75 and $89.89. ATM implied volatility averaged 16.6%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.4% (HV 20d: 15.3%). Max pain ranged from $82.00 to $90.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.15.

Notable Days

  • 2019-10-28: Highest Volume — 16 contracts
  • 2019-10-30: Largest IV spike — 192.9% change
  • 2019-10-30: Highest IV Rank — 24.5%
  • 2019-10-30: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.60$84.75$89.89$85.99$89.18
Max Pain$86.43$82.00$90.00$82.00$90.00
ATM IV16.6%10.4%30.6%15.7%13.5%
Expected Move4.8%3.0%8.8%4.5%3.9%
HV 20d15.3%13.1%17.2%14.2%14.2%
HV 60d17.8%16.5%18.5%17.5%16.5%
IV Rank8.2%0.9%24.5%7.1%4.5%
IV Percentile37.0%2.0%84.9%36.9%23.4%
Term Structure-1.6%-16.0%8.0%5.7%-1.6%
VWIV14.7%10.5%25.6%10.5%25.6%
Skew 25d6.5%-9.7%19.8%5.0%8.1%
Skew 10d3.4%-9.8%17.9%4.9%-2.6%
Call IV 25d13.4%7.1%24.4%12.1%8.8%
Put IV 25d19.9%14.1%29.7%17.1%16.9%
Bid-Ask Spread %135.26101.59159.45129.17144.27
Gamma HHI0.200.140.470.180.22
Net GEX70.5K37.5K121.9K85.4K54.0K
Net DEX-788.6K-1.1M-585.1K-798.1K-734.8K
Net VEX-2.5K-3.0K-2.2K-3.0K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.000.830.000.67
Total Volume3.60901600
Total OI199.783147225225183

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$85.99$82.0015.7%4.5%14.2%7.1%0.0%5.0%5.7%85.4K-798.1K-3.0K0.00129.17N/AN/A0020916
2019-10-02$84.75$82.0022.1%6.3%13.7%14.6%0.0%10.9%-1.1%70.0K-623.9K-2.9K0.00126.20N/AN/A0120916
2019-10-03$85.26$85.0021.4%5.4%13.1%13.8%0.0%3.5%-1.7%76.0K-626.2K-2.9K0.00144.51N/AN/A6020916
2019-10-04$86.51$85.0013.5%4.4%14.3%4.5%0.0%13.5%0.7%85.0K-746.3K-2.8K0.00126.29N/AN/A9020916
2019-10-07$86.69$85.0016.4%6.0%14.4%7.8%0.0%9.4%-7.1%85.5K-819.3K-2.7K0.00153.87N/AN/A0020316
2019-10-08$85.44$85.0026.2%6.9%15.1%19.3%0.0%19.8%-9.6%74.6K-711.2K-2.6K0.00143.19N/AN/A0020316
2019-10-09$85.83$85.0022.3%6.4%14.6%14.8%0.0%-0.8%-8.2%68.8K-740.3K-2.7K0.00155.30N/AN/A0020316
2019-10-10$86.14$85.0013.1%3.8%14.3%4.0%10.5%10.4%8.0%85.3K-753.0K-2.5K0.00135.04N/AN/A1020316
2019-10-11$87.53$85.0016.0%4.6%15.7%7.4%13.1%8.4%0.9%78.3K-946.3K-2.6K0.00159.45N/AN/A4020616
2019-10-14$87.04$85.0015.3%4.4%15.7%6.6%0.0%6.5%1.6%74.1K-879.7K-2.6K0.00101.59N/AN/A0020616
2019-10-15$88.45$85.0017.7%5.1%16.9%9.4%0.0%7.1%-8.5%121.9K-1.0M-2.4K0.00137.19N/AN/A0020616
2019-10-16$88.58$85.0013.7%3.9%16.9%4.7%0.0%7.0%1.3%108.5K-1.0M-2.4K0.00114.48N/AN/A0020616
2019-10-17$89.14$85.0012.8%3.7%17.1%3.6%0.0%6.9%1.5%91.9K-1.1M-2.3K0.00148.98N/AN/A0020616
2019-10-18$88.44$85.0013.6%3.9%17.1%4.6%14.1%7.3%1.8%103.7K-1.1M-2.2K0.00131.21N/AN/A0520616
2019-10-21$88.75$88.0020.5%5.9%17.2%12.7%0.0%-9.7%1.5%42.5K-678.3K-2.2K0.00145.71N/AN/A4013413
2019-10-22$88.07$88.0013.2%3.8%16.1%4.1%0.0%7.1%2.2%48.2K-674.3K-2.3K0.00118.92N/AN/A0113813
2019-10-23$88.45$88.0014.7%4.2%15.6%5.9%11.6%7.2%-6.0%48.7K-663.5K-2.3K0.00117.59N/AN/A01013814
2019-10-24$87.83$90.0014.5%4.2%15.4%5.7%15.2%4.3%-1.1%40.4K-585.1K-2.3K0.00135.37N/AN/A4013824
2019-10-25$88.72$90.0012.7%3.6%14.9%3.6%0.0%4.1%0.4%37.5K-653.5K-2.4K0.00111.52N/AN/A6014024
2019-10-28$89.89$90.0013.0%3.7%15.4%3.9%12.6%2.7%1.3%37.8K-778.5K-2.4K0.00120.15N/AN/A16014624
2019-10-29$88.98$90.0010.4%3.0%15.5%0.9%25.6%10.4%-2.8%58.4K-725.5K-2.2K0.83153.17N/AN/A6515324
2019-10-30$89.17$90.0030.6%8.8%14.3%24.5%0.0%1.0%-16.0%44.8K-711.8K-2.6K0.67157.72N/AN/A3215625
2019-10-31$89.18$90.0013.5%3.9%14.2%4.5%0.0%8.1%-1.6%54.0K-734.8K-2.4K0.00144.27N/AN/A0015627