VOX Options History — January 2022

In January 2022, VOX traded between $120.30 and $136.68. ATM implied volatility averaged 18.7%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.4% (HV 20d: 17.3%). Max pain ranged from $125.00 to $135.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.07.

Notable Days

  • 2022-01-20: Highest Volume — 490 contracts
  • 2022-01-21: Largest IV spike — 38.4% change
  • 2022-01-24: Highest IV Rank — 71.0%
  • 2022-01-24: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$129.52$120.30$136.68$136.68$126.79
Max Pain$132.05$125.00$135.00$130.00$125.00
ATM IV18.7%11.6%30.6%11.6%20.8%
Expected Move5.4%3.3%8.8%3.3%6.0%
HV 20d17.3%13.9%24.1%15.6%24.1%
HV 60d17.1%16.1%19.7%16.2%19.7%
IV Rank28.3%3.0%71.0%3.0%36.3%
IV Percentile46.5%2.4%98.0%2.4%77.8%
Term Structure2.0%-4.6%9.7%1.9%0.7%
VWIV19.5%11.6%31.7%17.1%22.4%
Skew 25d4.4%-3.2%13.6%2.2%9.8%
Skew 10d-1.5%-14.8%13.9%1.6%13.9%
Call IV 25d20.9%12.2%32.8%15.4%22.0%
Put IV 25d25.3%17.1%41.4%17.6%31.9%
Bid-Ask Spread %120.1089.13135.28133.75102.92
Gamma HHI0.360.210.580.210.49
Net GEX166.5K89.9K267.8K151.4K132.9K
Net DEX-2.0M-3.1M-562.3K-3.0M-1.4M
Net VEX-6.5K-8.3K-4.7K-6.1K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.070.030.100.080.03
Total Volume429.75368490457482
Total OI396.2276469398289

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$136.68$130.0011.6%3.3%15.6%3.0%17.1%2.2%1.9%151.4K-3.0M-6.1K0.08133.75N/AN/A4243334850
2022-01-04$136.25$130.0012.1%3.5%13.9%4.5%21.0%-3.2%1.3%158.9K-3.0M-5.9K0.07132.86N/AN/A4243134950
2022-01-05$132.75$130.0011.8%3.4%16.4%3.5%14.2%-1.7%5.8%149.1K-2.4M-6.7K0.08128.90N/AN/A4143234958
2022-01-06$132.70$135.0012.3%4.1%15.8%5.0%11.6%2.6%2.3%173.0K-2.4M-7.0K0.08129.29N/AN/A3943235959
2022-01-07$132.68$135.0012.2%3.7%15.5%4.8%12.7%10.0%3.9%185.2K-2.6M-8.0K0.08125.75N/AN/A3943239959
2022-01-10$132.08$135.0014.6%4.7%15.5%12.0%13.3%3.5%0.1%205.7K-2.6M-8.3K0.10128.72N/AN/A3363240959
2022-01-11$133.85$135.0014.9%3.7%16.2%12.7%12.1%0.3%3.3%197.6K-3.0M-7.7K0.10134.45N/AN/A3363241059
2022-01-12$134.20$135.0012.9%3.7%15.9%8.1%12.9%3.0%3.0%183.5K-3.1M-7.6K0.10135.28N/AN/A3363241059
2022-01-13$132.74$135.0014.4%4.1%16.2%13.5%14.2%3.1%6.5%185.6K-2.8M-7.9K0.08133.40N/AN/A3823241059
2022-01-14$132.95$135.0015.2%4.3%16.1%16.2%15.4%6.1%-1.3%226.6K-2.7M-7.2K0.09128.76N/AN/A3833539759
2022-01-18$130.39$135.0017.9%5.1%17.5%26.0%16.6%3.6%3.1%223.7K-2.2M-7.0K0.08127.19N/AN/A4233539962
2022-01-19$130.66$134.0018.3%5.2%17.1%27.2%16.4%-2.5%5.7%203.9K-1.8M-5.0K0.08130.53N/AN/A4243535062
2022-01-20$129.22$134.0016.6%4.7%15.6%21.1%16.6%4.8%9.7%267.8K-1.5M-4.7K0.08126.00N/AN/A4553535062
2022-01-21$124.70$135.0022.9%6.6%19.4%43.7%26.2%0.4%4.5%154.0K-562.3K-5.1K0.1096.44N/AN/A3873938662
2022-01-24$124.17$135.0030.6%8.8%18.4%71.0%31.5%13.6%-4.6%107.9K-1.0M-5.6K0.0489.13N/AN/A3891526412
2022-01-25$123.16$127.0029.3%8.4%18.1%66.4%26.4%8.6%-1.1%110.0K-1.2M-6.0K0.04111.54N/AN/A4011528014
2022-01-26$120.30$127.0028.3%8.1%19.0%63.0%31.7%5.0%-1.0%89.9K-1.1M-6.1K0.04107.78N/AN/A4021529214
2022-01-27$121.19$127.0027.4%7.8%19.6%59.5%29.2%6.3%-2.7%100.6K-982.9K-5.9K0.04101.19N/AN/A4031529314
2022-01-28$123.02$127.0029.7%8.5%20.6%68.0%28.4%12.8%-1.0%122.5K-1.1M-6.0K0.0398.14N/AN/A4641529414
2022-01-31$126.79$125.0020.8%6.0%24.1%36.3%22.4%9.8%0.7%132.9K-1.4M-5.5K0.03102.92N/AN/A4671527514