VOX Options History — March 2022

In March 2022, VOX traded between $110.20 and $123.51. ATM implied volatility averaged 25.5%, placing in the 49.9% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 3.6% (HV 20d: 29.0%). Max pain ranged from $107.00 to $120.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.11.

Notable Days

  • 2022-03-18: Highest Volume — 588 contracts
  • 2022-03-29: Largest IV spike — 39.1% change
  • 2022-03-07: Highest IV Rank — 100.0%
  • 2022-03-07: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.09$110.20$123.51$117.80$120.76
Max Pain$116.25$107.00$120.00$120.00$107.00
ATM IV25.5%14.5%40.8%30.2%19.8%
Expected Move7.1%4.8%11.7%8.7%5.4%
HV 20d29.0%25.3%34.3%34.3%28.2%
HV 60d27.7%25.7%29.3%25.9%29.3%
IV Rank49.9%12.9%100.0%69.6%30.3%
IV Percentile81.5%21.8%100.0%97.6%66.7%
Term Structure-0.7%-8.4%7.0%-5.5%1.3%
VWIV29.7%18.6%46.1%31.0%19.0%
Skew 25d8.4%-0.9%18.7%4.3%4.7%
Skew 10d6.8%-10.6%19.2%7.7%13.7%
Call IV 25d25.1%18.5%32.7%30.1%28.4%
Put IV 25d33.5%25.0%44.2%34.4%33.1%
Bid-Ask Spread %82.2452.92114.54106.0668.81
Gamma HHI0.290.130.490.330.46
Net GEX114.4K25.1K224.5K135.4K183.2K
Net DEX-590.9K-1.3M39.4K-1.1M-970.8K
Net VEX-4.6K-7.5K-2.4K-6.6K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.070.140.070.10
Total Volume528.739494588506510
Total OI456.13422495466422

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$117.80$120.0030.2%8.7%34.3%69.6%31.0%4.3%-5.5%135.4K-1.1M-6.6K0.07106.06N/AN/A4743244521
2022-03-02$119.41$120.0024.6%7.1%34.2%49.9%27.7%13.6%-0.7%147.5K-1.3M-7.5K0.0997.85N/AN/A4674146022
2022-03-03$117.24$120.0029.0%8.3%33.6%65.3%29.1%7.6%4.3%95.6K-625.5K-5.3K0.09103.89N/AN/A4684246430
2022-03-04$115.39$120.0035.2%10.1%25.3%87.6%35.9%9.1%-3.0%94.8K-686.3K-5.8K0.0894.84N/AN/A4683946530
2022-03-07$111.82$120.0040.8%11.7%26.5%100.0%45.1%2.9%-0.9%83.2K-591.9K-5.5K0.10102.03N/AN/A5064946530
2022-03-08$111.75$120.0026.7%8.7%26.1%53.3%40.8%4.7%4.4%72.5K-390.6K-4.8K0.10108.81N/AN/A4954942340
2022-03-09$115.25$118.0027.3%9.8%29.0%55.1%43.0%12.8%-2.1%92.2K-433.0K-4.0K0.1199.56N/AN/A4965441532
2022-03-10$113.97$118.0029.6%8.1%26.9%63.0%39.1%10.6%-5.4%67.9K-194.6K-3.3K0.12100.05N/AN/A4966041538
2022-03-11$112.21$118.0027.4%8.3%27.0%55.6%46.1%3.2%-0.2%49.7K-43.0K-3.2K0.12114.54N/AN/A4966041544
2022-03-14$110.20$115.0031.8%8.0%26.9%69.9%24.6%13.5%-2.7%25.1K39.4K-2.4K0.1275.06N/AN/A4966141537
2022-03-15$112.43$115.0029.5%7.5%28.3%62.6%22.7%3.4%1.4%51.5K-109.4K-3.0K0.1368.27N/AN/A4966341537
2022-03-16$115.18$115.0026.4%6.7%29.3%52.2%18.6%4.2%3.8%59.6K-171.2K-2.5K0.1281.39N/AN/A5086341539
2022-03-17$117.25$0.0027.0%6.3%30.2%54.1%0.0%11.7%-8.4%121.3K-631.1K-4.8K0.1452.92N/AN/A5157243139
2022-03-18$118.85$0.0016.9%5.6%29.4%20.7%0.0%12.9%-0.5%132.5K-695.2K-4.8K0.1468.41N/AN/A5157343849
2022-03-21$117.29$0.0023.3%6.3%29.5%41.8%0.0%18.7%-5.6%89.5K-430.9K-4.4K0.1061.54N/AN/A4524639639
2022-03-22$120.27$0.0023.6%5.5%30.5%43.1%0.0%9.8%-1.8%127.3K-593.0K-4.7K0.1063.19N/AN/A4484640039
2022-03-23$119.20$0.0021.7%5.5%30.0%36.7%0.0%6.6%-1.9%119.2K-573.7K-4.8K0.1062.59N/AN/A4484640539
2022-03-24$120.07$0.0019.8%5.8%29.1%30.4%0.0%9.7%3.9%138.5K-713.0K-5.0K0.1065.28N/AN/A4484640539
2022-03-25$120.12$0.0021.0%5.7%28.2%34.3%21.3%10.5%-1.3%140.6K-694.0K-4.8K0.1067.58N/AN/A4504639937
2022-03-28$121.01$120.0014.5%5.3%28.3%12.9%20.5%-0.9%7.0%174.4K-842.5K-4.7K0.1071.24N/AN/A4504740137
2022-03-29$123.51$107.0020.2%4.8%28.7%31.7%22.4%13.5%-1.4%224.5K-1.0M-5.1K0.1065.77N/AN/A4694740238
2022-03-30$122.11$107.0019.2%5.0%28.7%28.3%18.8%5.7%-0.2%204.4K-905.2K-4.5K0.1091.97N/AN/A4614738737
2022-03-31$120.76$107.0019.8%5.4%28.2%30.3%19.0%4.7%1.3%183.2K-970.8K-4.6K0.1068.81N/AN/A4634738537