VOX Options History — April 2022

In April 2022, VOX traded between $102.40 and $123.47. ATM implied volatility averaged 26.7%, placing in the 53.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 0.4% (HV 20d: 26.3%). Max pain ranged from $107.00 to $122.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.16.

Notable Days

  • 2022-04-04: Highest Volume — 531 contracts
  • 2022-04-11: Largest IV spike — 48.2% change
  • 2022-04-27: Highest IV Rank — 82.5%
  • 2022-04-27: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$113.67$102.40$123.47$120.18$102.72
Max Pain$116.70$107.00$122.00$107.00$110.00
ATM IV26.7%20.3%35.6%30.2%30.8%
Expected Move6.9%5.3%10.2%5.3%8.8%
HV 20d26.3%22.7%31.9%27.6%31.9%
HV 60d30.1%28.8%31.5%28.8%31.5%
IV Rank53.3%32.0%82.5%64.9%66.9%
IV Percentile85.8%67.9%99.2%96.4%96.4%
Term Structure-1.2%-9.9%4.6%-8.5%-2.7%
VWIV22.9%18.0%31.4%20.2%31.4%
Skew 25d7.6%-2.7%19.2%16.3%16.8%
Skew 10d10.4%-4.9%25.1%11.9%18.9%
Call IV 25d22.9%16.7%30.4%30.4%27.6%
Put IV 25d30.5%20.3%46.7%46.7%44.4%
Bid-Ask Spread %80.4855.55100.4683.21100.46
Gamma HHI0.180.080.470.420.15
Net GEX53.2K15.8K201.9K155.4K16.0K
Net DEX-361.5K-1.2M-41.7K-819.6K-41.7K
Net VEX-3.3K-4.6K-2.5K-4.3K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.100.500.100.24
Total Volume368.324531510332
Total OI332.8165450427317

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-04-01$120.18$107.0030.2%5.3%27.6%64.9%20.2%16.3%-8.5%155.4K-819.6K-4.3K0.1083.21N/AN/A4634739037
2022-04-04$123.47$107.0027.8%5.7%25.9%56.9%19.1%2.0%-0.7%201.9K-1.2M-4.6K0.1155.55N/AN/A4795239037
2022-04-05$121.64$122.0023.4%5.7%26.8%42.3%18.0%11.3%-1.6%187.3K-927.3K-4.3K0.1089.46N/AN/A4794939342
2022-04-06$119.60$122.0026.0%5.8%25.8%50.8%20.1%3.0%1.1%98.2K-515.0K-3.8K0.1191.19N/AN/A4715039344
2022-04-07$118.87$122.0026.9%6.2%25.6%53.8%20.8%3.0%-3.5%67.6K-413.9K-3.4K0.1188.29N/AN/A4715039744
2022-04-08$118.29$122.0020.6%5.9%24.9%33.1%20.9%6.2%-1.1%39.6K-355.6K-3.2K0.1163.94N/AN/A4715439744
2022-04-11$116.71$122.0030.6%6.0%24.4%65.9%21.7%4.9%4.3%26.6K-265.9K-3.0K0.1280.93N/AN/A4715539748
2022-04-12$115.69$122.0032.1%6.2%23.8%71.2%25.4%5.9%0.7%19.6K-220.1K-3.0K0.1366.90N/AN/A4395539749
2022-04-13$117.73$122.0022.6%6.5%23.1%39.6%22.3%-2.7%-1.8%35.7K-339.2K-3.2K0.1372.45N/AN/A4395540149
2022-04-14$115.77$122.0020.3%5.8%23.1%32.0%20.9%7.2%4.6%19.7K-221.7K-2.9K0.1266.51N/AN/A4415540149
2022-04-18$114.40$120.0024.7%7.1%22.7%46.7%21.2%6.2%-0.9%25.0K-283.7K-2.8K0.1381.64N/AN/A1922514322
2022-04-19$117.35$117.0021.9%6.3%24.3%37.5%19.6%5.1%-3.4%30.4K-375.8K-2.9K0.1568.89N/AN/A1992914622
2022-04-20$112.92$117.0020.4%5.9%26.0%32.4%22.9%1.6%4.1%17.7K-195.4K-2.5K0.1583.90N/AN/A2023115326
2022-04-21$109.86$117.0022.9%6.6%27.4%40.7%23.9%9.4%0.2%17.3K-128.6K-2.6K0.1777.02N/AN/A1813115729
2022-04-22$107.26$115.0033.3%9.6%27.9%75.2%25.4%4.1%-6.5%22.4K-235.7K-3.1K0.1583.69N/AN/A1812819129
2022-04-25$107.82$115.0030.6%8.8%28.1%66.1%24.6%19.2%-1.3%24.0K-290.2K-3.4K0.1583.07N/AN/A1922919127
2022-04-26$104.99$111.0030.0%8.6%28.6%64.1%28.3%9.5%-0.5%22.2K-187.4K-2.9K0.2479.35N/AN/A2065020228
2022-04-27$102.40$111.0035.6%10.2%27.3%82.5%0.0%7.1%-9.9%15.8K-42.4K-3.0K0.5095.94N/AN/A16823449
2022-04-28$105.73$111.0023.5%6.7%31.0%42.6%28.0%16.1%4.1%21.7K-168.2K-3.5K0.2797.20N/AN/A2266223556
2022-04-29$102.72$110.0030.8%8.8%31.9%66.9%31.4%16.8%-2.7%16.0K-41.7K-3.9K0.24100.46N/AN/A2686424968