VOX Options History — May 2022

In May 2022, VOX traded between $97.48 and $108.27. ATM implied volatility averaged 31.2%, placing in the 68.2% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 5.0% (HV 20d: 36.2%). Max pain ranged from $96.00 to $110.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2022-05-20: Highest Volume — 447 contracts
  • 2022-05-19: Largest IV spike — 21.3% change
  • 2022-05-09: Highest IV Rank — 87.1%
  • 2022-05-12: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.36$97.48$108.27$104.03$103.81
Max Pain$101.10$96.00$110.00$110.00$96.00
ATM IV31.2%27.3%37.0%30.7%29.9%
Expected Move8.8%7.8%9.9%8.8%8.6%
HV 20d36.2%30.6%38.9%32.7%35.2%
HV 60d30.8%28.7%32.2%28.9%32.1%
IV Rank68.2%55.3%87.1%66.5%63.7%
IV Percentile92.4%83.3%99.2%96.0%87.7%
Term Structure-2.2%-10.4%5.3%5.3%-7.6%
VWIV33.3%27.0%38.9%35.5%34.0%
Skew 25d6.6%-4.8%15.6%11.5%9.9%
Skew 10d7.1%-1.3%24.8%1.6%11.0%
Call IV 25d30.4%21.7%43.8%32.8%21.7%
Put IV 25d37.0%30.8%44.3%44.3%31.6%
Bid-Ask Spread %97.2171.61122.12114.85122.12
Gamma HHI0.140.110.160.130.13
Net GEX11.7K-9.7K51.0K31.9K19.8K
Net DEX-31.0K-354.3K267.6K-103.3K-276.9K
Net VEX-3.9K-4.6K-3.3K-4.2K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.220.380.240.29
Total Volume364.238332447332343
Total OI347.857300396362309

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-05-02$104.03$110.0030.7%8.8%32.7%66.5%35.5%11.5%5.3%31.9K-103.3K-4.2K0.24114.85N/AN/A2686429270
2022-05-03$104.71$110.0034.0%9.7%30.6%77.3%31.4%14.1%-3.7%27.7K-155.4K-4.2K0.2493.58N/AN/A2696427070
2022-05-04$108.27$110.0028.4%8.1%33.9%58.9%27.5%15.6%-4.5%51.0K-354.3K-4.6K0.24105.49N/AN/A2696427170
2022-05-05$103.91$106.0031.6%8.5%35.9%69.5%29.7%8.8%-2.3%24.4K-115.9K-4.0K0.2471.61N/AN/A2696427169
2022-05-06$102.06$106.0033.0%8.9%36.2%73.9%27.0%8.8%-3.2%14.6K47.3K-3.6K0.2284.77N/AN/A2896427170
2022-05-09$99.24$106.0037.0%9.2%36.8%87.1%29.7%3.5%4.1%20.2K-37.7K-3.7K0.2293.10N/AN/A2896429169
2022-05-10$99.22$106.0035.3%8.6%36.9%81.6%29.3%-1.8%3.0%24.9K-128.9K-3.9K0.22105.41N/AN/A2896428964
2022-05-11$97.80$106.0032.0%9.2%37.0%70.9%38.9%-4.8%-4.5%15.4K10.8K-3.5K0.3593.80N/AN/A28910128964
2022-05-12$98.31$99.0034.5%9.9%36.1%79.1%37.5%10.8%-3.7%-3.7K267.6K-3.5K0.3595.85N/AN/A289101269101
2022-05-13$101.60$99.0030.8%8.8%38.9%66.9%34.3%7.8%-5.0%-5.7K93.6K-3.9K0.3894.54N/AN/A293111269101
2022-05-16$100.78$99.0029.4%8.4%38.8%62.1%36.7%11.7%1.6%-9.1K64.2K-4.2K0.3890.70N/AN/A295111273111
2022-05-17$103.13$99.0029.8%8.6%38.6%63.5%34.9%1.8%-1.0%-4.2K-85.7K-4.3K0.3892.78N/AN/A294111289107
2022-05-18$100.20$99.0027.3%7.8%37.7%55.3%35.7%8.2%0.4%-4.9K97.0K-4.1K0.3891.12N/AN/A294111289107
2022-05-19$100.33$96.0033.1%9.5%36.9%74.5%33.1%12.0%-3.5%-9.7K170.0K-3.6K0.3888.83N/AN/A294111285101
2022-05-20$99.61$96.0030.3%8.7%36.2%65.0%32.6%-2.5%0.1%-6.6K165.4K-3.6K0.33105.23N/AN/A336111285100
2022-05-23$100.96$96.0028.6%8.2%36.6%59.6%33.2%13.6%1.6%11.7K-85.5K-3.9K0.3089.72N/AN/A2557722080
2022-05-24$97.48$96.0031.3%9.0%37.4%68.5%35.5%6.6%-3.3%7.9K56.8K-3.6K0.30106.16N/AN/A2567722380
2022-05-25$98.75$96.0029.5%8.5%36.9%62.5%36.3%-0.5%-6.9%9.7K-21.1K-3.6K0.30116.20N/AN/A2567722480
2022-05-26$101.14$96.0031.1%8.9%36.1%67.8%32.8%-2.6%-10.4%9.9K-42.7K-3.3K0.3093.04N/AN/A2567722480
2022-05-27$103.25$96.0028.4%8.2%35.5%58.9%33.1%6.0%-3.8%20.5K-217.1K-4.0K0.3092.46N/AN/A2567722880
2022-05-31$103.81$96.0029.9%8.6%35.2%63.7%34.0%9.9%-7.6%19.8K-276.9K-3.8K0.29122.12N/AN/A2657822881