VOX Options History — June 2022

In June 2022, VOX traded between $91.19 and $104.45. ATM implied volatility averaged 29.5%, placing in the 62.4% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 5.0% (HV 20d: 34.5%). Max pain ranged from $92.00 to $99.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2022-06-17: Highest Volume — 343 contracts
  • 2022-06-28: Largest IV spike — 30.9% change
  • 2022-06-02: Highest IV Rank — 78.6%
  • 2022-06-14: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.48$91.19$104.45$102.51$93.99
Max Pain$98.19$92.00$99.00$96.00$92.00
ATM IV29.5%20.2%34.4%31.5%29.6%
Expected Move8.1%5.8%9.8%9.0%8.5%
HV 20d34.5%29.2%37.9%35.4%36.0%
HV 60d32.8%31.1%34.4%31.6%33.8%
IV Rank62.4%31.7%78.6%69.2%62.8%
IV Percentile83.5%56.3%97.2%93.7%82.1%
Term Structure0.6%-6.6%8.5%-6.6%-0.1%
VWIV31.5%21.1%41.7%32.5%27.9%
Skew 25d5.9%-0.9%14.8%1.3%11.9%
Skew 10d10.1%-18.2%27.1%13.5%5.3%
Call IV 25d30.0%22.5%40.3%33.9%26.4%
Put IV 25d35.8%26.8%43.9%35.2%38.3%
Bid-Ask Spread %102.6290.23111.52102.37105.62
Gamma HHI0.170.120.210.130.18
Net GEX18.1K-3.6K39.8K22.8K24.1K
Net DEX-40.7K-415.8K452.9K-274.6K5.7K
Net VEX-3.4K-4.3K-2.7K-3.9K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.200.310.200.28
Total Volume321.714308343309334
Total OI340.905319372319335

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$102.51$96.0031.5%9.0%35.4%69.2%32.5%1.3%-6.6%22.8K-274.6K-3.9K0.20102.37N/AN/A2585123881
2022-06-02$104.45$99.0034.4%6.2%33.9%78.6%26.0%6.2%-1.6%26.8K-329.1K-3.9K0.24100.57N/AN/A2586124081
2022-06-03$102.17$99.0029.0%6.6%31.5%60.7%26.3%9.9%0.7%20.6K-217.1K-4.0K0.2390.23N/AN/A2586024091
2022-06-06$103.15$99.0029.0%7.2%31.1%60.7%28.6%8.9%0.9%20.8K-214.8K-3.9K0.2391.15N/AN/A2586023691
2022-06-07$103.60$99.0028.4%7.4%29.2%58.9%27.2%3.5%-0.2%23.6K-268.0K-3.8K0.2493.57N/AN/A2486023691
2022-06-08$103.67$99.0020.2%5.8%29.2%31.7%21.1%3.7%3.5%39.8K-415.8K-4.3K0.26102.32N/AN/A2526526191
2022-06-09$100.96$99.0025.5%7.3%30.4%49.1%26.2%8.5%2.7%25.5K-322.6K-4.3K0.26107.39N/AN/A2526525696
2022-06-10$98.14$99.0028.0%8.0%32.1%57.3%27.7%14.8%-2.2%5.8K-17.6K-3.9K0.27107.35N/AN/A2516725696
2022-06-13$92.98$99.0029.7%8.5%35.0%63.1%38.4%3.6%8.5%-1.5K262.7K-3.2K0.27110.47N/AN/A2526726798
2022-06-14$92.84$99.0034.4%9.8%35.0%78.5%41.3%3.6%-1.0%-2.2K313.2K-3.0K0.27106.70N/AN/A2526926898
2022-06-15$95.14$99.0028.6%8.2%35.1%59.6%40.9%-0.8%1.0%-2.7K231.2K-3.5K0.27111.52N/AN/A25669268100
2022-06-16$91.19$99.0034.1%9.8%36.7%77.6%36.4%8.9%-1.5%-3.6K452.9K-2.7K0.31107.68N/AN/A26180272100
2022-06-17$92.77$99.0031.4%9.0%37.5%68.9%32.9%4.3%-1.2%-2.9K413.1K-2.9K0.30108.75N/AN/A2638027395
2022-06-21$93.99$99.0033.3%9.5%37.9%75.0%41.7%0.4%-0.4%19.9K28.2K-3.1K0.2899.64N/AN/A2476826561
2022-06-22$94.12$99.0030.3%8.7%37.5%65.3%29.1%9.2%0.4%19.7K45.4K-3.0K0.2799.62N/AN/A2486826761
2022-06-23$95.19$99.0030.4%8.7%35.9%65.5%36.8%5.8%1.3%23.9K591-3.0K0.27101.31N/AN/A2486826861
2022-06-24$98.13$99.0027.4%7.9%37.3%55.6%25.8%-0.9%0.3%32.5K-173.2K-3.3K0.27101.27N/AN/A2516826956
2022-06-27$97.78$99.0024.4%7.0%36.2%45.7%29.5%10.9%4.2%34.6K-169.1K-3.3K0.27101.67N/AN/A2536827556
2022-06-28$95.24$99.0032.0%9.2%36.2%70.6%36.7%2.9%-1.3%26.2K-151.8K-3.4K0.28103.49N/AN/A2587327456
2022-06-29$95.14$92.0027.4%7.8%36.0%55.4%29.0%6.5%5.2%27.0K-53.9K-2.9K0.28102.35N/AN/A2587327956
2022-06-30$93.99$92.0029.6%8.5%36.0%62.8%27.9%11.9%-0.1%24.1K5.7K-2.7K0.28105.62N/AN/A2617327956