VOX Options History — August 2022

In August 2022, VOX traded between $93.91 and $104.49. ATM implied volatility averaged 23.1%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 4.9% (HV 20d: 28.0%). Max pain ranged from $93.00 to $102.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 11.27.

Notable Days

  • 2022-08-31: Highest Volume — 1,033 contracts
  • 2022-08-31: Largest IV spike — 50.1% change
  • 2022-08-31: Highest IV Rank — 51.8%
  • 2022-08-31: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$99.26$93.91$104.49$97.49$94.67
Max Pain$95.09$93.00$102.00$95.00$97.00
ATM IV23.1%17.9%31.6%22.7%31.6%
Expected Move6.5%5.1%9.1%6.5%9.1%
HV 20d28.0%22.9%31.1%30.6%24.5%
HV 60d31.1%30.2%33.0%33.0%30.4%
IV Rank30.8%18.1%51.8%29.9%51.8%
IV Percentile52.1%33.3%90.1%52.8%90.1%
Term Structure-0.1%-7.7%8.6%-2.5%-7.5%
VWIV24.7%18.9%38.7%30.5%25.0%
Skew 25d3.8%-3.1%16.5%2.2%16.5%
Skew 10d3.5%-9.6%16.4%8.6%5.4%
Call IV 25d24.5%18.9%37.5%30.2%24.7%
Put IV 25d28.3%20.9%41.2%32.4%41.2%
Bid-Ask Spread %88.4062.60131.8993.1999.24
Gamma HHI0.520.210.660.440.21
Net GEX-2.0K-416.0K435.7K86.0K-200.6K
Net DEX1.3M-2.0M6.8M-521.0K5.0M
Net VEX-19.9K-56.4K-3.4K-4.1K-56.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.270.00151.000.571.24
Total Volume243.34811,0332291,033
Total OI1,187.3913893,3763913,376

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-08-01$97.49$95.0022.7%6.5%30.6%29.9%30.5%2.2%-2.5%86.0K-521.0K-4.1K0.5793.19N/AN/A1468331873
2022-08-02$97.66$95.0023.8%6.8%29.9%32.6%23.6%-1.2%4.8%109.5K-346.9K-3.9K0.5582.23N/AN/A1518331673
2022-08-03$100.04$95.0026.0%7.5%31.1%38.1%27.0%-3.1%-7.7%123.6K-788.0K-4.2K0.55126.27N/AN/A1518332273
2022-08-04$100.04$102.0026.9%6.8%30.8%40.2%20.6%5.2%-1.6%174.2K-803.7K-4.2K0.5462.60N/AN/A1538332272
2022-08-05$99.28$102.0025.4%6.0%30.9%36.6%24.3%7.3%2.1%128.6K-724.2K-4.2K0.5990.38N/AN/A1529031872
2022-08-08$100.20$93.0025.3%6.1%29.0%36.3%21.1%4.1%1.9%156.1K-807.6K-4.2K0.57101.90N/AN/A1528631879
2022-08-09$98.94$93.0023.1%7.0%29.5%30.9%38.7%2.4%0.0%165.6K-457.0K-3.6K1.0079.93N/AN/A2231880
2022-08-10$101.58$93.0021.1%6.1%30.6%26.0%0.0%5.9%-5.5%246.3K-1.1M-4.1K0.0078.74N/AN/A1032081
2022-08-11$101.81$93.0017.9%5.1%30.1%18.1%18.9%4.4%8.6%197.1K-1.1M-3.9K0.0081.96N/AN/A20032081
2022-08-12$103.51$93.0020.1%5.8%29.7%23.3%0.0%2.4%-3.7%224.3K-1.6M-3.8K0.0081.58N/AN/A0132281
2022-08-15$104.14$93.0021.1%6.0%29.5%25.8%25.9%-1.8%0.2%225.8K-1.7M-3.5K0.0084.22N/AN/A8032280
2022-08-16$104.49$93.0021.4%6.1%27.2%26.7%0.0%5.4%0.1%224.6K-2.0M-3.4K0.0080.15N/AN/A01233080
2022-08-17$102.03$93.0022.8%6.5%28.3%30.1%0.0%4.5%-4.1%165.4K-1.2M-3.4K16.07131.89N/AN/A3048233080
2022-08-18$102.04$93.0019.0%5.4%28.2%20.7%0.0%3.0%4.3%435.7K-326.1K-13.3K33.5086.12N/AN/A20670360562
2022-08-19$99.94$93.0024.5%7.0%25.7%34.4%0.0%4.7%-4.7%-38.2K2.5M-28.0K151.0082.53N/AN/A23023901,232
2022-08-22$97.18$93.0024.7%7.1%27.7%34.7%0.0%9.0%1.1%-285.4K4.4M-35.3K0.0088.84N/AN/A0512061,541
2022-08-23$96.62$93.0022.2%6.4%27.3%28.6%0.0%1.5%1.9%-305.3K4.9M-37.5K8.5082.20N/AN/A201702061,612
2022-08-24$97.35$97.0023.7%6.8%22.9%32.4%0.0%1.3%-4.3%-334.7K4.9M-39.3K1.3565.76N/AN/A2002702361,768
2022-08-25$98.82$97.0021.9%6.3%23.1%28.0%21.4%-1.4%-1.6%-332.1K3.7M-44.9K1.9180.40N/AN/A22424362,038
2022-08-26$95.84$97.0021.4%6.1%25.6%26.5%21.5%-0.6%5.0%-391.7K5.7M-48.7K7.2488.35N/AN/A211524562,078
2022-08-29$95.33$97.0023.3%6.7%25.6%31.2%24.3%10.3%2.6%-416.0K6.1M-51.0K0.2685.95N/AN/A160414772,229
2022-08-30$93.91$97.0021.1%6.0%26.1%25.8%23.1%5.3%7.5%-403.8K6.8M-53.0K0.0098.73N/AN/A45006562,270
2022-08-31$94.67$97.0031.6%9.1%24.5%51.8%25.0%16.5%-7.5%-200.6K5.0M-56.4K1.2499.24N/AN/A4625711,1062,270