VOX Options History — September 2022

In September 2022, VOX traded between $82.84 and $96.79. ATM implied volatility averaged 29.7%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 1.7% (HV 20d: 28.0%). Max pain ranged from $97.00 to $106.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2022-09-16: Highest Volume — 1,525 contracts
  • 2022-09-09: Largest IV spike — 81.0% change
  • 2022-09-09: Highest IV Rank — 96.0%
  • 2022-09-26: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.72$82.84$96.79$94.22$82.84
Max Pain$104.67$97.00$106.00$97.00$101.00
ATM IV29.7%17.3%49.5%26.4%28.4%
Expected Move7.8%5.0%10.5%7.6%8.2%
HV 20d28.0%22.8%31.4%24.5%31.4%
HV 60d28.7%27.6%30.4%30.3%29.0%
IV Rank47.0%16.6%96.0%39.0%44.0%
IV Percentile72.1%21.8%99.6%63.9%70.2%
Term Structure0.0%-9.0%9.1%9.1%3.1%
VWIV30.5%18.1%36.7%32.2%35.9%
Skew 25d2.4%-9.3%15.8%-9.3%15.6%
Skew 10d1.9%-19.6%16.2%-19.6%-16.8%
Call IV 25d29.3%21.5%39.7%39.7%34.9%
Put IV 25d31.6%20.2%50.5%30.5%50.5%
Bid-Ask Spread %101.6387.49119.07110.18106.39
Gamma HHI0.250.140.340.200.29
Net GEX-366.7K-639.6K185.7K-180.6K-333.0K
Net DEX8.7M2.0M13.1M5.0M12.4M
Net VEX-52.5K-63.2K-40.3K-57.1K-44.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.001.951.000.59
Total Volume478.42911,52540833
Total OI4,145.4293,4464,5943,4464,577

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$94.22$97.0026.4%7.6%24.5%39.0%32.2%-9.3%9.1%-180.6K5.0M-57.1K1.00110.18N/AN/A20201,1582,288
2022-09-02$92.94$97.0022.4%6.4%24.7%29.0%0.0%-2.1%2.0%-292.4K7.0M-55.6K0.00113.40N/AN/A2101,1782,307
2022-09-06$92.07$106.0031.8%9.6%24.4%52.2%30.9%15.8%-7.2%-322.7K7.3M-53.7K1.1395.26N/AN/A5235901,1992,307
2022-09-07$93.66$106.0034.8%7.3%25.3%59.7%28.5%4.9%-4.5%-225.5K6.3M-54.1K1.0390.64N/AN/A5755901,2392,307
2022-09-08$93.22$106.0027.4%8.5%22.8%41.3%31.3%7.2%-1.5%-292.8K7.1M-54.2K0.1792.22N/AN/A120201,2832,327
2022-09-09$96.25$106.0049.5%6.6%26.2%96.0%0.0%4.2%-3.4%-33.2K2.0M-56.3K0.10111.53N/AN/A5051,4032,347
2022-09-12$96.79$106.0029.2%5.6%25.4%45.8%0.0%-5.4%8.7%185.7K2.1M-55.7K1.9587.49N/AN/A41801,4472,347
2022-09-13$91.79$106.0041.5%9.1%30.6%76.2%28.5%0.5%-7.7%-510.9K8.7M-54.7K0.4892.23N/AN/A7623651,4862,427
2022-09-14$92.13$106.0027.5%7.9%30.6%41.7%0.0%-2.1%-1.6%-432.0K7.6M-56.8K0.0097.07N/AN/A17701,6222,428
2022-09-15$91.64$106.0027.0%7.8%29.9%40.5%0.0%-0.3%-2.3%-628.4K7.9M-56.2K0.0199.12N/AN/A12011,7992,427
2022-09-16$90.53$106.0019.7%5.6%29.9%22.4%26.3%4.3%5.1%-506.5K9.0M-56.0K0.29101.15N/AN/A1,1783471,9192,426
2022-09-19$90.73$106.0021.2%6.1%29.5%26.2%0.0%1.5%3.1%-528.8K7.4M-63.2K0.00110.08N/AN/A16201,9682,331
2022-09-20$89.57$106.0017.3%5.0%28.4%16.6%18.1%-3.0%2.5%-639.6K9.7M-53.5K0.03119.07N/AN/A9732,1302,331
2022-09-21$87.49$106.0024.9%7.2%29.2%35.4%23.6%2.5%3.8%-501.2K10.1M-56.5K0.00113.76N/AN/A042,2272,334
2022-09-22$87.22$106.0031.7%9.1%28.9%51.9%0.0%-7.2%-3.8%-485.0K11.2M-50.8K0.00102.69N/AN/A2502,2272,331
2022-09-23$84.92$106.0030.1%8.6%28.7%48.0%0.0%-1.3%0.2%-378.7K11.5M-52.1K0.00100.44N/AN/A102,2522,331
2022-09-26$83.72$106.0036.7%10.5%27.6%64.4%34.6%2.1%-9.0%-395.8K13.1M-41.7K0.58100.70N/AN/A5223052,2532,331
2022-09-27$83.12$106.0032.9%9.4%27.6%54.9%36.7%5.5%-2.0%-354.1K12.9M-43.0K0.58100.66N/AN/A5223052,2632,331
2022-09-28$85.84$106.0029.9%8.6%30.6%47.5%33.8%10.0%0.8%-451.9K12.0M-46.5K0.5993.14N/AN/A5233072,2632,329
2022-09-29$83.39$101.0032.5%9.3%31.4%54.0%36.6%6.0%4.9%-394.5K12.9M-40.3K0.5996.92N/AN/A5243092,2642,310
2022-09-30$82.84$101.0028.4%8.2%31.4%44.0%35.9%15.6%3.1%-333.0K12.4M-44.3K0.59106.39N/AN/A5243092,2652,312