VOX Options History — October 2022

In October 2022, VOX traded between $81.91 and $89.04. ATM implied volatility averaged 28.2%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 2.8% (HV 20d: 31.0%). Max pain ranged from $79.00 to $101.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2022-10-19: Highest Volume — 1,619 contracts
  • 2022-10-10: Largest IV spike — 26.3% change
  • 2022-10-12: Highest IV Rank — 58.0%
  • 2022-10-12: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.03$81.91$89.04$84.93$84.60
Max Pain$86.14$79.00$101.00$101.00$85.00
ATM IV28.2%22.7%34.1%31.9%28.0%
Expected Move8.2%6.5%9.8%9.1%8.0%
HV 20d31.0%27.8%34.8%33.2%30.8%
HV 60d29.0%27.5%30.1%29.5%29.4%
IV Rank43.4%29.7%58.0%52.4%42.9%
IV Percentile66.4%35.7%92.9%88.5%64.3%
Term Structure-1.0%-6.5%7.6%-3.3%-3.4%
VWIV30.2%21.5%45.8%36.4%29.8%
Skew 25d7.1%-5.6%22.4%22.4%8.1%
Skew 10d8.2%-11.1%32.8%32.8%-0.4%
Call IV 25d29.8%20.9%45.1%27.9%28.0%
Put IV 25d36.9%26.5%50.2%50.2%36.1%
Bid-Ask Spread %85.7456.56114.14106.7192.51
Gamma HHI0.290.230.380.300.35
Net GEX-299.5K-550.0K35.6K-440.8K-245.8K
Net DEX10.7M4.5M14.0M12.3M9.6M
Net VEX-41.5K-54.8K-29.5K-44.8K-31.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.330.600.600.41
Total Volume1,194.8578391,6198391,072
Total OI4,824.3814,5785,2894,5784,871

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$84.93$101.0031.9%9.1%33.2%52.4%36.4%22.4%-3.3%-440.8K12.3M-44.8K0.60106.71N/AN/A5253142,2662,312
2022-10-04$87.14$101.0027.4%7.9%34.8%41.5%27.6%9.0%-0.2%-493.9K10.9M-48.7K0.55108.07N/AN/A5703142,2662,317
2022-10-05$86.98$100.0029.5%8.5%34.0%46.6%30.8%-1.4%-3.1%-550.0K11.8M-45.3K0.55105.16N/AN/A5703142,3122,315
2022-10-06$86.26$84.0029.2%8.9%34.0%45.9%24.9%7.2%-5.4%-542.0K12.0M-44.3K0.4462.30N/AN/A7093142,3122,315
2022-10-07$83.69$84.0023.3%8.6%32.5%31.4%29.0%10.7%-2.2%-391.6K13.0M-40.3K0.5668.20N/AN/A8114522,4532,315
2022-10-10$83.57$84.0029.5%9.2%32.2%46.5%27.1%13.7%-3.0%-371.2K12.7M-37.9K0.5368.90N/AN/A8504522,5752,184
2022-10-11$81.91$84.0031.6%7.9%27.8%51.8%26.1%-5.6%7.6%-294.0K13.9M-30.3K0.5378.92N/AN/A8504522,6322,182
2022-10-12$82.11$84.0034.1%9.8%27.8%58.0%33.9%8.8%2.5%-282.2K13.1M-35.1K0.5371.69N/AN/A8504522,6322,182
2022-10-13$83.65$84.0026.0%7.4%29.1%37.9%28.5%5.3%-0.0%-398.4K13.2M-34.6K0.5388.50N/AN/A8504512,6322,182
2022-10-14$82.39$84.0028.0%8.0%29.2%43.0%25.4%13.2%1.2%-337.0K14.0M-29.5K0.5379.01N/AN/A8504512,6322,173
2022-10-17$85.00$84.0027.3%7.8%31.8%41.1%21.5%5.5%-0.4%-418.0K11.7M-40.6K0.5468.51N/AN/A8314512,6522,173
2022-10-18$85.53$84.0026.3%7.5%31.8%38.6%25.3%0.7%-1.9%-382.5K11.4M-42.1K0.5456.56N/AN/A8664712,6532,173
2022-10-19$85.01$84.0028.3%8.1%30.8%43.6%30.4%8.8%-0.4%-309.9K8.8M-49.7K0.41113.59N/AN/A1,1484712,6902,188
2022-10-20$85.43$84.0027.4%7.9%30.9%41.4%26.1%3.8%-0.6%-314.5K11.7M-41.5K0.5072.59N/AN/A9694812,9702,188
2022-10-21$86.06$79.0027.0%7.7%29.5%40.5%26.4%2.9%-2.6%-152.9K11.4M-43.8K0.5564.97N/AN/A9725313,0712,218
2022-10-24$86.64$79.0022.7%6.5%29.0%29.7%26.2%4.6%4.8%-48.4K6.0M-49.1K0.3390.35N/AN/A8912983,0321,800
2022-10-25$89.04$85.0026.2%7.5%30.2%38.5%35.7%2.5%-0.6%35.6K4.5M-54.8K0.3983.19N/AN/A7592983,0371,820
2022-10-26$86.50$85.0028.2%8.1%30.2%43.3%45.0%7.9%2.2%-50.1K5.9M-49.2K0.37105.28N/AN/A7612833,0391,820
2022-10-27$83.63$85.0031.1%8.9%30.9%50.4%33.1%18.2%-6.1%-192.9K9.0M-35.7K0.40101.45N/AN/A7613053,0401,822
2022-10-28$85.51$85.0029.7%8.5%31.7%47.1%45.8%2.4%-6.5%-108.9K7.7M-41.8K0.41114.14N/AN/A7613113,0401,826
2022-10-31$84.60$85.0028.0%8.0%30.8%42.9%29.8%8.1%-3.4%-245.8K9.6M-31.9K0.4192.51N/AN/A7613113,0401,831