VOX Options History — November 2022

In November 2022, VOX traded between $79.45 and $88.52. ATM implied volatility averaged 27.2%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 6.4% (HV 20d: 33.6%). Max pain ranged from $82.00 to $85.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 4.53.

Notable Days

  • 2022-11-18: Highest Volume — 1,639 contracts
  • 2022-11-07: Largest IV spike — 44.2% change
  • 2022-11-07: Highest IV Rank — 74.4%
  • 2022-11-02: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.35$79.45$88.52$83.93$88.52
Max Pain$84.33$82.00$85.00$85.00$85.00
ATM IV27.2%22.5%40.8%33.1%25.9%
Expected Move7.4%6.5%9.8%9.5%7.4%
HV 20d33.6%29.3%37.6%29.3%34.0%
HV 60d31.0%29.3%32.5%29.3%32.5%
IV Rank41.0%29.4%74.4%55.5%37.8%
IV Percentile52.4%27.4%97.6%90.5%46.4%
Term Structure-2.9%-7.7%3.1%-7.3%-6.8%
VWIV27.8%21.8%55.7%37.2%23.8%
Skew 25d4.1%-8.3%15.1%11.1%1.4%
Skew 10d8.3%-8.8%24.6%9.0%1.3%
Call IV 25d27.6%21.3%59.3%25.5%31.1%
Put IV 25d31.7%25.6%57.6%36.6%32.5%
Bid-Ask Spread %75.0153.27126.70102.3492.11
Gamma HHI0.270.200.340.300.25
Net GEX-404.1K-717.3K-157.0K-157.0K-677.9K
Net DEX10.2M6.9M12.9M8.1M7.8M
Net VEX-36.1K-44.6K-22.2K-37.2K-43.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.530.0060.000.750.00
Total Volume1,045.66721,6391,3442
Total OI5,691.8574,8716,6694,8716,669

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$83.93$85.0033.1%9.5%29.3%55.5%37.2%11.1%-7.3%-157.0K8.1M-37.2K0.75102.34N/AN/A7705743,0401,831
2022-11-02$81.69$85.0034.2%9.8%30.6%58.1%55.7%-1.7%-7.7%-337.0K10.3M-31.9K0.75126.70N/AN/A7705743,0502,114
2022-11-03$79.63$84.0025.8%7.9%31.6%37.5%28.9%2.1%-2.0%-366.6K12.8M-23.1K0.3478.38N/AN/A7882663,0902,114
2022-11-04$79.46$84.0028.3%8.0%30.0%43.6%27.3%3.2%-2.6%-309.6K12.9M-22.2K0.3263.46N/AN/A8252663,1172,124
2022-11-07$80.86$82.0040.8%7.3%30.9%74.4%27.2%-1.2%-0.3%-266.3K11.0M-31.2K0.2868.87N/AN/A9492663,1812,119
2022-11-08$81.29$82.0036.7%6.7%30.2%64.3%33.4%-8.3%3.1%-286.0K10.9M-32.0K0.3181.74N/AN/A8702663,3052,119
2022-11-09$79.45$82.0026.5%7.6%31.2%39.3%23.1%8.5%-0.4%-281.1K12.7M-22.2K0.3167.05N/AN/A8602663,3462,119
2022-11-10$84.07$82.0024.3%7.0%36.8%33.7%30.6%1.6%-1.4%-247.9K9.6M-37.1K0.3183.57N/AN/A8632663,3862,119
2022-11-11$86.47$85.0026.7%7.6%37.6%39.6%28.6%15.1%-7.7%-186.9K7.2M-43.3K0.27113.55N/AN/A9382543,3792,119
2022-11-14$86.36$85.0024.9%7.1%36.1%35.3%22.8%9.5%-1.3%-250.6K8.0M-38.4K0.2757.75N/AN/A9382543,4542,119
2022-11-15$87.38$85.0025.7%7.4%36.2%37.3%25.3%4.9%-2.3%-224.9K6.9M-40.9K0.3975.96N/AN/A9383693,4542,119
2022-11-16$86.41$85.0024.0%6.9%36.4%33.1%23.1%3.5%1.3%-272.2K8.2M-39.7K0.4163.46N/AN/A9383893,4542,224
2022-11-17$85.48$85.0022.8%6.5%36.6%30.1%24.8%5.5%0.1%-406.7K9.9M-33.6K0.7255.08N/AN/A8305993,4542,244
2022-11-18$85.52$85.0024.6%7.1%36.5%34.6%21.8%10.6%-6.4%-500.8K10.4M-37.0K1.0863.68N/AN/A7878523,4762,574
2022-11-21$84.70$85.0025.4%7.3%36.6%36.5%24.5%3.3%-2.7%-521.2K11.9M-36.4K0.8753.27N/AN/A7416422,9012,742
2022-11-22$85.93$85.0024.5%7.0%35.5%34.2%22.5%3.8%-2.5%-511.6K10.5M-44.6K0.8754.01N/AN/A7416422,9033,025
2022-11-23$87.05$85.0022.5%6.5%34.3%29.4%25.8%0.9%-1.0%-607.4K9.7M-42.1K0.9770.32N/AN/A6596392,9033,025
2022-11-25$86.81$85.0023.2%6.7%31.9%31.1%25.0%4.3%-4.8%-681.7K10.4M-42.9K20.0074.00N/AN/A1202,9103,395
2022-11-28$85.19$85.0025.5%7.3%31.8%36.8%25.1%3.2%-4.3%-676.1K12.5M-39.2K5.8365.08N/AN/A241402,9083,416
2022-11-29$85.24$85.0026.3%7.5%31.6%38.6%0.0%4.1%-3.9%-717.3K12.7M-39.8K60.0064.82N/AN/A31802,9323,556
2022-11-30$88.52$85.0025.9%7.4%34.0%37.8%23.8%1.4%-6.8%-677.9K7.8M-43.8K0.0092.11N/AN/A202,9333,736