VOX Options History — December 2022

In December 2022, VOX traded between $80.08 and $89.34. ATM implied volatility averaged 31.0%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.6% (HV 20d: 28.4%). Max pain ranged from $85.00 to $91.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 3.63.

Notable Days

  • 2022-12-08: Highest Volume — 568 contracts
  • 2022-12-13: Largest IV spike — 76.5% change
  • 2022-12-13: Highest IV Rank — 100.0%
  • 2022-12-27: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.79$80.08$89.34$89.34$81.92
Max Pain$90.43$85.00$91.00$85.00$91.00
ATM IV31.0%17.0%72.2%27.6%23.0%
Expected Move6.8%4.9%8.5%7.9%6.6%
HV 20d28.4%22.5%33.0%32.2%26.6%
HV 60d30.9%29.9%32.3%32.3%30.1%
IV Rank41.5%10.4%100.0%42.0%19.9%
IV Percentile56.0%8.3%100.0%60.3%25.4%
Term Structure-1.7%-16.1%8.5%-2.6%-3.1%
VWIV23.4%16.3%35.7%26.5%23.2%
Skew 25d5.6%-6.2%17.7%-6.2%-3.6%
Skew 10d6.9%-7.6%17.3%7.7%10.0%
Call IV 25d24.4%17.8%31.3%22.9%23.6%
Put IV 25d30.0%16.7%45.1%16.7%20.0%
Bid-Ask Spread %107.3675.66130.2979.77104.97
Gamma HHI0.180.130.250.250.18
Net GEX-746.5K-1.3M-494.4K-614.4K-857.7K
Net DEX12.2M6.3M15.8M6.6M11.0M
Net VEX-31.3K-44.4K-17.9K-44.3K-17.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.630.0051.002.080.00
Total Volume45.4760568402
Total OI6,7896,4906,9956,6696,510

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$89.34$85.0027.6%7.9%32.2%42.0%26.5%-6.2%-2.6%-614.4K6.6M-44.3K2.0879.77N/AN/A13272,9333,736
2022-12-02$89.20$85.0025.6%7.3%30.3%37.0%18.5%9.3%-2.6%-655.1K7.5M-44.4K0.0084.13N/AN/A102,9343,763
2022-12-05$87.49$91.0038.0%7.4%31.5%67.7%0.0%6.9%-5.2%-670.6K8.4M-40.4K0.00116.40N/AN/A002,9353,763
2022-12-06$85.31$91.0033.7%6.9%32.8%57.1%22.7%5.9%1.4%-790.2K12.8M-39.0K0.4099.31N/AN/A522,9353,763
2022-12-07$84.67$91.0042.4%6.4%33.0%78.5%23.2%-0.5%1.5%-718.3K13.6M-40.7K0.0097.75N/AN/A012,9333,764
2022-12-08$84.52$91.0048.0%6.5%31.7%92.2%24.5%13.9%1.2%-656.1K12.5M-44.1K0.4689.67N/AN/A3891792,9333,765
2022-12-09$84.89$91.0039.6%7.0%24.7%71.5%24.3%2.0%1.5%-568.1K11.3M-41.5K1.3086.78N/AN/A71923,3223,586
2022-12-12$85.23$91.0040.9%6.9%22.5%74.8%21.6%4.5%0.2%-633.3K11.6M-35.0K51.0075.66N/AN/A1513,3923,603
2022-12-13$86.89$91.0072.2%5.8%23.6%100.0%18.0%11.8%8.5%-494.4K6.3M-33.7K0.45124.78N/AN/A22103,3913,553
2022-12-14$85.70$91.0023.9%6.8%23.7%21.5%0.0%5.3%1.7%-530.6K8.7M-35.2K0.00128.36N/AN/A1203,4103,543
2022-12-15$82.19$91.0022.6%6.5%27.6%19.4%0.0%14.4%1.8%-669.0K14.3M-32.3K0.00121.21N/AN/A013,4203,543
2022-12-16$82.28$91.0024.7%7.1%27.5%22.9%24.7%5.4%-3.2%-768.5K14.3M-31.6K0.00126.54N/AN/A023,4203,538
2022-12-19$80.22$91.0028.8%8.2%28.7%29.5%35.7%11.3%-15.0%-729.1K15.5M-29.1K0.17125.49N/AN/A613,3273,527
2022-12-20$80.96$91.0025.3%7.3%28.9%23.9%0.0%2.7%-7.2%-894.2K15.6M-24.7K0.00106.67N/AN/A003,3313,527
2022-12-21$81.98$91.0017.0%4.9%28.8%10.4%17.9%5.6%0.1%-768.6K14.8M-22.0K0.45114.76N/AN/A22103,3313,527
2022-12-22$80.97$91.0025.4%7.3%28.4%24.0%27.8%2.4%-3.9%-954.3K15.8M-22.8K0.00114.66N/AN/A103,3473,537
2022-12-23$81.91$91.0018.5%5.3%28.9%12.8%26.6%3.3%3.1%-1.3M15.7M-19.9K1.33130.29N/AN/A683,3483,537
2022-12-27$81.41$91.0029.5%8.5%28.3%30.6%0.0%17.7%-16.1%-831.8K14.5M-19.4K0.00109.03N/AN/A403,3513,343
2022-12-28$80.08$91.0022.8%6.5%28.7%19.5%0.0%4.8%1.4%-901.1K14.3M-21.4K0.50108.37N/AN/A843,3523,306
2022-12-29$82.35$91.0021.1%6.1%27.0%16.9%16.3%0.6%0.8%-689.2K11.5M-18.9K0.00109.92N/AN/A403,3603,130
2022-12-30$81.92$91.0023.0%6.6%26.6%19.9%23.2%-3.6%-3.1%-857.7K11.0M-17.9K0.00104.97N/AN/A203,3803,130