VOX Options History — January 2023

In January 2023, VOX traded between $83.23 and $95.00. ATM implied volatility averaged 23.6%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 1.2% (HV 20d: 22.4%). Max pain ranged from $85.00 to $91.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.77.

Notable Days

  • 2023-01-12: Highest Volume — 61 contracts
  • 2023-01-09: Largest IV spike — 98.6% change
  • 2023-01-04: Highest IV Rank — 36.0%
  • 2023-01-04: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.57$83.23$95.00$83.23$94.31
Max Pain$86.70$85.00$91.00$91.00$86.00
ATM IV23.6%12.9%33.4%27.6%26.3%
Expected Move6.6%4.9%9.6%7.9%7.5%
HV 20d22.4%16.4%27.5%27.5%16.4%
HV 60d28.7%26.6%30.2%30.2%26.6%
IV Rank18.5%1.8%36.0%27.4%22.5%
IV Percentile31.8%1.2%88.5%57.9%45.6%
Term Structure-1.5%-11.4%5.6%5.6%-1.1%
VWIV25.0%19.9%39.1%29.7%23.9%
Skew 25d1.7%-21.8%11.4%4.5%0.7%
Skew 10d0.8%-29.1%16.7%-29.1%4.3%
Call IV 25d27.6%18.6%54.7%54.7%27.3%
Put IV 25d29.3%18.5%59.2%59.2%28.0%
Bid-Ask Spread %106.0478.32139.16132.72100.49
Gamma HHI0.200.100.690.100.12
Net GEX-346.1K-3.0M41.6K-294.5K41.6K
Net DEX2.7M-1.3M8.6M8.3M-890.7K
Net VEX-9.8K-31.9K-2.8K-31.9K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.005.000.000.71
Total Volume11.7061210
Total OI4,317.91876,5776,512217

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$83.23$91.0027.6%7.9%27.5%27.4%29.7%4.5%5.6%-294.5K8.3M-31.9K0.00132.72N/AN/A2103,3823,130
2023-01-04$84.25$91.0033.4%9.6%27.4%36.0%39.1%-21.8%-7.1%-504.0K8.6M-25.3K0.00131.49N/AN/A303,3773,130
2023-01-05$84.82$87.0033.3%7.3%26.1%35.5%0.0%2.3%-2.0%-546.2K8.2M-19.7K0.00102.66N/AN/A103,3803,130
2023-01-06$86.39$87.0012.9%5.5%26.8%1.8%0.0%-1.3%1.2%3.9K6.2M-9.0K0.00116.86N/AN/A0103,3803,130
2023-01-09$86.56$87.0025.6%6.2%26.7%22.2%0.0%7.6%-1.7%-405.3K6.4M-13.1K0.0078.32N/AN/A003,3803,131
2023-01-10$87.47$87.0027.0%6.8%26.9%24.6%19.9%-5.8%-1.4%-88.7K4.7M-10.1K0.00106.57N/AN/A1303,3803,131
2023-01-11$88.42$87.0020.9%6.0%27.1%13.5%0.0%4.0%1.9%-523.3K4.7M-15.5K0.0097.21N/AN/A1403,3933,131
2023-01-12$89.24$87.0023.6%6.8%26.5%18.1%0.0%8.3%0.8%-233.9K1.4M-17.8K0.02108.94N/AN/A6013,4043,131
2023-01-13$89.75$87.0018.9%5.4%25.9%10.1%20.9%2.8%2.9%-354.1K1.8M-10.1K1.38103.02N/AN/A8113,4343,131
2023-01-17$89.25$85.0020.8%6.0%20.3%13.3%0.0%0.2%-1.5%-619.4K2.2M-7.7K0.0091.52N/AN/A003,4223,142
2023-01-18$88.28$85.0019.8%5.7%21.0%11.6%21.2%-1.6%2.0%-198.3K4.8M-5.2K0.0091.83N/AN/A1803,4223,142
2023-01-19$88.56$85.0022.0%6.3%18.0%15.3%23.9%3.4%-3.4%-394.3K3.6M-6.7K0.0088.44N/AN/A093,4313,142
2023-01-20$91.08$86.0021.5%6.2%19.8%14.5%22.9%7.3%-3.1%-3.0M-1.3M-3.4K0.00103.53N/AN/A1103,4313,146
2023-01-23$92.64$86.0017.0%4.9%20.0%7.0%25.3%9.1%0.2%32.5K-767.7K-2.9K4.50116.02N/AN/A2914839
2023-01-24$92.23$86.0026.0%7.4%19.2%22.0%23.9%2.9%-6.3%32.9K-763.5K-2.9K0.00139.16N/AN/A2014942
2023-01-25$92.55$86.0026.0%7.5%19.2%22.1%24.6%11.4%-11.4%31.4K-738.7K-3.0K0.00113.19N/AN/A6015042
2023-01-26$93.77$86.0019.9%5.7%18.7%11.9%0.0%-2.2%-0.1%36.6K-836.4K-2.8K5.00102.96N/AN/A1515142
2023-01-27$95.00$86.0022.6%6.5%16.6%16.3%23.9%-0.1%-6.2%33.8K-889.0K-2.8K0.00103.23N/AN/A17015247
2023-01-30$93.57$86.0027.1%7.8%17.0%24.0%0.0%2.4%0.8%41.2K-846.9K-3.1K0.7192.57N/AN/A7516947
2023-01-31$94.31$86.0026.3%7.5%16.4%22.5%0.0%0.7%-1.1%41.6K-890.7K-3.0K0.00100.49N/AN/A0017146