VOX Options History — March 2023

In March 2023, VOX traded between $87.67 and $96.28. ATM implied volatility averaged 29.2%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 7.8% (HV 20d: 21.4%). Max pain ranged from $81.00 to $94.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.22.

Notable Days

  • 2023-03-01: Highest Volume — 35 contracts
  • 2023-03-13: Largest IV spike — 48.8% change
  • 2023-03-13: Highest IV Rank — 91.6%
  • 2023-03-15: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.27$87.67$96.28$90.28$96.28
Max Pain$84.96$81.00$94.00$94.00$81.00
ATM IV29.2%21.2%67.3%23.5%22.1%
Expected Move7.2%6.1%9.7%6.7%6.3%
HV 20d21.4%18.9%27.6%27.6%21.4%
HV 60d23.9%22.6%25.3%25.0%22.7%
IV Rank27.6%14.0%91.6%17.9%15.6%
IV Percentile48.5%12.7%99.6%25.8%15.1%
Term Structure-0.9%-8.7%2.8%2.1%-1.0%
VWIV21.9%16.6%29.5%21.6%22.4%
Skew 25d5.8%-7.6%17.9%17.1%1.7%
Skew 10d0.1%-13.7%11.4%-12.8%-12.0%
Call IV 25d25.6%18.1%35.7%24.3%28.9%
Put IV 25d31.4%22.9%43.9%41.5%30.6%
Bid-Ask Spread %109.5191.62130.60102.10107.94
Gamma HHI0.110.090.140.090.14
Net GEX49.3K35.6K66.9K36.9K66.9K
Net DEX-821.6K-1.2M-471.7K-643.8K-1.2M
Net VEX-2.8K-3.2K-2.3K-3.2K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.001.000.400.00
Total Volume4.174035354
Total OI239.217200256249227

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$90.28$94.0023.5%6.7%27.6%17.9%21.6%17.1%2.1%36.9K-643.8K-3.2K0.40102.10N/AN/A251020247
2023-03-02$91.06$94.0023.8%6.8%26.6%18.4%0.0%12.5%1.6%37.4K-621.2K-3.0K0.0099.70N/AN/A0020047
2023-03-03$92.65$94.0023.9%6.8%21.3%18.5%0.0%-7.6%-1.6%44.1K-808.7K-3.1K0.00104.10N/AN/A5020047
2023-03-06$92.84$81.0027.7%6.5%20.9%25.0%20.4%2.3%-0.8%48.9K-840.9K-3.0K0.0092.10N/AN/A2020547
2023-03-07$91.69$81.0031.5%6.1%21.0%31.4%0.0%5.0%0.3%45.0K-776.6K-3.0K0.0091.62N/AN/A2020747
2023-03-08$91.63$81.0028.2%6.2%20.0%25.8%0.0%1.9%0.8%44.4K-704.9K-3.0K0.0094.30N/AN/A0020947
2023-03-09$89.30$81.0032.3%7.0%19.6%32.7%0.0%0.8%-0.9%39.4K-567.9K-3.0K0.0097.53N/AN/A0020947
2023-03-10$87.67$81.0045.2%7.6%18.9%54.4%29.5%17.9%0.5%35.6K-471.7K-2.9K0.00107.88N/AN/A0320947
2023-03-13$88.26$85.0067.3%9.4%19.2%91.6%0.0%1.0%-4.4%40.0K-541.8K-2.9K0.00130.60N/AN/A0020939
2023-03-14$89.42$85.0046.3%8.8%19.5%56.3%0.0%14.0%-6.3%41.4K-605.5K-2.7K0.00117.73N/AN/A0020939
2023-03-15$90.48$85.0033.9%9.7%20.1%35.5%0.0%4.7%-2.4%37.2K-619.6K-2.9K0.00127.86N/AN/A0120939
2023-03-16$92.70$85.0028.4%8.2%21.5%26.2%18.0%14.3%-8.7%53.8K-814.7K-2.9K0.00122.31N/AN/A2020938
2023-03-17$92.07$85.0026.1%7.5%21.3%22.2%0.0%8.9%-2.5%50.4K-805.2K-2.7K0.00123.37N/AN/A0020938
2023-03-20$92.51$85.0024.9%7.1%21.4%20.3%19.8%6.3%0.1%41.7K-823.7K-2.6K0.00124.97N/AN/A26017228
2023-03-21$94.78$85.0021.2%6.1%21.9%14.0%16.6%1.7%2.7%62.6K-1.0M-2.5K1.00125.98N/AN/A1119828
2023-03-22$93.91$85.0022.1%6.3%22.2%15.6%0.0%10.7%2.8%53.6K-1.1M-2.8K0.00123.08N/AN/A0019928
2023-03-23$94.30$85.0028.0%8.0%22.2%25.5%0.0%-4.4%-5.9%53.8K-964.2K-2.9K0.00110.94N/AN/A0019928
2023-03-24$94.21$85.0023.8%6.8%20.8%18.5%21.2%7.8%0.6%57.0K-1.0M-2.6K0.00106.83N/AN/A5019928
2023-03-27$94.14$85.0023.4%6.7%20.8%17.7%23.3%6.1%1.3%60.2K-1.1M-2.5K0.00100.32N/AN/A6020128
2023-03-28$92.97$85.0023.6%6.8%21.4%18.1%23.6%1.6%0.3%58.7K-941.1K-2.5K1.00106.64N/AN/A1120128
2023-03-29$94.34$85.0023.3%6.7%21.6%17.5%25.1%1.6%-0.2%61.6K-1.0M-2.4K0.00102.11N/AN/A0120028
2023-03-30$94.72$81.0022.1%6.3%21.5%15.6%0.0%6.8%-0.1%62.2K-1.0M-2.3K0.0098.69N/AN/A0020027
2023-03-31$96.28$81.0022.1%6.3%21.4%15.6%22.4%1.7%-1.0%66.9K-1.2M-2.3K0.00107.94N/AN/A4020027