VOX Options History — May 2023

In May 2023, VOX traded between $94.98 and $101.81. ATM implied volatility averaged 22.2%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 0.5% (HV 20d: 22.6%). Max pain ranged from $92.00 to $99.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 2.00.

Notable Days

  • 2023-05-31: Highest Volume — 22 contracts
  • 2023-05-10: Largest IV drop — 47.9% change
  • 2023-05-09: Highest IV Rank — 40.7%
  • 2023-05-03: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$99.03$94.98$101.81$99.00$101.69
Max Pain$95.00$92.00$99.00$95.00$99.00
ATM IV22.2%17.8%37.1%23.1%20.1%
Expected Move6.0%5.0%8.2%6.6%5.8%
HV 20d22.6%14.9%24.7%22.2%14.9%
HV 60d20.7%20.0%21.9%21.7%20.0%
IV Rank15.7%8.3%40.7%17.2%12.1%
IV Percentile22.1%1.6%93.7%25.0%10.7%
Term Structure-2.6%-12.9%5.5%-3.8%-2.9%
VWIV18.7%13.5%24.3%17.3%19.8%
Skew 25d3.1%-10.1%18.7%5.8%1.4%
Skew 10d4.4%-11.1%17.7%12.5%-8.5%
Call IV 25d22.0%9.3%30.8%16.1%18.9%
Put IV 25d25.0%13.4%36.6%22.0%20.4%
Bid-Ask Spread %126.5055.23162.47115.70122.92
Gamma HHI0.180.100.340.140.34
Net GEX43.4K38.4K52.1K41.8K47.2K
Net DEX-1.2M-1.4M-953.8K-1.2M-1.3M
Net VEX-2.0K-2.5K-1.5K-2.3K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.000.0010.000.0010.00
Total Volume1.545022022
Total OI200.727195204204198

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$99.00$95.0023.1%6.6%22.2%17.2%0.0%5.8%-3.8%41.8K-1.2M-2.3K0.00115.70N/AN/A0017628
2023-05-02$96.90$95.0023.4%6.7%23.6%17.8%17.3%1.1%-0.8%41.5K-1.1M-2.3K0.00121.09N/AN/A4017628
2023-05-03$96.65$96.0028.4%8.2%23.6%26.2%0.0%4.5%-12.9%40.9K-1.0M-2.5K0.00138.00N/AN/A0017428
2023-05-04$94.98$99.0018.8%6.2%24.4%10.0%0.0%10.4%1.9%38.7K-953.8K-2.4K0.0082.07N/AN/A0017428
2023-05-05$96.28$99.0023.8%5.6%24.3%18.4%0.0%2.5%0.2%38.4K-1.0M-2.3K0.00142.94N/AN/A0017428
2023-05-08$97.21$99.0025.4%5.0%24.6%21.0%0.0%-2.1%5.5%39.7K-1.0M-2.2K0.00130.43N/AN/A0017428
2023-05-09$96.61$99.0037.1%5.6%24.7%40.7%0.0%0.0%1.0%41.7K-1.1M-2.1K0.00146.79N/AN/A0017428
2023-05-10$97.50$99.0019.3%5.5%24.7%10.8%0.0%5.7%0.8%42.4K-1.1M-2.1K0.0055.23N/AN/A0017428
2023-05-11$98.33$99.0020.7%5.9%23.9%13.1%0.0%10.9%-0.5%45.5K-1.1M-2.2K0.0098.98N/AN/A0017428
2023-05-12$98.15$99.0019.4%5.6%23.9%10.9%24.3%6.6%-0.6%43.5K-1.1M-2.3K0.0099.93N/AN/A2017428
2023-05-15$98.69$92.0019.8%5.7%23.9%11.6%0.0%6.9%-3.3%45.8K-1.2M-1.9K0.0088.23N/AN/A2017428
2023-05-16$98.79$92.0019.1%5.5%23.8%10.5%0.0%18.7%-2.9%44.4K-1.2M-1.9K0.00162.47N/AN/A0017628
2023-05-17$99.91$92.0019.5%5.6%23.9%11.1%0.0%-5.3%-3.7%43.5K-1.2M-1.8K0.00150.45N/AN/A0017628
2023-05-18$101.52$92.0021.4%6.1%24.0%14.3%0.0%12.7%-3.6%52.1K-1.4M-1.7K0.00146.68N/AN/A0017628
2023-05-19$100.69$92.0021.5%6.2%24.3%14.5%0.0%-7.0%-3.6%44.9K-1.3M-1.8K0.00155.62N/AN/A0017628
2023-05-22$101.81$92.0017.8%5.1%24.5%8.3%13.5%-2.9%-4.6%43.8K-1.4M-1.7K0.00153.58N/AN/A0117025
2023-05-23$100.81$92.0023.2%6.7%24.2%17.4%0.0%3.0%-2.9%42.0K-1.3M-1.7K0.00153.99N/AN/A0017026
2023-05-24$100.04$92.0023.3%6.7%23.9%17.5%0.0%7.3%-6.9%41.5K-1.2M-1.8K0.00141.69N/AN/A0017026
2023-05-25$99.94$92.0019.4%5.6%16.4%11.0%0.0%3.0%-3.1%47.8K-1.2M-1.8K0.00121.31N/AN/A0017026
2023-05-26$101.54$92.0023.9%6.9%17.2%18.6%0.0%-5.9%-7.7%42.6K-1.3M-1.7K0.00134.00N/AN/A2017026
2023-05-30$101.63$92.0019.7%5.6%17.2%11.5%19.8%-10.1%-1.8%45.2K-1.3M-1.5K0.00120.81N/AN/A0117126
2023-05-31$101.69$99.0020.1%5.8%14.9%12.1%0.0%1.4%-2.9%47.2K-1.3M-1.5K10.00122.92N/AN/A22017127