VOX Options History — June 2023

In June 2023, VOX traded between $102.50 and $106.98. ATM implied volatility averaged 18.2%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 5.8% (HV 20d: 12.4%). Max pain ranged from $80.00 to $99.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.22.

Notable Days

  • 2023-06-01: Highest Volume — 13 contracts
  • 2023-06-06: Largest IV spike — 106.9% change
  • 2023-06-06: Highest IV Rank — 32.8%
  • 2023-06-29: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.69$102.50$106.98$102.50$106.42
Max Pain$82.19$80.00$99.00$99.00$84.00
ATM IV18.2%14.2%32.3%18.5%19.3%
Expected Move4.8%4.0%6.7%5.3%5.5%
HV 20d12.4%11.7%14.9%14.9%12.8%
HV 60d18.0%17.4%19.9%19.9%17.5%
IV Rank9.0%2.2%32.8%9.4%10.9%
IV Percentile11.2%0.4%86.5%2.4%11.5%
Term Structure1.1%-5.2%6.4%-0.9%1.3%
VWIV15.1%13.2%17.3%13.2%14.9%
Skew 25d2.5%-2.2%12.3%2.6%5.1%
Skew 10d3.3%-4.6%14.5%3.6%-3.1%
Call IV 25d15.3%11.6%21.3%16.3%14.5%
Put IV 25d17.7%13.9%26.3%18.9%19.7%
Bid-Ask Spread %111.0097.29128.89117.42110.09
Gamma HHI0.240.150.370.310.17
Net GEX38.0K19.6K62.7K40.2K25.9K
Net DEX-1.5M-1.8M-1.3M-1.3M-1.3M
Net VEX-1.6K-1.9K-1.3K-1.7K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.002.000.002.00
Total Volume1.524013130
Total OI224.048197240219197

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$102.50$99.0018.5%5.3%14.9%9.4%0.0%2.6%-0.9%40.2K-1.3M-1.7K0.00117.42N/AN/A13017247
2023-06-02$103.11$99.0015.5%4.4%12.9%4.3%0.0%-2.2%-0.5%50.3K-1.5M-1.9K0.00109.79N/AN/A0018547
2023-06-05$103.48$80.0015.6%4.4%12.4%4.6%0.0%-1.4%6.4%49.2K-1.5M-1.8K0.0097.29N/AN/A2018547
2023-06-06$104.13$80.0032.3%5.2%12.2%32.8%0.0%2.5%-1.3%40.5K-1.5M-1.8K0.00126.67N/AN/A0018947
2023-06-07$103.31$80.0019.2%4.8%12.4%10.6%0.0%2.0%1.0%53.4K-1.5M-1.8K0.00103.70N/AN/A0018947
2023-06-08$103.55$80.0018.7%4.4%12.2%9.8%0.0%1.4%1.6%55.7K-1.5M-1.7K0.00111.97N/AN/A0018847
2023-06-09$103.69$80.0014.6%4.2%12.1%2.9%13.2%1.1%4.2%62.7K-1.5M-1.8K0.00102.79N/AN/A1018847
2023-06-12$104.72$80.0017.1%4.0%12.2%7.2%0.0%5.1%2.6%55.4K-1.7M-1.5K0.00101.61N/AN/A2018947
2023-06-13$105.25$80.0021.9%4.5%12.2%15.1%0.0%1.8%1.8%50.0K-1.7M-1.5K0.00105.64N/AN/A3019047
2023-06-14$105.26$80.0015.2%4.4%12.2%4.0%0.0%3.1%5.0%38.6K-1.7M-1.5K0.00105.64N/AN/A1019347
2023-06-15$106.98$80.0016.0%4.6%12.8%5.3%0.0%1.0%2.4%38.6K-1.8M-1.4K0.00110.75N/AN/A0019347
2023-06-16$106.44$80.0017.3%5.0%12.2%7.5%17.3%3.8%2.4%41.8K-1.8M-1.4K0.00111.77N/AN/A4019347
2023-06-20$105.61$80.0014.4%4.1%12.1%2.5%14.9%1.3%1.6%24.5K-1.5M-1.4K0.00103.02N/AN/A0116645
2023-06-21$104.27$80.0021.1%6.0%12.8%13.8%0.0%1.1%-0.4%19.6K-1.4M-1.6K0.00128.10N/AN/A2016646
2023-06-22$104.66$80.0021.7%6.2%12.1%14.9%0.0%2.2%-3.3%20.9K-1.4M-1.7K0.00128.89N/AN/A0016846
2023-06-23$104.42$80.0017.1%4.9%11.7%7.1%0.0%0.6%-0.2%21.9K-1.4M-1.5K0.00113.70N/AN/A0016846
2023-06-26$103.81$80.0014.8%4.2%12.0%3.2%0.0%4.2%0.6%24.2K-1.4M-1.5K0.00107.42N/AN/A0016846
2023-06-27$105.47$80.0014.2%4.1%12.0%2.2%0.0%1.3%2.2%27.7K-1.5M-1.4K0.0099.66N/AN/A0016846
2023-06-28$106.06$80.0014.5%4.1%12.1%2.7%0.0%3.1%1.4%29.4K-1.5M-1.3K2.00109.24N/AN/A1216846
2023-06-29$105.25$84.0023.3%6.7%12.6%17.5%0.0%12.3%-5.2%28.2K-1.3M-1.4K0.00125.91N/AN/A0014948
2023-06-30$106.42$84.0019.3%5.5%12.8%10.9%0.0%5.1%1.3%25.9K-1.3M-1.4K0.00110.09N/AN/A0014948