VOX Options History — September 2023

In September 2023, VOX traded between $104.16 and $109.92. ATM implied volatility averaged 18.5%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.6% (HV 20d: 15.9%). Max pain ranged from $100.00 to $108.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2023-09-21: Highest Volume — 10 contracts
  • 2023-09-13: Largest IV drop — 48.4% change
  • 2023-09-12: Highest IV Rank — 22.8%
  • 2023-09-26: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.32$104.16$109.92$108.80$105.15
Max Pain$100.40$100.00$108.00$108.00$100.00
ATM IV18.5%13.6%26.4%15.0%15.6%
Expected Move4.9%3.9%7.1%4.3%4.5%
HV 20d15.9%12.9%17.5%16.8%13.4%
HV 60d16.4%16.2%16.6%16.3%16.3%
IV Rank9.5%1.3%22.8%3.5%4.6%
IV Percentile19.5%0.4%69.4%2.8%4.8%
Term Structure1.6%-10.0%9.2%6.5%9.2%
VWIV22.6%19.3%25.2%25.2%23.4%
Skew 25d1.2%-5.1%8.8%3.6%5.2%
Skew 10d1.5%-15.2%15.6%10.4%15.4%
Call IV 25d17.8%14.2%25.0%15.7%20.1%
Put IV 25d19.0%11.1%25.3%19.3%25.3%
Bid-Ask Spread %115.6787.46131.57103.90119.00
Gamma HHI0.160.110.240.120.24
Net GEX44.9K34.8K58.1K42.4K45.2K
Net DEX-769.7K-917.6K-634.0K-777.6K-692.5K
Net VEX-1.5K-1.9K-1.2K-1.9K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.6501001
Total OI133.85123138136136

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$108.80$108.0015.0%4.3%16.8%3.5%0.0%3.6%6.5%42.4K-777.6K-1.9K0.00103.90N/AN/A0012214
2023-09-05$108.85$100.0017.8%4.7%16.1%8.3%0.0%1.9%0.6%45.9K-827.2K-1.5K0.0093.53N/AN/A3012214
2023-09-06$108.02$100.0017.8%4.9%16.3%8.3%0.0%-5.1%-3.1%47.9K-750.0K-1.5K0.00112.98N/AN/A0312114
2023-09-07$107.92$100.0019.2%4.3%15.7%10.6%0.0%-5.0%-0.7%52.5K-811.2K-1.4K0.00109.30N/AN/A5012111
2023-09-08$107.84$100.0017.7%4.0%15.7%8.2%0.0%-2.5%0.2%55.7K-831.7K-1.4K0.00111.28N/AN/A0012611
2023-09-11$109.33$100.0021.9%5.2%16.5%15.2%0.0%4.1%0.4%58.1K-878.9K-1.5K0.0087.46N/AN/A0012611
2023-09-12$108.53$100.0026.4%3.9%16.6%22.8%0.0%-0.6%7.5%56.9K-827.6K-1.5K0.00113.60N/AN/A1012611
2023-09-13$108.34$100.0013.6%3.9%16.3%1.3%0.0%8.8%5.4%52.4K-847.2K-1.4K0.00128.22N/AN/A0012711
2023-09-14$109.92$100.0017.9%5.1%16.7%8.5%25.2%3.6%0.4%49.1K-917.6K-1.4K0.00130.57N/AN/A1012711
2023-09-15$108.34$100.0017.4%5.0%16.9%7.7%0.0%0.3%2.1%51.6K-812.1K-1.6K0.00130.36N/AN/A0012711
2023-09-18$108.47$100.0018.3%5.2%16.8%9.1%0.0%3.0%-0.2%34.8K-790.3K-1.3K0.00131.57N/AN/A1011211
2023-09-19$108.71$100.0016.3%4.7%16.7%5.8%19.3%2.8%0.6%35.3K-808.8K-1.2K0.00128.35N/AN/A0111311
2023-09-20$107.23$100.0017.4%5.0%17.5%7.6%0.0%3.7%4.6%34.8K-730.5K-1.5K0.00121.98N/AN/A1011312
2023-09-21$105.87$100.0018.1%5.2%17.0%8.7%0.0%-2.8%0.8%36.5K-642.4K-1.5K0.00119.79N/AN/A10011412
2023-09-22$105.74$100.0016.4%4.7%15.7%6.0%0.0%-3.5%-0.1%41.0K-739.8K-1.5K0.00113.49N/AN/A0012412
2023-09-25$105.32$100.0020.5%5.9%15.7%12.9%0.0%2.6%6.6%40.4K-694.7K-1.5K0.00112.38N/AN/A0012412
2023-09-26$104.16$100.0024.7%7.1%15.8%19.9%0.0%-2.5%-10.0%39.9K-634.0K-1.5K0.00121.53N/AN/A6012412
2023-09-27$104.37$100.0019.8%5.7%12.9%11.6%0.0%1.4%2.0%38.9K-667.7K-1.5K0.00121.16N/AN/A0012312
2023-09-28$105.47$100.0018.4%5.3%13.6%9.4%0.0%4.3%0.1%39.6K-712.4K-1.5K0.00103.04N/AN/A0012412
2023-09-29$105.15$100.0015.6%4.5%13.4%4.6%23.4%5.2%9.2%45.2K-692.5K-1.5K0.00119.00N/AN/A1012412