VOX Options History — October 2023

In October 2023, VOX traded between $100.49 and $109.69. ATM implied volatility averaged 21.8%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 3.9% (HV 20d: 17.9%). Max pain ranged from $95.00 to $105.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.04.

Notable Days

  • 2023-10-24: Highest Volume — 35 contracts
  • 2023-10-09: Largest IV spike — 39.1% change
  • 2023-10-26: Highest IV Rank — 25.7%
  • 2023-10-26: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.12$100.49$109.69$105.61$103.43
Max Pain$103.45$95.00$105.00$100.00$95.00
ATM IV21.8%18.0%28.1%21.3%22.6%
Expected Move6.1%5.2%8.1%6.1%6.5%
HV 20d17.9%13.2%26.1%13.2%25.8%
HV 60d16.8%15.7%19.2%16.3%19.0%
IV Rank15.0%8.6%25.7%14.1%16.3%
IV Percentile44.4%15.5%84.1%38.9%54.4%
Term Structure-2.0%-8.2%5.2%-1.5%-2.0%
VWIV21.0%17.3%24.3%24.3%23.0%
Skew 25d4.2%-14.8%12.6%-1.4%6.2%
Skew 10d4.8%-18.7%13.1%13.1%4.4%
Call IV 25d19.9%13.2%31.8%24.3%19.9%
Put IV 25d24.1%17.1%31.0%22.8%26.1%
Bid-Ask Spread %97.9159.15138.3895.94117.53
Gamma HHI0.230.130.430.230.16
Net GEX37.0K23.0K54.6K44.0K30.5K
Net DEX-643.8K-909.2K-209.2K-734.7K-289.1K
Net VEX-1.2K-1.6K-835-1.4K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.040.000.400.320.00
Total Volume7.22703504
Total OI123.77367147136116

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$105.61$100.0021.3%6.1%13.2%14.1%0.0%-1.4%-1.5%44.0K-734.7K-1.4K0.0095.94N/AN/A0012412
2023-10-03$104.18$100.0021.6%6.2%13.9%14.7%24.3%4.6%5.2%44.1K-646.6K-1.4K0.32121.33N/AN/A19612412
2023-10-04$105.53$100.0023.4%6.7%14.7%17.6%0.0%-14.8%-2.1%41.0K-725.9K-1.5K0.00122.45N/AN/A0012812
2023-10-05$105.48$105.0021.1%6.3%14.7%13.9%0.0%-1.2%-2.0%44.0K-733.4K-1.5K0.0066.26N/AN/A0012812
2023-10-06$107.36$105.0020.1%5.4%16.2%12.2%21.8%5.8%-5.2%41.3K-858.4K-1.3K0.0097.23N/AN/A1012812
2023-10-09$108.29$105.0028.0%5.7%15.7%25.5%0.0%4.0%1.0%39.7K-909.2K-1.3K0.0073.21N/AN/A17012912
2023-10-10$109.02$105.0025.1%6.1%15.6%20.5%0.0%5.8%-2.8%37.9K-824.3K-1.0K0.0065.50N/AN/A0011612
2023-10-11$109.69$105.0019.1%5.5%15.8%10.5%18.4%3.5%-2.6%35.5K-856.9K-9690.0059.15N/AN/A1011612
2023-10-12$108.44$105.0020.3%5.8%15.4%12.5%17.3%5.3%-3.1%37.5K-833.9K-9240.0062.81N/AN/A2011712
2023-10-13$106.84$105.0021.9%6.3%15.5%15.1%0.0%5.1%-4.2%46.5K-742.3K-9340.0088.60N/AN/A1011712
2023-10-16$108.78$105.0021.1%6.1%16.8%13.9%0.0%3.3%-2.7%32.4K-861.6K-8470.0098.28N/AN/A2011812
2023-10-17$109.00$105.0018.6%5.3%16.8%9.7%23.0%7.0%-3.2%34.0K-880.1K-8350.0096.78N/AN/A25012012
2023-10-18$107.08$105.0020.3%5.8%17.3%12.5%0.0%10.6%-0.7%50.3K-840.3K-1.3K0.00138.38N/AN/A4013112
2023-10-19$107.22$105.0018.0%5.2%16.7%8.6%0.0%4.0%-0.1%50.1K-856.5K-1.3K0.00112.03N/AN/A1013412
2023-10-20$106.29$105.0021.2%6.1%17.0%14.0%0.0%4.9%0.5%54.6K-770.8K-1.2K0.00107.65N/AN/A3013512
2023-10-23$106.69$105.0019.2%5.5%16.9%10.6%19.0%8.2%0.2%24.5K-364.3K-1.2K0.0076.91N/AN/A10670
2023-10-24$108.00$105.0019.6%5.6%16.8%11.2%19.2%8.2%-2.5%25.4K-405.4K-1.2K0.4076.46N/AN/A2510680
2023-10-25$103.22$105.0024.7%7.1%23.7%20.0%23.6%-6.4%-2.9%25.2K-308.6K-1.5K0.00122.03N/AN/A409310
2023-10-26$101.03$102.0028.1%8.1%24.4%25.7%20.6%7.3%-8.2%23.6K-235.5K-1.4K0.00132.95N/AN/A209710
2023-10-27$100.49$102.0022.3%6.4%24.5%15.9%0.0%9.4%2.5%23.0K-209.2K-1.3K0.00105.44N/AN/A209910
2023-10-30$102.92$102.0022.1%6.3%26.1%15.6%23.0%12.6%-7.4%28.3K-276.2K-1.4K0.07117.15N/AN/A2729810
2023-10-31$103.43$95.0022.6%6.5%25.8%16.3%0.0%6.2%-2.0%30.5K-289.1K-1.6K0.00117.53N/AN/A4010412