VOX Options History — November 2023

In November 2023, VOX traded between $104.77 and $113.83. ATM implied volatility averaged 18.9%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 3.7% (HV 20d: 22.7%). Max pain ranged from $95.00 to $107.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.08.

Notable Days

  • 2023-11-14: Highest Volume — 43 contracts
  • 2023-11-07: Largest IV spike — 49.4% change
  • 2023-11-07: Highest IV Rank — 26.5%
  • 2023-11-01: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.64$104.77$113.83$104.77$111.49
Max Pain$106.43$95.00$107.00$95.00$107.00
ATM IV18.9%11.8%28.6%24.7%16.5%
Expected Move5.0%3.4%7.1%7.1%4.7%
HV 20d22.7%13.4%26.6%25.8%14.3%
HV 60d19.5%18.8%20.1%19.2%18.9%
IV Rank10.6%0.0%26.5%19.9%7.8%
IV Percentile28.4%0.0%87.7%68.7%9.9%
Term Structure-0.2%-11.5%7.7%-11.5%0.5%
VWIV17.2%11.0%25.8%19.5%13.7%
Skew 25d2.4%-4.0%10.4%4.3%9.0%
Skew 10d5.9%-10.2%19.4%2.2%10.1%
Call IV 25d19.2%13.0%30.3%30.3%15.3%
Put IV 25d21.6%14.6%34.5%34.5%24.3%
Bid-Ask Spread %123.3870.96141.03137.85126.25
Gamma HHI0.220.140.480.160.15
Net GEX61.0K35.5K131.7K35.5K62.4K
Net DEX-797.6K-1.3M-371.5K-371.5K-824.0K
Net VEX-1.8K-2.0K-1.6K-1.8K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.001.000.000.00
Total Volume4.52404302
Total OI131.429119168119141

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$104.77$95.0024.7%7.1%25.8%19.9%0.0%4.3%-11.5%35.5K-371.5K-1.8K0.00137.85N/AN/A0010712
2023-11-02$106.52$107.0024.4%4.4%26.4%19.4%0.0%0.7%2.5%41.5K-455.5K-1.8K0.00117.15N/AN/A0010712
2023-11-03$108.63$107.0026.9%4.9%26.6%23.6%0.0%0.6%-0.0%49.7K-571.3K-1.9K0.00125.24N/AN/A1010712
2023-11-06$107.99$107.0019.2%5.0%26.5%10.6%0.0%0.7%0.6%58.8K-528.8K-1.8K0.0070.96N/AN/A0010812
2023-11-07$108.84$107.0028.6%5.6%26.6%26.5%0.0%6.2%-0.5%49.0K-598.3K-1.7K0.00106.90N/AN/A0010812
2023-11-08$108.68$107.0019.8%5.7%26.5%11.7%0.0%-1.0%-5.9%66.3K-576.0K-1.7K0.00120.00N/AN/A1010812
2023-11-09$108.07$107.0016.0%4.6%26.2%5.3%0.0%7.1%0.9%51.3K-550.6K-1.8K0.00127.59N/AN/A0010912
2023-11-10$109.26$107.0016.1%4.6%25.9%5.4%19.5%3.1%-3.5%62.5K-605.9K-1.7K0.00130.29N/AN/A17010912
2023-11-13$109.21$107.0019.1%5.5%25.1%10.5%0.0%-4.0%-6.8%63.3K-704.5K-1.8K0.00141.03N/AN/A0012612
2023-11-14$111.45$107.0015.7%4.5%26.1%4.7%25.8%-1.3%7.7%72.8K-943.4K-1.8K0.00125.39N/AN/A43012612
2023-11-15$111.94$107.0020.9%6.0%25.2%13.5%0.0%-3.0%-3.6%131.7K-1.2M-2.0K0.00134.69N/AN/A2015412
2023-11-16$112.05$107.0016.1%4.6%25.2%5.4%0.0%-0.2%3.0%96.2K-1.3M-1.9K0.00114.19N/AN/A0015612
2023-11-17$112.03$107.0015.0%4.3%24.9%3.6%0.0%1.8%5.1%75.0K-1.3M-1.9K1.00121.66N/AN/A2215612
2023-11-20$113.44$107.0016.7%4.8%25.1%6.4%16.7%5.6%-1.5%46.0K-867.2K-1.7K0.00122.58N/AN/A3011110
2023-11-21$112.88$107.0020.7%5.9%25.0%13.2%0.0%6.8%-3.5%50.7K-861.5K-1.8K0.00132.76N/AN/A1011410
2023-11-22$113.83$107.0016.9%4.9%17.7%6.8%0.0%5.1%0.0%48.2K-908.8K-1.8K0.00127.00N/AN/A2011510
2023-11-24$113.42$107.0011.8%3.4%15.1%0.0%11.0%10.4%6.3%52.0K-944.3K-1.6K0.00116.98N/AN/A4011710
2023-11-27$113.25$107.0017.1%4.9%14.8%8.8%0.0%3.7%5.6%55.4K-896.8K-1.7K0.00128.49N/AN/A0011810
2023-11-28$113.13$107.0021.3%6.1%13.4%15.8%0.0%-2.7%-1.8%56.2K-877.1K-1.7K0.00134.00N/AN/A3011810
2023-11-29$112.56$107.0014.3%4.1%13.8%4.2%16.6%-2.5%1.7%56.8K-875.0K-1.7K0.00130.06N/AN/A12011910
2023-11-30$111.49$107.0016.5%4.7%14.3%7.8%13.7%9.0%0.5%62.4K-824.0K-2.0K0.00126.25N/AN/A2013110