VOX Options History — December 2023 In December 2023, VOX traded between $110.61 and $118.47. ATM implied volatility averaged 16.2%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.2% (HV 20d: 13.0%). Max pain ranged from $94.00 to $107.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2023-12-18 : Highest Volume — 24 contracts2023-12-28 : Largest IV drop — 46.5% change2023-12-05 : Highest IV Rank — 16.8%2023-12-27 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $114.90 $110.61 $118.47 $112.45 $117.84 Max Pain $94.65 $94.00 $107.00 $107.00 $94.00 ATM IV 16.2% 10.5% 21.9% 14.7% 12.0% Expected Move 4.5% 3.0% 5.6% 4.2% 3.4% HV 20d 13.0% 12.3% 13.8% 13.5% 12.3% HV 60d 18.8% 18.3% 19.2% 19.0% 18.3% IV Rank 7.8% 0.0% 16.8% 4.9% 2.6% IV Percentile 16.0% 0.0% 56.0% 3.2% 0.8% Term Structure -0.4% -7.5% 5.1% -3.1% 3.8% VWIV 16.2% 11.1% 26.6% 21.4% 26.6% Skew 25d 3.8% -1.7% 12.1% 12.1% 4.3% Skew 10d 5.5% -3.7% 17.9% -2.1% -3.7% Call IV 25d 17.6% 9.4% 23.8% 10.3% 15.5% Put IV 25d 21.4% 11.4% 27.4% 22.5% 19.8% Bid-Ask Spread % 129.46 110.15 141.21 128.03 121.55 Gamma HHI 0.19 0.14 0.28 0.15 0.24 Net GEX 67.8K 47.2K 87.4K 62.2K 84.4K Net DEX -1.1M -1.3M -788.7K -906.7K -1.3M Net VEX -2.0K -2.2K -1.7K -2.0K -2.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 4 0 24 1 5 Total OI 145.55 116 161 141 150
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-12-01 $112.45 $107.00 14.7% 4.2% 13.5% 4.9% 0.0% 12.1% -3.1% 62.2K -906.7K -2.0K 0.00 128.03 N/A N/A 1 0 131 10 2023-12-04 $111.40 $94.00 18.3% 4.7% 12.6% 10.8% 0.0% 4.7% 1.5% 62.0K -824.5K -2.0K 0.00 138.00 N/A N/A 0 0 132 10 2023-12-05 $110.74 $94.00 21.9% 4.6% 12.6% 16.8% 0.0% 6.2% 2.1% 64.5K -795.1K -2.0K 0.00 139.60 N/A N/A 2 0 132 10 2023-12-06 $110.61 $94.00 21.8% 4.6% 12.4% 16.7% 21.4% -0.5% 1.4% 62.4K -788.7K -1.9K 0.00 139.18 N/A N/A 5 0 132 10 2023-12-07 $112.68 $94.00 14.9% 4.7% 13.8% 5.3% 0.0% 1.6% 0.1% 61.9K -991.3K -1.9K 0.00 138.18 N/A N/A 2 0 137 10 2023-12-08 $113.46 $94.00 16.1% 4.8% 13.7% 7.2% 0.0% 4.8% 1.0% 66.8K -1.0M -1.8K 0.00 138.59 N/A N/A 3 0 139 10 2023-12-11 $112.56 $94.00 15.6% 5.1% 13.8% 6.3% 0.0% 5.1% -2.8% 65.4K -1.0M -1.9K 0.00 140.19 N/A N/A 0 0 142 10 2023-12-12 $112.85 $94.00 18.6% 4.9% 13.7% 11.3% 0.0% 1.2% -0.3% 66.8K -1.0M -1.8K 0.00 141.21 N/A N/A 0 0 142 10 2023-12-13 $114.23 $94.00 17.3% 5.0% 12.5% 9.2% 0.0% 0.8% -2.3% 69.0K -1.1M -1.7K 0.00 138.37 N/A N/A 1 0 142 10 2023-12-14 $114.88 $94.00 17.8% 5.1% 12.6% 10.1% 18.2% 0.5% -5.8% 64.9K -1.2M -1.8K 0.00 139.95 N/A N/A 8 0 143 10 2023-12-15 $114.62 $94.00 18.2% 5.2% 12.6% 11.7% 0.0% 0.4% -7.5% 68.8K -1.2M -1.9K 0.00 139.47 N/A N/A 4 0 151 10 2023-12-18 $116.26 $94.00 15.7% 4.5% 13.4% 7.1% 11.2% 5.1% 5.1% 47.2K -929.0K -1.9K 0.00 119.32 N/A N/A 24 0 116 0 2023-12-19 $117.29 $94.00 12.7% 3.6% 13.1% 1.6% 13.8% 1.4% -0.1% 87.4K -1.2M -2.0K 0.00 117.03 N/A N/A 2 0 140 0 2023-12-20 $116.55 $94.00 15.5% 4.5% 13.2% 6.8% 15.2% 8.2% 0.2% 67.3K -1.1M -2.2K 0.00 128.32 N/A N/A 2 0 141 0 2023-12-21 $117.44 $94.00 13.8% 3.9% 13.2% 3.6% 11.1% 1.9% 3.6% 65.2K -1.2M -2.1K 0.00 112.39 N/A N/A 5 0 142 0 2023-12-22 $117.63 $94.00 12.6% 3.6% 13.0% 1.5% 16.6% -1.7% 1.4% 69.4K -1.2M -2.2K 0.00 112.88 N/A N/A 3 0 143 0 2023-12-26 $118.14 $94.00 16.3% 4.7% 13.0% 8.1% 0.0% 9.6% -2.2% 74.4K -1.3M -2.1K 0.00 122.47 N/A N/A 10 0 148 0 2023-12-27 $117.91 $94.00 19.7% 5.6% 13.0% 14.3% 0.0% 9.2% -3.9% 67.1K -1.2M -2.2K 0.00 124.27 N/A N/A 0 0 149 0 2023-12-28 $118.47 $94.00 10.5% 3.0% 12.8% 0.0% 11.4% 0.4% -0.1% 78.4K -1.3M -2.0K 0.00 110.15 N/A N/A 3 0 149 0 2023-12-29 $117.84 $94.00 12.0% 3.4% 12.3% 2.6% 26.6% 4.3% 3.8% 84.4K -1.3M -2.1K 0.00 121.55 N/A N/A 5 0 150 0
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