VOX Options History — January 2024

In January 2024, VOX traded between $116.07 and $126.48. ATM implied volatility averaged 16.8%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.2% (HV 20d: 12.6%). Max pain ranged from $94.00 to $120.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.13.

Notable Days

  • 2024-01-10: Highest Volume — 51 contracts
  • 2024-01-10: Largest IV spike — 63.3% change
  • 2024-01-29: Highest IV Rank — 21.0%
  • 2024-01-29: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.17$116.07$126.48$116.30$122.52
Max Pain$113.24$94.00$120.00$94.00$120.00
ATM IV16.8%10.7%22.5%11.8%21.5%
Expected Move5.2%3.4%6.4%3.4%6.2%
HV 20d12.6%11.5%16.0%13.3%16.0%
HV 60d16.5%13.0%18.5%18.5%14.1%
IV Rank11.0%0.2%21.0%2.2%19.4%
IV Percentile25.1%0.4%70.2%0.8%63.5%
Term Structure-2.4%-9.1%6.0%3.6%-5.0%
VWIV16.8%9.3%25.5%15.7%25.5%
Skew 25d0.1%-7.3%4.1%-2.8%-3.7%
Skew 10d5.7%-4.7%14.5%6.2%-0.9%
Call IV 25d18.3%14.3%24.9%15.8%24.9%
Put IV 25d18.4%11.6%25.3%13.0%21.2%
Bid-Ask Spread %106.9094.45128.63121.28119.89
Gamma HHI0.210.120.290.290.18
Net GEX61.1K24.1K110.4K110.4K31.8K
Net DEX-1.0M-1.3M-619.9K-1.2M-619.9K
Net VEX-2.1K-2.4K-1.8K-2.0K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.130.0020.000.000.50
Total Volume11.524051017
Total OI168.714140193149192

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$116.30$94.0011.8%3.4%13.3%2.2%0.0%-2.8%3.6%110.4K-1.2M-2.0K0.00121.28N/AN/A001490
2024-01-03$116.22$94.0013.5%3.9%12.7%5.2%0.0%-5.3%6.0%93.4K-1.1M-2.1K0.00128.63N/AN/A011490
2024-01-04$116.07$115.0016.5%5.9%12.4%10.6%0.0%1.9%-4.1%91.4K-1.1M-2.0K0.00106.47N/AN/A001491
2024-01-05$116.16$115.0012.1%4.8%12.4%2.7%15.7%1.3%-1.1%96.7K-1.1M-2.0K0.00102.61N/AN/A101491
2024-01-08$118.16$115.0012.4%5.9%12.1%3.4%22.1%0.1%-3.9%83.6K-1.3M-1.8K20.00108.73N/AN/A1201501
2024-01-09$117.82$115.0010.7%5.9%12.2%0.2%0.0%3.4%-1.7%90.1K-1.3M-2.0K0.00112.36N/AN/A1015121
2024-01-10$118.96$115.0017.4%5.0%11.9%12.1%18.1%2.6%0.1%72.9K-1.3M-2.0K0.65101.39N/AN/A312015121
2024-01-11$118.53$115.0016.6%4.8%12.1%10.7%0.0%4.1%-1.9%53.0K-1.3M-2.1K0.0094.45N/AN/A1015241
2024-01-12$118.97$115.0016.3%4.7%11.5%10.1%0.0%2.5%-0.9%43.8K-1.3M-2.1K0.0097.40N/AN/A2015241
2024-01-16$118.07$115.0018.8%5.4%11.9%14.5%0.0%4.0%-0.7%82.7K-1.2M-2.1K0.0095.36N/AN/A22015241
2024-01-17$117.29$115.0019.3%5.5%12.2%15.4%17.5%-1.0%-2.1%83.2K-886.9K-2.2K0.00101.48N/AN/A10013641
2024-01-18$118.92$115.0019.2%5.5%12.2%15.2%12.9%-0.7%-5.6%56.5K-1.1M-2.0K0.0296.64N/AN/A50113641
2024-01-19$120.47$115.0017.4%5.0%12.6%12.0%16.6%2.4%-4.3%43.2K-991.0K-2.3K0.00105.53N/AN/A6012942
2024-01-22$121.25$115.0017.0%4.9%12.4%11.4%19.9%3.5%-1.8%30.7K-748.3K-2.2K10.0098.27N/AN/A2209842
2024-01-23$122.31$115.0018.6%5.3%12.4%14.1%12.6%2.0%-4.5%24.1K-751.7K-2.3K0.33104.33N/AN/A3110062
2024-01-24$123.21$115.0018.7%5.3%12.6%14.3%9.3%-3.9%0.8%28.6K-837.4K-2.1K0.00118.41N/AN/A9010361
2024-01-25$124.63$115.0019.6%5.6%13.0%15.9%0.0%-7.2%-7.8%40.5K-858.4K-2.3K0.00113.90N/AN/A0010961
2024-01-26$125.27$115.0015.2%4.3%12.9%8.1%19.2%3.6%-2.5%41.4K-927.9K-2.2K0.50102.56N/AN/A2110961
2024-01-29$126.48$115.0022.5%6.4%13.1%21.0%14.1%-7.3%-9.1%42.2K-975.0K-2.1K0.50112.29N/AN/A2111162
2024-01-30$125.90$115.0017.8%5.1%13.0%12.7%14.5%3.1%-4.6%42.2K-967.6K-2.2K0.00102.94N/AN/A01711263
2024-01-31$122.52$120.0021.5%6.2%16.0%19.4%25.5%-3.7%-5.0%31.8K-619.9K-2.4K0.00119.89N/AN/A01711280