VOX Options History — July 2024

In July 2024, VOX traded between $132.81 and $141.97. ATM implied volatility averaged 17.7%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 4.0% (HV 20d: 13.6%). Max pain ranged from $110.00 to $141.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.08.

Notable Days

  • 2024-07-22: Highest Volume — 21 contracts
  • 2024-07-08: Largest IV spike — 15.6% change
  • 2024-07-30: Highest IV Rank — 54.1%
  • 2024-07-30: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$137.92$132.81$141.97$137.64$136.88
Max Pain$133.90$110.00$141.00$110.00$134.00
ATM IV17.7%13.3%22.4%13.3%21.5%
Expected Move5.0%3.6%6.4%3.8%6.2%
HV 20d13.6%9.4%18.0%9.4%18.0%
HV 60d14.9%12.8%16.4%15.8%12.8%
IV Rank32.4%12.4%54.1%12.4%50.0%
IV Percentile51.5%7.9%90.5%7.9%85.7%
Term Structure-0.5%-4.5%4.3%3.2%-2.1%
VWIV16.5%11.1%30.2%30.2%12.5%
Skew 25d1.0%-3.1%8.2%1.0%1.4%
Skew 10d2.4%-0.6%7.1%1.9%1.2%
Call IV 25d15.5%8.8%20.6%14.8%18.0%
Put IV 25d16.6%13.5%26.1%15.7%19.4%
Bid-Ask Spread %123.15114.89129.54121.95127.47
Gamma HHI0.140.110.200.130.14
Net GEX64.2K33.3K121.6K74.4K43.0K
Net DEX-1.4M-1.8M-686.6K-1.6M-930.7K
Net VEX-1.6K-2.0K-1.2K-1.6K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.800.000.80
Total Volume4.27302109
Total OI133.90982159145108

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-07-01$137.64$110.0013.3%3.8%9.4%12.4%0.0%1.0%3.2%74.4K-1.6M-1.6K0.00121.95N/AN/A001432
2024-07-02$138.71$110.0013.8%3.9%9.6%14.6%30.2%1.3%1.3%73.9K-1.6M-1.5K0.00122.21N/AN/A201432
2024-07-03$139.13$110.0014.6%4.2%9.6%18.6%0.0%2.8%0.2%73.0K-1.7M-1.4K0.00122.58N/AN/A001432
2024-07-05$141.97$0.0013.5%4.6%10.9%13.4%0.0%-2.9%-0.2%49.5K-1.8M-1.2K0.00126.04N/AN/A201432
2024-07-08$140.76$0.0015.6%3.6%11.5%22.9%14.8%-0.0%4.3%59.5K-1.8M-1.3K0.00116.48N/AN/A401432
2024-07-09$141.16$141.0016.3%4.4%11.3%26.2%0.0%-0.8%1.1%61.1K-1.8M-1.3K0.00124.00N/AN/A101472
2024-07-10$141.56$141.0015.2%4.3%11.3%21.1%15.1%5.8%0.4%59.4K-1.8M-1.3K0.00114.89N/AN/A101482
2024-07-11$139.63$141.0015.4%4.4%12.6%22.2%13.2%1.2%1.5%76.6K-1.7M-1.4K0.50121.19N/AN/A211492
2024-07-12$139.37$141.0014.5%4.2%12.7%18.0%0.0%-0.3%0.7%80.7K-1.7M-1.5K0.00129.54N/AN/A101513
2024-07-15$139.57$141.0015.6%4.5%12.4%22.9%0.0%0.3%0.4%80.1K-1.8M-1.4K0.00128.10N/AN/A101523
2024-07-16$139.89$141.0016.2%4.6%12.3%25.7%0.0%0.9%0.2%79.0K-1.8M-1.4K0.00126.52N/AN/A301533
2024-07-17$137.21$141.0017.4%5.0%14.3%31.2%0.0%1.0%-0.3%121.6K-1.6M-1.4K0.00126.73N/AN/A301523
2024-07-18$137.31$141.0018.8%5.4%14.0%37.7%11.1%-3.1%-0.7%105.1K-1.6M-1.5K0.00121.86N/AN/A1801533
2024-07-19$136.73$141.0019.2%5.5%14.0%39.5%0.0%1.8%-0.7%87.1K-1.5M-1.6K0.00124.95N/AN/A101563
2024-07-22$138.06$141.0018.6%5.3%14.3%36.6%18.4%-0.8%-2.0%33.3K-744.5K-1.5K0.00116.23N/AN/A210802
2024-07-23$137.85$134.0020.6%5.9%14.3%45.8%0.0%1.8%-3.1%48.5K-862.8K-2.0K0.00124.15N/AN/A101022
2024-07-24$133.76$134.0021.3%6.1%17.4%48.7%0.0%1.8%-4.0%42.8K-686.6K-1.9K0.00122.87N/AN/A1001022
2024-07-25$132.81$134.0022.0%6.3%17.4%52.2%12.5%-0.3%-4.5%40.9K-772.9K-1.9K0.00119.51N/AN/A1301122
2024-07-26$134.10$134.0021.1%6.1%17.6%48.2%0.0%2.0%-1.3%39.8K-816.3K-1.9K0.00120.65N/AN/A001062
2024-07-29$135.00$134.0021.9%6.3%17.7%51.6%0.0%8.2%-1.5%41.3K-848.1K-1.9K0.00126.17N/AN/A001062
2024-07-30$135.10$134.0022.4%6.4%17.6%54.1%0.0%-0.6%-4.1%41.7K-854.4K-1.8K0.00125.27N/AN/A001062
2024-07-31$136.88$134.0021.5%6.2%18.0%50.0%0.0%1.4%-2.1%43.0K-930.7K-1.8K0.80127.47N/AN/A541062