VOX Options History — August 2024

In August 2024, VOX traded between $129.69 and $139.81. ATM implied volatility averaged 20.2%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 0.8% (HV 20d: 21.0%). Max pain ranged from $131.00 to $143.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.33.

Notable Days

  • 2024-08-27: Highest Volume — 15 contracts
  • 2024-08-05: Largest IV spike — 49.5% change
  • 2024-08-05: Highest IV Rank — 100.0%
  • 2024-08-05: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$136.67$129.69$139.81$136.51$138.70
Max Pain$137.27$131.00$143.00$134.00$131.00
ATM IV20.2%14.3%37.4%21.4%14.4%
Expected Move5.4%4.1%8.9%6.1%4.1%
HV 20d21.0%17.5%23.5%18.0%17.8%
HV 60d15.7%12.7%16.5%12.7%15.9%
IV Rank37.1%14.2%100.0%49.2%14.5%
IV Percentile57.9%20.2%100.0%85.3%21.0%
Term Structure-0.4%-2.8%1.6%-2.8%0.5%
VWIV14.9%13.0%17.1%13.0%16.7%
Skew 25d2.7%0.2%12.4%2.6%1.5%
Skew 10d4.8%-2.6%9.8%7.2%2.4%
Call IV 25d15.4%12.9%22.1%18.6%14.3%
Put IV 25d18.1%14.0%34.5%21.2%15.8%
Bid-Ask Spread %121.86103.63132.00127.25131.66
Gamma HHI0.130.100.160.120.12
Net GEX48.7K31.1K64.9K44.2K57.8K
Net DEX-909.8K-1.1M-651.7K-899.2K-941.4K
Net VEX-1.9K-2.8K-1.5K-2.0K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.002.000.002.00
Total Volume3.818015210
Total OI121.227107160115160

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-08-01$136.51$134.0021.4%6.1%18.0%49.2%0.0%2.6%-2.8%44.2K-899.2K-2.0K0.00127.25N/AN/A201096
2024-08-02$133.67$134.0025.0%7.2%17.5%65.8%0.0%3.2%-2.4%37.7K-788.5K-2.1K0.00123.78N/AN/A001096
2024-08-05$129.69$143.0037.4%8.9%19.9%100.0%0.0%12.4%-2.3%31.1K-651.7K-2.1K2.00103.63N/AN/A121096
2024-08-06$132.67$143.0027.3%7.1%22.0%62.4%0.0%0.9%-1.2%37.0K-750.2K-2.0K0.00119.83N/AN/A001094
2024-08-07$132.24$143.0025.8%7.4%21.9%56.9%0.0%7.6%-0.7%34.9K-726.4K-1.9K0.00104.85N/AN/A001094
2024-08-08$134.13$143.0028.7%6.9%22.4%67.6%0.0%2.9%-1.4%40.7K-790.6K-1.8K0.00123.45N/AN/A101094
2024-08-09$135.12$143.0022.1%6.0%22.6%42.9%0.0%2.5%-0.3%43.7K-840.6K-1.8K0.00114.71N/AN/A001104
2024-08-12$134.26$143.0025.8%5.8%22.7%56.9%0.0%3.9%-0.5%41.5K-800.1K-1.7K0.00118.00N/AN/A201104
2024-08-13$136.37$143.0029.8%5.4%23.5%71.7%0.0%2.4%0.2%50.2K-894.8K-1.7K0.00120.69N/AN/A001114
2024-08-14$135.53$143.0016.8%4.8%22.6%23.4%0.0%3.1%0.6%48.1K-851.0K-1.6K0.00124.40N/AN/A001114
2024-08-15$137.34$143.0016.1%4.6%23.1%20.6%0.0%1.2%-1.3%58.2K-936.7K-1.6K0.00126.66N/AN/A201114
2024-08-16$137.57$143.0015.8%4.5%23.1%19.8%0.0%0.4%0.3%58.3K-941.4K-1.6K0.00127.71N/AN/A001114
2024-08-19$138.88$143.0014.5%4.1%23.0%14.6%13.0%0.2%0.8%46.2K-936.5K-1.6K0.00122.91N/AN/A101034
2024-08-20$139.31$131.0014.5%4.2%23.1%14.7%13.0%1.6%1.2%45.7K-966.0K-1.6K0.00119.30N/AN/A101044
2024-08-21$139.68$131.0014.3%4.1%20.0%14.2%17.1%1.3%0.6%47.9K-1.0M-1.5K0.00116.28N/AN/A701054
2024-08-22$138.72$131.0016.2%4.6%20.0%21.2%0.0%2.4%-0.5%54.0K-990.3K-1.7K0.00124.98N/AN/A1201124
2024-08-23$139.75$131.0015.3%4.4%19.9%17.6%0.0%1.5%-0.3%54.5K-1.1M-1.7K0.00129.52N/AN/A1001154
2024-08-26$139.81$131.0016.5%4.7%19.8%22.1%0.0%1.3%0.7%58.3K-1.1M-2.0K0.00124.18N/AN/A1001254
2024-08-27$139.66$131.0016.1%4.6%19.9%20.5%16.7%2.0%-0.8%64.9K-1.1M-2.2K2.00116.77N/AN/A5101354
2024-08-28$138.62$131.0016.2%4.7%19.6%21.2%0.0%1.9%0.2%59.9K-1.0M-2.6K0.00128.39N/AN/A0413814
2024-08-29$138.41$131.0015.4%4.4%19.6%18.2%0.0%1.8%1.6%57.2K-980.5K-2.8K0.00132.00N/AN/A0413818
2024-08-30$138.70$131.0014.4%4.1%17.8%14.5%0.0%1.5%0.5%57.8K-941.4K-2.8K0.00131.66N/AN/A01013822