VOX Options History — January 2007

Name: VOX Options Analytics - January 2007
Creator: Options Analysis Suite

In January 2007, VOX traded between $72.25 and $76.80. ATM implied volatility averaged 14.3%. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.1% (HV 20d: 14.2%). Max pain ranged from $75.00 to $77.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.13.

Notable Days

2007-01-19: Highest Volume — 25 contracts
2007-01-10: Largest IV drop — 10.0% change
2007-01-05: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$74.15	$72.25	$76.80	$73.55	$76.80
Max Pain	$76.20	$75.00	$77.00	$75.00	$75.00
ATM IV	14.3%	13.4%	14.9%	13.5%	13.5%
Expected Move	4.2%	3.9%	4.6%	3.9%	3.9%
HV 20d	14.2%	13.6%	14.9%	14.9%	13.6%
Term Structure	1.2%	-0.3%	4.9%	1.1%	0.1%
VWIV	13.8%	9.9%	15.6%	15.6%	15.1%
Skew 25d	1.9%	0.8%	2.6%	1.5%	0.8%
Skew 10d	2.4%	-0.9%	3.6%	-0.5%	0.2%
Call IV 25d	13.7%	13.0%	14.3%	13.3%	13.5%
Put IV 25d	15.6%	14.3%	16.6%	14.8%	14.3%
Bid-Ask Spread %	32.71	22.51	51.28	51.28	22.80
Gamma HHI	0.37	0.23	0.77	0.30	0.38
Net GEX	-49.9K	-234.1K	11.3K	-60.5K	8.5K
Net DEX	55.0K	-471.0K	459.0K	274.3K	-471.0K
Net VEX	-868	-1.1K	-594	-1.1K	-774
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	0.40	0.00	0.00
Total Volume	4.5	0	25	0	10
Total OI	132.25	90	171	148	103

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
2007-01-03	$73.55	$75.00	13.5%	3.9%	0.0%	0.0%	0.0%	1.5%	1.1%	-60.5K	274.3K	-1.1K	0.00	51.28	N/A	N/A	0	0	42	106
2007-01-04	$73.32	$75.00	14.1%	4.0%	0.0%	0.0%	0.0%	1.6%	1.1%	-57.1K	322.7K	-1.0K	0.00	42.66	N/A	N/A	0	0	42	106
2007-01-05	$72.27	$77.00	14.7%	4.6%	0.0%	0.0%	0.0%	2.6%	2.1%	-36.8K	445.4K	-856	0.00	23.13	N/A	N/A	5	0	42	106
2007-01-08	$72.66	$77.00	14.7%	4.5%	0.0%	0.0%	15.6%	2.3%	3.7%	-42.9K	391.8K	-883	0.00	23.27	N/A	N/A	5	0	47	106
2007-01-09	$72.25	$77.00	14.8%	4.5%	0.0%	0.0%	0.0%	2.1%	2.8%	-36.3K	459.0K	-738	0.00	28.64	N/A	N/A	0	0	42	106
2007-01-10	$72.57	$77.00	13.4%	4.3%	0.0%	0.0%	9.9%	2.3%	4.9%	-43.2K	440.8K	-748	0.00	28.45	N/A	N/A	0	4	42	106
2007-01-11	$73.63	$77.00	14.4%	4.1%	0.0%	0.0%	0.0%	2.4%	0.1%	-85.8K	291.9K	-847	0.00	23.48	N/A	N/A	0	0	42	106
2007-01-12	$73.97	$77.00	14.2%	4.1%	0.0%	0.0%	0.0%	1.9%	0.3%	-111.6K	224.0K	-825	0.00	22.51	N/A	N/A	0	0	42	106
2007-01-16	$73.86	$77.00	14.7%	4.2%	0.0%	0.0%	0.0%	2.2%	0.3%	-122.0K	249.3K	-697	0.00	25.18	N/A	N/A	0	0	42	106
2007-01-17	$73.29	$77.00	14.9%	4.3%	0.0%	0.0%	0.0%	2.3%	4.6%	-86.2K	393.1K	-594	0.15	26.84	N/A	N/A	20	3	42	106
2007-01-18	$73.74	$77.00	14.7%	4.2%	0.0%	0.0%	0.0%	2.5%	0.2%	-144.4K	269.5K	-991	0.00	22.70	N/A	N/A	0	0	62	109
2007-01-19	$73.97	$77.00	14.2%	4.1%	0.0%	0.0%	13.8%	2.1%	0.4%	-234.1K	179.6K	-951	0.00	28.60	N/A	N/A	25	0	62	109
2007-01-22	$73.81	$77.00	14.5%	4.2%	0.0%	0.0%	0.0%	2.3%	0.2%	4.1K	-170.3K	-1.0K	0.00	29.76	N/A	N/A	0	0	73	39
2007-01-23	$74.25	$77.00	13.9%	4.0%	0.0%	0.0%	0.0%	2.0%	0.6%	998	-202.2K	-1.0K	0.00	34.41	N/A	N/A	0	0	73	39
2007-01-24	$76.00	$75.00	13.8%	3.9%	0.0%	0.0%	14.6%	1.4%	0.6%	8.6K	-400.6K	-802	0.33	45.50	N/A	N/A	3	1	73	19
2007-01-25	$75.43	$75.00	14.8%	4.2%	14.9%	0.0%	15.1%	1.8%	0.2%	8.6K	-347.9K	-841	0.40	37.20	N/A	N/A	10	4	70	20
2007-01-26	$75.58	$75.00	14.3%	4.1%	14.4%	0.0%	0.0%	1.3%	0.1%	11.3K	-402.7K	-951	0.00	43.63	N/A	N/A	0	0	80	23
2007-01-29	$75.59	$75.00	14.5%	4.2%	14.0%	0.0%	0.0%	1.3%	-0.3%	11.3K	-400.9K	-912	0.00	47.27	N/A	N/A	0	0	80	23
2007-01-30	$76.41	$75.00	14.2%	4.1%	14.0%	0.0%	0.0%	1.0%	0.0%	9.6K	-446.6K	-838	0.00	46.83	N/A	N/A	0	0	80	23
2007-01-31	$76.80	$75.00	13.5%	3.9%	13.6%	0.0%	0.0%	0.8%	0.1%	8.5K	-471.0K	-774	0.00	22.80	N/A	N/A	10	0	80	23