VOX Options History — February 2007 In February 2007, VOX traded between $74.82 and $77.71. ATM implied volatility averaged 23.2%. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 11.2% (HV 20d: 11.9%). Max pain ranged from $63.00 to $75.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2007-02-08 : Highest Volume — 25 contracts2007-02-05 : Largest IV spike — 262.2% change2007-02-28 : Largest Expected Move — 11.0%Monthly Statistics Metric Avg Min Max Open Close Price $76.71 $74.82 $77.71 $76.67 $75.74 Max Pain $63.63 $63.00 $75.00 $75.00 $63.00 ATM IV 23.2% 12.2% 45.0% 12.9% 38.3% Expected Move 6.4% 3.6% 11.0% 3.7% 11.0% HV 20d 11.9% 8.3% 16.4% 13.3% 16.4% Term Structure -5.7% -17.3% 1.7% 0.3% -17.3% VWIV 29.4% 13.7% 62.7% 14.0% 62.7% Skew 25d 4.3% -19.4% 12.0% 1.1% 5.5% Skew 10d 17.7% -8.4% 25.6% 1.0% 19.2% Call IV 25d 25.3% 12.6% 50.0% 12.9% 48.3% Put IV 25d 29.6% 13.4% 53.8% 14.0% 53.8% Bid-Ask Spread % 94.13 40.38 150.59 45.99 149.06 Gamma HHI 0.31 0.27 0.38 0.38 0.32 Net GEX 13.6K 2.3K 29.7K 8.4K 16.7K Net DEX -446.4K -558.5K -317.9K -468.1K -349.1K Net VEX -850 -1.0K -723 -766 -771 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 5.368 0 25 0 5 Total OI 101.421 83 117 103 83
Daily Data (19 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 2007-02-01 $76.67 $75.00 12.9% 3.7% 13.3% 0.0% 0.0% 1.1% 0.3% 8.4K -468.1K -766 0.00 45.99 N/A N/A 0 0 80 23 2007-02-02 $76.89 $63.00 12.4% 3.8% 13.2% 0.0% 0.0% 1.3% 1.3% 7.7K -478.5K -745 0.00 52.21 N/A N/A 0 0 80 23 2007-02-05 $76.63 $63.00 45.0% 7.1% 11.8% 0.0% 0.0% 10.6% -10.4% 10.2K -416.5K -843 0.00 139.25 N/A N/A 13 0 80 23 2007-02-06 $76.62 $63.00 12.2% 3.7% 11.9% 0.0% 0.0% 1.5% 1.3% 12.4K -529.6K -951 0.00 52.51 N/A N/A 20 0 93 23 2007-02-07 $76.87 $63.00 12.2% 3.8% 11.4% 0.0% 0.0% 1.5% 1.2% 3.3K -409.8K -817 0.00 52.76 N/A N/A 0 1 73 23 2007-02-08 $76.89 $63.00 13.2% 3.8% 11.5% 0.0% 14.0% 1.7% 1.3% 2.3K -408.8K -834 0.00 47.94 N/A N/A 25 0 73 24 2007-02-09 $76.06 $63.00 13.5% 3.9% 11.6% 0.0% 13.7% 4.4% 1.1% 5.7K -397.8K -950 0.00 49.92 N/A N/A 10 0 82 24 2007-02-12 $75.50 $63.00 14.1% 4.1% 12.0% 0.0% 0.0% 8.5% 0.9% 11.6K -407.3K -1.0K 0.00 51.67 N/A N/A 0 0 92 24 2007-02-13 $76.36 $63.00 13.0% 3.7% 12.5% 0.0% 0.0% 1.7% 1.4% 8.5K -478.3K -941 0.00 46.24 N/A N/A 0 0 92 24 2007-02-14 $76.87 $63.00 28.0% 8.0% 12.1% 0.0% 27.4% 12.0% -13.0% 14.4K -449.1K -1.0K 0.00 139.18 N/A N/A 1 0 92 24 2007-02-15 $77.04 $63.00 12.6% 3.6% 12.0% 0.0% 0.0% 1.1% 1.5% 22.7K -547.0K -850 0.00 40.38 N/A N/A 0 0 93 24 2007-02-16 $77.17 $63.00 12.5% 3.6% 12.0% 0.0% 0.0% -19.4% 1.7% 29.7K -558.5K -815 0.00 57.65 N/A N/A 7 0 93 24 2007-02-20 $77.30 $63.00 31.0% 8.9% 11.9% 0.0% 26.1% 8.7% -11.1% 21.7K -511.2K -909 0.00 143.16 N/A N/A 10 0 93 10 2007-02-21 $77.42 $63.00 31.6% 9.1% 11.8% 0.0% 0.0% 9.1% -11.4% 18.0K -468.0K -819 0.00 142.81 N/A N/A 0 0 83 10 2007-02-22 $77.55 $63.00 32.1% 9.2% 8.7% 0.0% 32.6% 9.6% -12.9% 17.8K -472.3K -809 0.00 142.24 N/A N/A 10 0 83 10 2007-02-23 $77.34 $63.00 33.0% 9.5% 8.3% 0.0% 0.0% 9.3% -12.6% 15.7K -401.6K -755 0.00 143.17 N/A N/A 0 0 73 10 2007-02-26 $77.71 $63.00 35.3% 10.1% 8.4% 0.0% 0.0% 10.8% -15.2% 15.4K -412.1K -723 0.00 141.74 N/A N/A 0 0 73 10 2007-02-27 $74.82 $63.00 37.7% 10.8% 16.3% 0.0% 0.0% 3.0% -16.5% 16.9K -317.9K -800 0.00 150.59 N/A N/A 0 0 73 10 2007-02-28 $75.74 $63.00 38.3% 11.0% 16.4% 0.0% 62.7% 5.5% -17.3% 16.7K -349.1K -771 0.00 149.06 N/A N/A 5 0 73 10
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