VOX Options History — March 2007

In March 2007, VOX traded between $73.12 and $77.21. ATM implied volatility averaged 42.6%. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 23.9% (HV 20d: 18.7%). Max pain ranged from $63.00 to $63.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-03-08: Highest Volume — 3 contracts
  • 2007-03-15: Largest IV drop — 71.7% change
  • 2007-03-02: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.37$73.12$77.21$75.52$76.68
Max Pain$63.00$63.00$63.00$63.00$63.00
ATM IV42.6%26.3%93.0%39.5%33.2%
Expected Move8.2%6.8%11.8%11.3%9.5%
HV 20d18.7%14.7%20.8%16.3%14.7%
HV 60d15.5%15.0%16.0%16.0%15.0%
Term Structure-9.7%-20.1%-5.8%-18.7%-11.9%
Skew 25d-0.9%-10.7%5.1%5.1%4.3%
Skew 10d0.2%-13.0%19.2%19.2%4.3%
Call IV 25d38.0%32.9%56.0%50.6%42.0%
Put IV 25d37.1%22.7%58.4%55.7%46.3%
Bid-Ask Spread %181.61149.55190.12149.55189.86
Gamma HHI0.370.290.450.310.43
Net GEX12.9K8.4K17.1K16.8K8.9K
Net DEX-242.3K-341.3K-149.5K-341.3K-185.0K
Net VEX-602-778-480-771-480
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.3180300
Total OI63.09139838341

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$75.52$63.0039.5%11.3%16.3%0.0%0.0%5.1%-18.7%16.8K-341.3K-7710.00149.55N/AN/A007310
2007-03-02$74.52$63.0041.3%11.8%16.9%0.0%0.0%2.3%-20.1%16.8K-307.1K-7780.00151.46N/AN/A007310
2007-03-05$73.12$0.0047.3%6.8%17.9%0.0%0.0%-10.7%-8.2%16.4K-259.0K-7420.00168.37N/AN/A007310
2007-03-06$74.29$0.0048.7%6.8%19.1%0.0%0.0%-5.0%-6.2%17.1K-299.7K-7340.00180.40N/AN/A007310
2007-03-07$73.70$0.0051.3%6.9%19.2%0.0%0.0%-6.6%-7.8%16.4K-278.9K-7270.00176.63N/AN/A007310
2007-03-08$74.62$0.0053.3%6.9%19.8%0.0%0.0%-4.3%-8.0%16.7K-310.1K-7090.00182.49N/AN/A307310
2007-03-09$74.85$0.0056.5%7.0%19.8%0.0%0.0%-3.6%-7.7%15.6K-314.2K-7080.00184.11N/AN/A007310
2007-03-12$75.32$0.0071.2%7.2%19.7%0.0%0.0%-1.8%-7.3%16.9K-333.0K-6520.00185.71N/AN/A007310
2007-03-13$74.31$0.0080.7%7.4%20.1%0.0%0.0%-5.5%-7.9%15.1K-294.4K-6630.00180.94N/AN/A007310
2007-03-14$74.42$0.0093.0%7.5%19.6%0.0%0.0%-5.2%-7.7%15.1K-297.4K-6440.00182.98N/AN/A007310
2007-03-15$74.62$0.0026.3%7.5%19.4%0.0%0.0%-4.7%-10.3%16.9K-308.1K-6090.00184.17N/AN/A007310
2007-03-16$74.52$0.0026.7%7.6%19.4%0.0%0.0%-5.1%-11.1%17.1K-301.9K-5890.00182.98N/AN/A207310
2007-03-19$75.30$0.0027.7%7.9%19.8%0.0%0.0%-2.5%-7.5%8.9K-149.5K-5230.00186.41N/AN/A00354
2007-03-20$75.75$0.0027.9%8.0%20.0%0.0%0.0%-0.4%-8.0%8.9K-156.7K-5160.00188.08N/AN/A00354
2007-03-21$76.88$0.0028.0%8.0%20.7%0.0%0.0%4.3%-8.1%8.5K-174.6K-4950.00188.13N/AN/A00354
2007-03-22$77.21$0.0028.3%8.1%20.8%0.0%0.0%5.1%-8.1%8.4K-179.5K-4810.00187.18N/AN/A00354
2007-03-23$76.96$0.0029.6%8.5%20.8%0.0%0.0%4.6%-5.8%8.5K-175.8K-4890.00187.46N/AN/A00354
2007-03-26$76.76$0.0030.5%8.8%20.7%0.0%0.0%4.3%-9.9%8.6K-172.2K-4830.00189.24N/AN/A00354
2007-03-27$76.63$0.0031.2%8.9%15.4%0.0%0.0%4.0%-10.5%8.7K-170.2K-4800.00190.12N/AN/A00354
2007-03-28$75.79$0.0032.2%9.2%15.4%0.0%0.0%-0.6%-10.9%8.9K-156.4K-4900.00189.47N/AN/A00354
2007-03-29$76.33$0.0032.8%9.4%15.5%0.0%0.0%2.4%-10.8%8.8K-165.0K-4850.00189.72N/AN/A20354
2007-03-30$76.68$0.0033.2%9.5%14.7%0.0%0.0%4.3%-11.9%8.9K-185.0K-4800.00189.86N/AN/A00374