VOX Options History — April 2007 In April 2007, VOX traded between $77.05 and $78.95. ATM implied volatility averaged 33.4%. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 23.6% (HV 20d: 9.8%). Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2007-04-09 : Highest Volume — 10 contracts2007-04-12 : Largest IV drop — 48.6% change2007-04-05 : Largest Expected Move — 11.0%Monthly Statistics Metric Avg Min Max Open Close Price $78.00 $77.05 $78.95 $77.05 $77.53 ATM IV 33.4% 25.3% 49.1% 35.7% 35.3% Expected Move 8.6% 7.0% 11.0% 10.2% 10.1% HV 20d 9.8% 8.1% 12.6% 12.6% 8.6% HV 60d 14.3% 13.6% 15.0% 15.0% 13.7% Term Structure -9.5% -16.0% -4.9% -13.3% -13.8% Skew 25d 9.7% -1.4% 13.9% 5.6% -1.4% Skew 10d 16.8% 1.0% 23.3% 6.7% 1.0% Call IV 25d 32.9% 23.7% 57.7% 44.0% 57.7% Put IV 25d 42.6% 34.5% 56.2% 49.6% 56.2% Bid-Ask Spread % 172.23 161.59 189.71 189.71 169.82 Gamma HHI 0.34 0.31 0.44 0.43 0.32 Net GEX 10.8K 8.6K 12.4K 8.8K 12.4K Net DEX -234.4K -265.6K -190.7K -190.7K -234.4K Net VEX -554 -641 -436 -468 -559 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 0.5 0 10 0 0 Total OI 48.5 41 51 41 51
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 2007-04-02 $77.05 $0.00 35.7% 10.2% 12.6% 0.0% 0.0% 5.6% -13.3% 8.8K -190.7K -468 0.00 189.71 N/A N/A 0 0 37 4 2007-04-03 $77.40 $0.00 36.5% 10.5% 11.6% 0.0% 0.0% 6.8% -13.5% 8.7K -196.0K -453 0.00 188.31 N/A N/A 0 0 37 4 2007-04-04 $77.31 $0.00 37.6% 10.8% 11.1% 0.0% 0.0% 6.6% -14.5% 8.8K -194.7K -453 0.00 189.31 N/A N/A 0 0 37 4 2007-04-05 $77.77 $0.00 38.4% 11.0% 10.5% 0.0% 0.0% 8.2% -16.0% 8.6K -201.3K -443 0.00 187.18 N/A N/A 0 0 37 4 2007-04-09 $77.62 $0.00 44.4% 7.0% 10.6% 0.0% 0.0% 10.2% -6.2% 8.7K -198.6K -436 0.00 169.09 N/A N/A 10 0 37 4 2007-04-10 $77.82 $0.00 46.3% 7.1% 10.5% 0.0% 0.0% 10.8% -6.3% 11.5K -241.5K -636 0.00 167.09 N/A N/A 0 0 47 4 2007-04-11 $77.13 $0.00 49.1% 7.2% 9.7% 0.0% 0.0% 9.2% -6.3% 12.2K -230.5K -641 0.00 172.77 N/A N/A 0 0 47 4 2007-04-12 $77.69 $0.00 25.3% 7.2% 9.9% 0.0% 0.0% 10.7% -6.7% 11.7K -238.9K -631 0.00 169.09 N/A N/A 0 0 47 4 2007-04-13 $78.07 $0.00 25.6% 7.3% 9.9% 0.0% 0.0% 11.7% -6.7% 11.4K -245.4K -615 0.00 165.94 N/A N/A 0 0 47 4 2007-04-16 $78.71 $0.00 26.5% 7.6% 10.0% 0.0% 0.0% 13.9% -4.9% 11.0K -256.0K -587 0.00 161.59 N/A N/A 0 0 47 4 2007-04-17 $78.36 $0.00 27.0% 7.7% 9.9% 0.0% 0.0% 10.4% -7.4% 11.3K -250.1K -599 0.00 168.04 N/A N/A 0 0 47 4 2007-04-18 $78.28 $0.00 27.5% 7.9% 9.8% 0.0% 0.0% 10.3% -7.7% 11.4K -248.3K -596 0.00 169.83 N/A N/A 0 0 47 4 2007-04-19 $78.15 $0.00 28.0% 8.0% 8.6% 0.0% 0.0% 10.1% -8.1% 11.4K -246.0K -591 0.00 169.40 N/A N/A 0 0 47 4 2007-04-20 $78.95 $0.00 28.2% 8.1% 9.1% 0.0% 0.0% 12.3% -8.5% 11.2K -265.6K -566 0.00 162.23 N/A N/A 0 0 47 4 2007-04-23 $78.46 $0.00 30.0% 8.6% 9.4% 0.0% 0.0% 11.5% -9.1% 11.3K -251.1K -573 0.00 168.11 N/A N/A 0 0 47 4 2007-04-24 $78.44 $0.00 30.6% 8.8% 9.3% 0.0% 0.0% 11.6% -9.5% 11.4K -250.8K -569 0.00 168.83 N/A N/A 0 0 47 4 2007-04-25 $78.57 $0.00 31.0% 8.9% 9.2% 0.0% 0.0% 12.2% -10.7% 11.2K -252.6K -555 0.00 167.85 N/A N/A 0 0 47 4 2007-04-26 $78.50 $0.00 31.8% 9.1% 8.1% 0.0% 0.0% 12.2% -10.3% 11.4K -251.6K -550 0.00 168.83 N/A N/A 0 0 47 4 2007-04-27 $78.10 $0.00 32.7% 9.4% 8.2% 0.0% 0.0% 11.2% -11.3% 11.7K -244.2K -561 0.00 171.58 N/A N/A 0 0 47 4 2007-04-30 $77.53 $0.00 35.3% 10.1% 8.6% 0.0% 0.0% -1.4% -13.8% 12.4K -234.4K -559 0.00 169.82 N/A N/A 0 0 47 4
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