VOX Options History — May 2007 In May 2007, VOX traded between $77.63 and $84.30. ATM implied volatility averaged 32.7%. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 21.6% (HV 20d: 11.2%). Max pain ranged from $67.00 to $67.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2007-05-10 : Highest Volume — 10 contracts2007-05-10 : Largest IV drop — 47.2% change2007-05-03 : Largest Expected Move — 10.8%Monthly Statistics Metric Avg Min Max Open Close Price $81.11 $77.63 $84.30 $77.63 $84.30 Max Pain $67.00 $67.00 $67.00 $67.00 $67.00 ATM IV 32.7% 24.8% 46.9% 36.3% 35.5% Expected Move 8.3% 5.1% 10.8% 10.4% 10.2% HV 20d 11.2% 8.4% 12.3% 8.4% 11.1% HV 60d 13.6% 10.9% 14.6% 13.7% 10.9% Term Structure -9.3% -15.6% 6.9% -14.5% -15.6% Skew 25d 12.6% 7.9% 22.9% 10.6% 16.2% Skew 10d 22.9% 16.9% 31.5% 20.2% 28.7% Call IV 25d 28.7% 10.7% 40.3% 40.3% 33.9% Put IV 25d 41.3% 32.8% 52.9% 50.8% 50.1% Bid-Ask Spread % 149.93 138.56 175.72 175.72 141.71 Gamma HHI 0.41 0.32 0.48 0.32 0.48 Net GEX 7.9K 4.2K 12.4K 12.4K 4.2K Net DEX -264.6K -290.7K -236.3K -236.3K -289.7K Net VEX -293 -554 -94 -554 -94 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 0.455 0 10 0 0 Total OI 44.636 41 51 51 41
Daily Data (22 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 2007-05-01 $77.63 $0.00 36.3% 10.4% 8.4% 0.0% 0.0% 10.6% -14.5% 12.4K -236.3K -554 0.00 175.72 N/A N/A 0 0 47 4 2007-05-02 $78.91 $0.00 36.8% 10.5% 10.1% 0.0% 0.0% 15.1% -14.7% 11.1K -257.8K -526 0.00 166.02 N/A N/A 0 0 47 4 2007-05-03 $79.67 $0.00 37.6% 10.8% 10.5% 0.0% 0.0% 18.4% -14.4% 10.5K -270.6K -506 0.00 159.68 N/A N/A 0 0 47 4 2007-05-04 $80.05 $67.00 38.7% 6.5% 10.5% 0.0% 0.0% 11.1% -4.3% 10.3K -277.9K -481 0.00 146.73 N/A N/A 0 0 47 4 2007-05-07 $80.06 $67.00 43.3% 5.1% 10.4% 0.0% 0.0% 22.9% 6.9% 10.5K -281.0K -466 0.00 146.92 N/A N/A 0 0 47 4 2007-05-08 $80.06 $67.00 45.2% 6.9% 10.4% 0.0% 0.0% 9.1% -5.2% 10.4K -279.3K -464 0.00 150.46 N/A N/A 0 0 47 4 2007-05-09 $80.66 $67.00 46.9% 6.9% 9.9% 0.0% 0.0% 10.6% -7.4% 10.5K -290.7K -440 0.00 147.39 N/A N/A 0 0 47 4 2007-05-10 $79.44 $67.00 24.8% 7.1% 11.4% 0.0% 0.0% 7.9% -5.3% 10.9K -268.7K -474 0.00 154.08 N/A N/A 10 0 47 4 2007-05-11 $80.34 $67.00 24.8% 7.1% 11.9% 0.0% 0.0% 10.0% -5.3% 7.6K -238.5K -264 0.00 149.06 N/A N/A 0 0 37 4 2007-05-14 $80.53 $67.00 25.8% 7.4% 11.7% 0.0% 0.0% 10.8% -9.0% 7.5K -241.4K -238 0.00 148.96 N/A N/A 0 0 37 4 2007-05-15 $80.63 $67.00 26.2% 7.5% 11.5% 0.0% 0.0% 11.1% -9.8% 7.4K -242.9K -233 0.00 148.71 N/A N/A 0 0 37 4 2007-05-16 $81.33 $67.00 26.5% 7.6% 11.7% 0.0% 0.0% 10.4% -7.1% 6.9K -252.9K -212 0.00 148.05 N/A N/A 0 0 37 4 2007-05-17 $80.88 $67.00 27.0% 7.7% 12.0% 0.0% 0.0% 9.4% -9.4% 7.3K -247.2K -225 0.00 150.50 N/A N/A 0 0 37 4 2007-05-18 $81.45 $67.00 27.3% 7.8% 11.7% 0.0% 0.0% 10.9% -7.1% 6.8K -254.7K -205 0.00 147.80 N/A N/A 0 0 37 4 2007-05-21 $82.15 $67.00 28.6% 8.2% 11.6% 0.0% 0.0% 13.3% -10.2% 6.2K -263.3K -180 0.00 144.41 N/A N/A 0 0 37 4 2007-05-22 $82.24 $67.00 29.1% 8.4% 11.6% 0.0% 0.0% 10.8% -10.5% 6.1K -265.9K -165 0.00 147.51 N/A N/A 0 0 37 4 2007-05-23 $82.71 $67.00 29.5% 8.5% 11.6% 0.0% 0.0% 12.3% -11.4% 5.7K -271.8K -156 0.00 145.84 N/A N/A 0 0 37 4 2007-05-24 $81.95 $67.00 30.5% 8.7% 12.3% 0.0% 0.0% 10.3% -11.8% 6.4K -262.6K -169 0.00 149.19 N/A N/A 0 0 37 4 2007-05-25 $82.39 $67.00 31.0% 8.9% 12.0% 0.0% 0.0% 11.8% -11.7% 6.0K -267.8K -151 0.00 146.72 N/A N/A 0 0 37 4 2007-05-29 $82.97 $67.00 34.0% 9.8% 11.5% 0.0% 0.0% 14.5% -14.7% 5.5K -275.0K -125 0.00 144.39 N/A N/A 0 0 37 4 2007-05-30 $84.07 $67.00 34.6% 9.9% 12.0% 0.0% 0.0% 18.8% -11.7% 4.6K -285.2K -111 0.00 138.56 N/A N/A 0 0 37 4 2007-05-31 $84.30 $67.00 35.5% 10.2% 11.1% 0.0% 0.0% 16.2% -15.6% 4.2K -289.7K -94 0.00 141.71 N/A N/A 0 0 37 4
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