VOX Options History — June 2007 In June 2007, VOX traded between $81.22 and $84.52. ATM implied volatility averaged 35.0%. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 21.8% (HV 20d: 13.2%). Max pain ranged from $67.00 to $67.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 0 of 21 days.
Notable Days 2007-06-14 : Largest IV drop — 71.7% change2007-06-01 : Largest Expected Move — 10.5%Monthly Statistics Metric Avg Min Max Open Close Price $82.74 $81.22 $84.52 $84.34 $82.64 Max Pain $67.00 $67.00 $67.00 $67.00 $67.00 ATM IV 35.0% 16.2% 83.9% 36.7% 19.1% Expected Move 6.3% 4.6% 10.5% 10.5% 5.5% HV 20d 13.2% 10.8% 14.1% 10.9% 13.7% HV 60d 11.4% 10.4% 11.9% 10.7% 11.8% Term Structure -6.3% -16.5% -2.6% -16.5% -9.1% Skew 25d 5.5% -4.8% 13.2% 13.2% 5.5% Skew 10d 8.9% -6.3% 25.9% 25.9% 9.4% Call IV 25d 27.5% 20.6% 38.3% 38.3% 29.0% Put IV 25d 33.0% 27.9% 51.5% 51.5% 34.5% Bid-Ask Spread % 173.12 144.22 187.57 144.22 163.41 Gamma HHI 0.73 0.47 1.00 0.48 1.00 Net GEX 2.7K -342 6.9K 4.2K -329 Net DEX -140.9K -293.1K 2.4K -290.8K 1.0K Net VEX -43 -106 -8 -85 -8 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 21.476 1 41 41 1
Daily Data (21 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 2007-06-01 $84.34 $67.00 36.7% 10.5% 10.9% 0.0% 0.0% 13.2% -16.5% 4.2K -290.8K -85 0.00 144.22 N/A N/A 0 0 37 4 2007-06-04 $84.52 $0.00 40.7% 5.9% 10.8% 0.0% 0.0% 8.7% -4.3% 3.9K -293.1K -73 0.00 169.09 N/A N/A 0 0 37 4 2007-06-05 $84.02 $0.00 43.0% 6.0% 11.2% 0.0% 0.0% 7.7% -2.6% 4.4K -288.4K -80 0.00 173.10 N/A N/A 0 0 37 4 2007-06-06 $83.49 $0.00 45.4% 6.1% 11.6% 0.0% 0.0% 6.7% -3.3% 5.0K -282.9K -83 0.00 178.64 N/A N/A 0 0 37 4 2007-06-07 $81.84 $0.00 48.7% 6.3% 13.8% 0.0% 0.0% 3.6% -4.0% 6.7K -263.4K -106 0.00 186.41 N/A N/A 0 0 37 4 2007-06-08 $82.88 $0.00 51.0% 6.3% 13.1% 0.0% 0.0% 5.6% -3.6% 5.5K -276.8K -82 0.00 182.34 N/A N/A 0 0 37 4 2007-06-11 $82.90 $0.00 64.5% 6.5% 12.6% 0.0% 0.0% 5.7% -6.9% 5.6K -276.9K -70 0.00 183.15 N/A N/A 0 0 37 4 2007-06-12 $81.71 $0.00 73.1% 6.7% 13.8% 0.0% 0.0% 3.5% -6.6% 6.9K -261.9K -76 0.00 187.57 N/A N/A 0 0 37 4 2007-06-13 $82.45 $0.00 83.9% 6.8% 14.1% 0.0% 0.0% 4.9% -4.7% 6.1K -271.8K -60 0.00 185.66 N/A N/A 0 0 37 4 2007-06-14 $82.85 $0.00 23.7% 6.8% 13.9% 0.0% 0.0% 5.8% -6.6% 5.6K -235.3K -49 0.00 182.57 N/A N/A 0 0 32 4 2007-06-15 $83.09 $0.00 24.0% 6.9% 13.7% 0.0% 0.0% 6.3% -5.4% 5.6K -234.2K -38 0.00 181.35 N/A N/A 0 0 32 4 2007-06-18 $83.18 $0.00 25.1% 7.2% 13.6% 0.0% 0.0% 6.8% -6.8% -251 2.3K -13 0.00 181.35 N/A N/A 0 0 0 1 2007-06-19 $83.49 $0.00 25.4% 7.3% 13.3% 0.0% 0.0% 7.5% -6.8% -247 2.3K -13 0.00 179.64 N/A N/A 0 0 0 1 2007-06-20 $82.45 $0.00 26.1% 7.5% 14.1% 0.0% 0.0% 5.3% -7.2% -285 2.4K -13 0.00 186.51 N/A N/A 0 0 0 1 2007-06-21 $82.58 $0.00 16.2% 4.7% 14.0% 0.0% 0.0% 4.8% -6.4% -286 1.2K -9 0.00 161.40 N/A N/A 0 0 0 1 2007-06-22 $81.74 $0.00 16.2% 4.6% 14.1% 0.0% 0.0% 3.9% -4.3% -312 1.6K -11 0.00 162.81 N/A N/A 0 0 0 1 2007-06-25 $81.40 $0.00 17.1% 4.9% 14.0% 0.0% 0.0% -4.8% -6.3% -306 1.9K -12 0.00 164.44 N/A N/A 0 0 0 1 2007-06-26 $81.22 $0.00 17.4% 5.0% 13.7% 0.0% 0.0% 0.0% -7.8% -342 1.6K -11 0.00 154.98 N/A N/A 0 0 0 1 2007-06-27 $82.21 $0.00 18.4% 5.3% 13.6% 0.0% 0.0% 4.5% -4.5% -328 1.3K -9 0.00 163.62 N/A N/A 0 0 0 1 2007-06-28 $82.56 $0.00 18.6% 5.3% 13.6% 0.0% 0.0% 5.3% -8.1% -316 1.1K -8 0.00 163.32 N/A N/A 0 0 0 1 2007-06-29 $82.64 $0.00 19.1% 5.5% 13.7% 0.0% 0.0% 5.5% -9.1% -329 1.0K -8 0.00 163.41 N/A N/A 0 0 0 1
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