VOX Options History — July 2007 In July 2007, VOX traded between $80.73 and $85.06. ATM implied volatility averaged 19.5%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 5.3% (HV 20d: 14.2%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days.
Notable Days 2007-07-27 : Largest IV spike — 60.6% change2007-07-27 : Highest IV Rank — 21.1%2007-07-27 : Largest Expected Move — 8.4%Monthly Statistics Metric Avg Min Max Open Close Price $83.65 $80.73 $85.06 $83.75 $80.91 ATM IV 19.5% 14.1% 29.2% 19.6% 20.5% Expected Move 5.0% 3.9% 8.4% 5.6% 5.9% HV 20d 14.2% 11.6% 17.1% 14.6% 16.3% HV 60d 13.0% 11.9% 14.4% 12.1% 14.2% IV Rank 9.0% 2.3% 21.1% 11.4% 10.3% IV Percentile 31.1% 10.6% 58.5% 31.0% 35.4% Term Structure -4.8% -16.5% 0.5% -7.9% -5.7% Skew 25d 4.2% -13.6% 10.7% 4.7% 3.5% Skew 10d 9.9% -8.2% 25.6% 14.0% 3.5% Call IV 25d 20.6% 8.9% 36.5% 25.1% 10.9% Put IV 25d 24.8% 14.3% 32.9% 29.8% 14.4% Bid-Ask Spread % 154.98 141.45 164.55 159.28 141.45 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -300 -364 -240 -269 -327 Net DEX 1.0K 120 2.2K 1.2K 1.5K Net VEX -6 -11 0 -8 -8 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 1 1 1 1 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 2007-07-02 $83.75 $0.00 19.6% 5.6% 14.6% 0.0% 0.0% 4.7% -7.9% -269 1.2K -8 0.00 159.28 N/A N/A 0 0 0 1 2007-07-03 $84.22 $0.00 20.1% 5.8% 14.6% 0.0% 0.0% 7.5% -6.9% -282 1.1K -7 0.00 156.27 N/A N/A 0 0 0 1 2007-07-05 $84.03 $0.00 21.3% 6.1% 14.4% 11.4% 0.0% 6.9% -8.9% -287 1.1K -7 0.00 158.42 N/A N/A 0 0 0 1 2007-07-06 $84.45 $0.00 21.9% 3.9% 12.3% 12.1% 0.0% 10.5% -1.9% -240 1.6K -10 0.00 152.00 N/A N/A 0 0 0 1 2007-07-09 $84.40 $0.00 23.9% 4.0% 11.6% 14.5% 0.0% 1.1% -4.6% -246 1.6K -10 0.00 152.57 N/A N/A 0 0 0 1 2007-07-10 $82.60 $0.00 26.9% 4.2% 14.1% 18.3% 0.0% 1.1% -7.0% -353 1.3K -8 0.00 162.66 N/A N/A 0 0 0 1 2007-07-11 $83.29 $0.00 27.7% 4.0% 13.3% 19.2% 0.0% 4.5% -1.7% -326 1.2K -8 0.00 162.45 N/A N/A 0 0 0 1 2007-07-12 $84.45 $0.00 15.8% 4.5% 13.8% 4.5% 0.0% 8.5% -2.4% -253 1.1K -8 0.00 149.12 N/A N/A 0 0 0 1 2007-07-13 $84.66 $0.00 14.1% 4.0% 13.7% 2.3% 0.0% 10.7% -1.3% -277 875 -6 0.00 148.23 N/A N/A 0 0 0 1 2007-07-16 $85.06 $0.00 14.8% 4.2% 13.8% 3.2% 0.0% 9.6% -2.2% -289 249 -2 0.00 146.29 N/A N/A 0 0 0 1 2007-07-17 $84.89 $0.00 15.4% 4.4% 13.8% 4.0% 0.0% 8.0% -4.2% -281 865 -6 0.00 153.37 N/A N/A 0 0 0 1 2007-07-18 $84.44 $0.00 15.6% 4.5% 14.0% 4.2% 0.0% 8.9% -1.9% -319 628 -4 0.00 156.50 N/A N/A 0 0 0 1 2007-07-19 $84.94 $0.00 15.4% 4.4% 13.2% 4.1% 0.0% 7.9% -1.3% -307 460 -3 0.00 153.51 N/A N/A 0 0 0 1 2007-07-20 $84.26 $0.00 16.4% 4.7% 13.6% 5.2% 0.0% 3.2% 0.5% -327 547 -4 0.00 157.85 N/A N/A 0 0 0 1 2007-07-23 $84.89 $0.00 17.1% 4.9% 13.1% 6.0% 0.0% 8.2% -4.9% -242 120 0 0.00 155.06 N/A N/A 0 0 0 1 2007-07-24 $83.99 $0.00 17.4% 5.0% 13.7% 6.5% 0.0% 0.9% -1.6% -330 598 -4 0.00 160.87 N/A N/A 0 0 0 1 2007-07-25 $83.82 $0.00 17.4% 5.0% 13.7% 6.5% 0.0% 1.0% -3.5% -351 690 -4 0.00 161.34 N/A N/A 0 0 0 1 2007-07-26 $81.57 $0.00 18.2% 5.2% 16.5% 7.4% 0.0% 5.4% -7.4% -270 1.0K -7 0.00 157.44 N/A N/A 0 0 0 1 2007-07-27 $80.73 $0.00 29.2% 8.4% 16.8% 21.1% 0.0% -13.6% -16.5% -364 2.2K -11 0.00 145.25 N/A N/A 0 0 0 1 2007-07-30 $81.37 $0.00 20.0% 5.7% 17.1% 9.6% 0.0% -9.2% -8.9% -363 2.0K -9 0.00 164.55 N/A N/A 0 0 0 1 2007-07-31 $80.91 $0.00 20.5% 5.9% 16.3% 10.3% 0.0% 3.5% -5.7% -327 1.5K -8 0.00 141.45 N/A N/A 0 0 0 1
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