VOX Options History — August 2007 In August 2007, VOX traded between $76.44 and $82.58. ATM implied volatility averaged 38.7%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 17.3% (HV 20d: 21.4%). Max pain ranged from $77.00 to $77.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 0 of 23 days.
Notable Days 2007-08-16 : Largest IV drop — 71.3% change2007-08-15 : Highest IV Rank — 92.4%2007-08-03 : Largest Expected Move — 11.2%Monthly Statistics Metric Avg Min Max Open Close Price $79.60 $76.44 $82.58 $81.54 $80.56 Max Pain $77.00 $77.00 $77.00 $77.00 $77.00 ATM IV 38.7% 22.2% 86.9% 30.5% 31.6% Expected Move 7.6% 6.3% 11.2% 8.8% 9.1% HV 20d 21.4% 16.4% 25.8% 16.4% 23.2% HV 60d 16.9% 14.2% 19.3% 14.2% 18.9% IV Rank 32.8% 12.4% 92.4% 22.7% 24.0% IV Percentile 65.9% 33.3% 99.4% 62.1% 65.3% Term Structure -7.9% -17.7% -3.7% -4.1% -11.4% Skew 25d 0.9% -8.4% 7.7% -0.1% 0.4% Skew 10d 4.4% -16.9% 13.6% -0.1% 10.8% Call IV 25d 35.1% 12.6% 55.1% 12.6% 44.2% Put IV 25d 36.0% 12.6% 46.8% 12.6% 44.7% Bid-Ask Spread % 154.51 104.73 177.74 173.86 162.21 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -318 -377 -232 -312 -322 Net DEX 2.8K 1.8K 4.3K 2.6K 2.2K Net VEX -9 -11 -7 -10 -7 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 (23 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 2007-08-01 $81.54 $0.00 30.5% 8.8% 16.4% 22.7% 0.0% -0.1% -4.1% -312 2.6K -10 0.00 173.86 N/A N/A 0 0 0 1 2007-08-02 $82.58 $0.00 27.6% 7.9% 17.2% 19.1% 0.0% 0.0% -5.3% -232 1.8K -9 0.00 161.61 N/A N/A 0 0 0 1 2007-08-03 $80.12 $0.00 39.2% 11.2% 19.9% 33.4% 0.0% -8.4% -17.7% -343 3.0K -10 0.00 177.74 N/A N/A 0 0 0 1 2007-08-06 $80.48 $77.00 44.0% 7.5% 20.1% 39.4% 0.0% 5.3% -7.9% -266 2.8K -11 0.00 144.51 N/A N/A 0 0 0 1 2007-08-07 $80.55 $77.00 43.2% 6.3% 18.8% 38.3% 0.0% -5.1% -4.2% -340 2.8K -10 0.00 147.80 N/A N/A 0 0 0 1 2007-08-08 $80.86 $77.00 46.8% 6.3% 18.5% 42.8% 0.0% -0.5% -4.1% -347 2.7K -9 0.00 156.81 N/A N/A 0 0 0 1 2007-08-09 $79.10 $77.00 49.5% 6.7% 19.0% 46.3% 0.0% 2.5% -6.7% -248 2.9K -10 0.00 143.77 N/A N/A 0 0 0 1 2007-08-10 $78.75 $77.00 53.6% 6.6% 18.9% 51.3% 0.0% -1.3% -8.2% -338 3.4K -10 0.00 158.69 N/A N/A 0 0 0 1 2007-08-13 $79.72 $77.00 67.0% 6.8% 19.5% 67.8% 0.0% -3.5% -9.1% -345 3.1K -9 0.00 158.45 N/A N/A 0 0 0 1 2007-08-14 $77.80 $77.00 76.0% 6.9% 20.9% 79.0% 0.0% 3.7% -14.1% -377 3.8K -10 0.00 158.91 N/A N/A 0 0 0 1 2007-08-15 $76.44 $77.00 86.9% 7.3% 21.4% 92.4% 0.0% -0.6% -11.3% -323 4.3K -9 0.00 158.75 N/A N/A 0 0 0 1 2007-08-16 $76.44 $77.00 24.9% 7.1% 21.1% 15.8% 0.0% 2.7% -5.4% -307 3.8K -10 0.00 142.41 N/A N/A 0 0 0 1 2007-08-17 $78.40 $77.00 25.5% 7.3% 23.7% 16.5% 0.0% 2.1% -3.7% -358 3.0K -9 0.00 161.14 N/A N/A 0 0 0 1 2007-08-20 $78.13 $77.00 26.7% 7.7% 23.3% 18.0% 0.0% 2.1% -7.2% -361 3.1K -9 0.00 161.61 N/A N/A 0 0 0 1 2007-08-21 $78.70 $77.00 26.8% 7.7% 23.5% 18.2% 0.0% 2.1% -7.7% -348 2.9K -9 0.00 161.78 N/A N/A 0 0 0 1 2007-08-22 $79.81 $77.00 26.9% 7.7% 24.3% 18.2% 0.0% 1.9% -7.8% -320 2.5K -8 0.00 161.66 N/A N/A 0 0 0 1 2007-08-23 $79.97 $77.00 27.3% 7.8% 22.5% 18.8% 0.0% 1.8% -8.0% -316 2.5K -8 0.00 161.46 N/A N/A 0 0 0 1 2007-08-24 $80.96 $77.00 22.2% 6.4% 22.7% 12.4% 0.0% 0.0% -4.8% -311 2.0K -7 0.00 104.73 N/A N/A 0 0 0 1 2007-08-27 $80.84 $77.00 29.0% 8.3% 22.5% 20.8% 0.0% 1.8% -9.3% -301 2.1K -7 0.00 161.57 N/A N/A 0 0 0 1 2007-08-28 $78.64 $77.00 30.4% 8.7% 24.5% 22.5% 0.0% 1.8% -10.1% -333 3.0K -8 0.00 162.94 N/A N/A 0 0 0 1 2007-08-29 $80.50 $77.00 30.4% 8.7% 25.8% 22.6% 0.0% 1.7% -9.6% -310 2.3K -7 0.00 161.91 N/A N/A 0 0 0 1 2007-08-30 $79.94 $77.00 24.4% 7.0% 25.4% 15.1% 0.0% 7.7% -4.1% -263 2.7K -7 0.00 109.46 N/A N/A 0 0 0 1 2007-08-31 $80.56 $77.00 31.6% 9.1% 23.2% 24.0% 0.0% 0.4% -11.4% -322 2.2K -7 0.00 162.21 N/A N/A 0 0 0 1
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