VOX Options History — September 2007 In September 2007, VOX traded between $78.42 and $83.83. ATM implied volatility averaged 32.2%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 10.4% (HV 20d: 21.9%). Max pain ranged from $77.00 to $77.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 0 of 19 days.
Notable Days 2007-09-21 : Highest Volume — 1 contracts2007-09-13 : Largest IV drop — 48.6% change2007-09-12 : Highest IV Rank — 44.2%2007-09-06 : Largest Expected Move — 10.7%Monthly Statistics Metric Avg Min Max Open Close Price $81.20 $78.42 $83.83 $81.69 $83.07 Max Pain $77.00 $77.00 $77.00 $77.00 $77.00 ATM IV 32.2% 24.6% 47.9% 34.5% 30.8% Expected Move 8.0% 6.6% 10.7% 9.9% 8.8% HV 20d 21.9% 17.2% 24.4% 23.7% 17.4% HV 60d 19.8% 19.0% 20.2% 19.0% 20.2% IV Rank 24.8% 15.4% 44.2% 27.6% 23.0% IV Percentile 59.4% 33.7% 89.7% 70.8% 62.4% Term Structure -8.2% -15.8% -2.2% -15.8% -10.6% Skew 25d 7.2% 0.4% 12.9% 2.2% 10.5% Skew 10d 15.9% 7.0% 23.0% 14.1% 21.3% Call IV 25d 32.3% 24.4% 51.9% 46.3% 32.8% Put IV 25d 39.6% 32.7% 52.3% 48.5% 43.3% Bid-Ask Spread % 165.24 155.40 177.45 160.95 160.83 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -243 -370 0 -294 0 Net DEX 1.6K 0 3.1K 1.7K 0 Net VEX -3 -6 0 -5 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.053 0 1 0 0 Total OI 0.737 0 1 1 0
Daily Data (19 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 2007-09-04 $81.69 $77.00 34.5% 9.9% 23.7% 27.6% 0.0% 2.2% -15.8% -294 1.7K -5 0.00 160.95 N/A N/A 0 0 0 1 2007-09-05 $80.38 $77.00 36.2% 10.4% 24.4% 29.7% 0.0% 0.4% -13.8% -330 2.2K -6 0.00 162.91 N/A N/A 0 0 0 1 2007-09-06 $80.27 $77.00 37.3% 10.7% 24.4% 31.1% 0.0% 0.4% -14.8% -334 2.3K -6 0.00 163.04 N/A N/A 0 0 0 1 2007-09-07 $78.63 $0.00 39.2% 6.6% 24.2% 33.5% 0.0% 3.6% -3.3% -360 3.0K -6 0.00 175.64 N/A N/A 0 0 0 1 2007-09-10 $78.42 $0.00 44.1% 6.9% 24.2% 39.6% 0.0% 3.2% -2.4% -366 3.1K -5 0.00 177.45 N/A N/A 0 0 0 1 2007-09-11 $79.48 $0.00 45.5% 6.9% 24.3% 41.2% 0.0% 5.4% -2.2% -356 2.6K -5 0.00 172.90 N/A N/A 0 0 0 1 2007-09-12 $79.12 $0.00 47.9% 7.0% 22.6% 44.2% 0.0% 4.6% -4.0% -366 2.7K -5 0.00 175.30 N/A N/A 0 0 0 1 2007-09-13 $79.97 $0.00 24.6% 7.1% 21.8% 15.4% 0.0% 6.4% -5.3% -354 2.4K -4 0.00 171.95 N/A N/A 0 0 0 1 2007-09-14 $79.79 $0.00 25.0% 7.2% 21.8% 15.8% 0.0% 6.1% -6.6% -359 2.4K -4 0.00 172.93 N/A N/A 0 0 0 1 2007-09-17 $79.53 $0.00 26.1% 7.5% 20.1% 17.3% 0.0% 5.7% -8.1% -370 2.6K -3 0.00 174.63 N/A N/A 0 0 0 1 2007-09-18 $81.55 $0.00 25.9% 7.4% 21.8% 16.9% 0.0% 10.5% -8.8% -312 1.7K -2 0.00 162.58 N/A N/A 0 0 0 1 2007-09-19 $82.40 $0.00 26.1% 7.5% 21.9% 17.3% 0.0% 12.9% -5.6% -281 1.4K -2 0.00 155.40 N/A N/A 0 0 0 1 2007-09-20 $82.38 $0.00 26.6% 7.6% 21.5% 17.8% 0.0% 10.3% -6.6% -282 1.4K -2 0.00 160.17 N/A N/A 0 0 0 1 2007-09-21 $83.24 $0.00 26.7% 7.7% 21.7% 18.0% 0.0% 12.6% -8.0% -248 1.1K -1 0.00 155.49 N/A N/A 0 1 0 1 2007-09-24 $82.59 $0.00 28.3% 8.1% 21.6% 20.0% 0.0% 8.7% -9.4% 0 0 0 0.00 162.33 N/A N/A 0 0 0 0 2007-09-25 $82.88 $0.00 28.9% 8.3% 21.6% 20.7% 0.0% 9.5% -9.5% 0 0 0 0.00 161.03 N/A N/A 0 0 0 0 2007-09-26 $83.52 $0.00 29.2% 8.4% 18.8% 21.0% 0.0% 11.4% -10.1% 0 0 0 0.00 157.87 N/A N/A 0 0 0 0 2007-09-27 $83.83 $0.00 29.8% 8.5% 17.2% 21.8% 0.0% 12.4% -10.3% 0 0 0 0.00 156.15 N/A N/A 0 0 0 0 2007-09-28 $83.07 $0.00 30.8% 8.8% 17.4% 23.0% 0.0% 10.5% -10.6% 0 0 0 0.00 160.83 N/A N/A 0 0 0 0
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