VOX Options History — October 2007

In October 2007, VOX traded between $81.10 and $84.15. ATM implied volatility averaged 30.4%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 16.8% (HV 20d: 13.5%). Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 0 of 23 days.

Notable Days

  • 2007-10-11: Largest IV drop — 47.6% change
  • 2007-10-10: Highest IV Rank — 40.8%
  • 2007-10-04: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.83$81.10$84.15$83.87$82.32
ATM IV30.4%19.8%45.1%32.7%35.3%
Expected Move7.8%5.6%10.2%9.4%10.1%
HV 20d13.5%11.5%17.5%17.5%13.1%
HV 60d19.4%18.0%20.2%20.2%18.3%
IV Rank22.5%9.5%40.8%25.4%28.6%
IV Percentile54.9%25.0%86.6%67.9%73.2%
Term Structure-8.0%-14.8%-1.4%-12.4%-13.2%
Skew 25d6.6%0.5%25.4%13.6%4.6%
Skew 10d10.4%0.5%41.8%25.2%4.6%
Call IV 25d30.6%11.4%51.7%32.7%42.9%
Put IV 25d37.1%12.0%70.5%46.3%47.5%
Bid-Ask Spread %173.1295.06193.77155.00193.66
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$83.87$0.0032.7%9.4%17.5%25.4%0.0%13.6%-12.4%0000.00155.00N/AN/A0000
2007-10-02$84.01$0.0033.6%9.6%16.9%26.5%0.0%14.3%-12.9%0000.00155.01N/AN/A0000
2007-10-03$83.10$0.0026.7%7.7%16.3%18.0%0.0%2.9%-8.0%0000.0095.06N/AN/A0000
2007-10-04$83.83$0.0035.7%10.2%16.4%29.1%0.0%14.4%-14.8%0000.00156.58N/AN/A0000
2007-10-05$84.15$0.0036.8%6.2%14.0%30.4%0.0%8.0%-2.3%0000.00175.62N/AN/A0000
2007-10-08$83.96$0.0041.2%6.5%14.0%35.9%0.0%7.8%-5.0%0000.00178.30N/AN/A0000
2007-10-09$84.12$0.0034.9%5.6%13.5%28.1%0.0%2.3%-1.4%0000.00119.43N/AN/A0000
2007-10-10$83.66$0.0045.1%6.6%13.6%40.8%0.0%7.3%-5.5%0000.00181.46N/AN/A0000
2007-10-11$83.23$0.0023.6%6.8%13.5%14.2%0.0%25.4%-5.0%0000.00182.12N/AN/A0000
2007-10-12$83.69$0.0019.8%5.7%13.5%9.5%0.0%18.8%-2.2%0000.00155.60N/AN/A0000
2007-10-15$82.43$0.0025.3%7.3%14.7%16.2%0.0%4.5%-5.4%0000.00189.90N/AN/A0000
2007-10-16$82.24$0.0025.8%7.4%12.0%16.8%0.0%3.6%-6.2%0000.00190.14N/AN/A0000
2007-10-17$82.64$0.0025.9%7.4%11.5%17.1%0.0%5.4%-7.2%0000.00189.75N/AN/A0000
2007-10-18$82.53$0.0026.4%7.6%11.5%17.6%0.0%4.8%-7.6%0000.00190.24N/AN/A0000
2007-10-19$81.10$0.0027.4%7.9%12.4%18.9%0.0%2.3%-7.6%0000.00187.01N/AN/A0000
2007-10-22$81.66$0.0021.7%6.2%12.5%11.8%0.0%0.5%-5.0%0000.00167.77N/AN/A0000
2007-10-23$82.03$0.0029.2%8.4%12.5%21.1%0.0%2.6%-9.0%0000.00191.72N/AN/A0000
2007-10-24$81.68$0.0029.8%8.6%12.2%21.9%0.0%0.7%-9.8%0000.00193.41N/AN/A0000
2007-10-25$81.66$0.0030.5%8.7%12.1%22.7%0.0%0.6%-12.1%0000.00192.20N/AN/A0000
2007-10-26$82.56$0.0030.8%8.8%12.5%23.1%0.0%5.5%-10.9%0000.00191.88N/AN/A0000
2007-10-29$82.99$0.0025.7%7.4%12.1%16.7%0.0%0.9%-6.3%0000.00156.22N/AN/A0000
2007-10-30$81.70$0.0034.5%9.9%13.2%27.6%0.0%0.7%-13.4%0000.00193.77N/AN/A0000
2007-10-31$82.32$0.0035.3%10.1%13.1%28.6%0.0%4.6%-13.2%0000.00193.66N/AN/A0000