VOX Options History — November 2007 In November 2007, VOX traded between $73.37 and $80.31. ATM implied volatility averaged 41.9%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 21.5% (HV 20d: 20.5%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days.
Notable Days 2007-11-15 : Largest IV drop — 70.9% change2007-11-14 : Highest IV Rank — 93.1%2007-11-01 : Largest Expected Move — 10.7%Monthly Statistics Metric Avg Min Max Open Close Price $76.82 $73.37 $80.31 $80.08 $76.57 ATM IV 41.9% 19.8% 87.5% 37.4% 33.0% Expected Move 7.9% 5.7% 10.7% 10.7% 9.5% HV 20d 20.5% 15.7% 26.1% 15.7% 24.5% HV 60d 18.7% 17.9% 19.4% 19.2% 19.3% IV Rank 36.8% 9.5% 93.1% 31.2% 25.7% IV Percentile 68.4% 22.3% 99.5% 78.1% 67.0% Term Structure -9.9% -14.9% -4.6% -14.9% -12.6% Skew 25d -7.4% -19.3% 0.4% -9.5% -3.4% Skew 10d -13.6% -26.1% -1.5% -9.8% -12.7% Call IV 25d 36.9% 13.6% 51.5% 51.5% 46.3% Put IV 25d 29.5% 12.1% 42.9% 42.0% 42.9% Bid-Ask Spread % 159.10 83.79 184.48 184.48 167.24 Net GEX 0 0 0 0 0 Net DEX 0 0 0 0 0 Net VEX 0 0 0 0 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 0 0 0 0 0
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 2007-11-01 $80.08 $0.00 37.4% 10.7% 15.7% 31.2% 0.0% -9.5% -14.9% 0 0 0 0.00 184.48 N/A N/A 0 0 0 0 2007-11-02 $80.31 $0.00 28.6% 8.2% 15.7% 20.3% 0.0% -1.5% 0.0% 0 0 0 0.00 145.00 N/A N/A 0 0 0 0 2007-11-05 $79.84 $0.00 43.3% 6.2% 15.7% 38.5% 0.0% 0.4% -9.3% 0 0 0 0.00 170.40 N/A N/A 0 0 0 0 2007-11-06 $79.86 $0.00 45.2% 6.3% 15.7% 40.8% 0.0% 0.4% -4.6% 0 0 0 0.00 170.64 N/A N/A 0 0 0 0 2007-11-07 $77.73 $0.00 48.1% 6.5% 17.9% 44.5% 0.0% -4.1% -10.0% 0 0 0 0.00 166.89 N/A N/A 0 0 0 0 2007-11-08 $77.68 $0.00 50.7% 6.6% 18.0% 47.7% 0.0% -4.2% -10.9% 0 0 0 0.00 167.62 N/A N/A 0 0 0 0 2007-11-09 $76.42 $0.00 75.5% 8.7% 18.2% 78.4% 0.0% -19.3% -6.7% 0 0 0 0.00 152.00 N/A N/A 0 0 0 0 2007-11-12 $75.56 $0.00 72.2% 7.1% 17.9% 74.3% 0.0% -9.9% -12.5% 0 0 0 0.00 154.50 N/A N/A 0 0 0 0 2007-11-13 $77.49 $0.00 75.9% 7.1% 20.8% 78.9% 0.0% -5.0% -4.7% 0 0 0 0.00 167.78 N/A N/A 0 0 0 0 2007-11-14 $77.09 $0.00 87.5% 7.2% 20.6% 93.1% 0.0% -6.1% -6.0% 0 0 0 0.00 166.94 N/A N/A 0 0 0 0 2007-11-15 $76.86 $0.00 25.4% 7.3% 20.6% 16.4% 0.0% -6.8% -12.6% 0 0 0 0.00 165.51 N/A N/A 0 0 0 0 2007-11-16 $77.71 $0.00 25.4% 7.3% 20.5% 16.4% 0.0% -4.7% -13.1% 0 0 0 0.00 167.97 N/A N/A 0 0 0 0 2007-11-19 $75.67 $0.00 27.3% 7.8% 21.9% 18.7% 0.0% -10.8% -8.2% 0 0 0 0.00 160.03 N/A N/A 0 0 0 0 2007-11-20 $75.56 $0.00 27.7% 7.9% 21.7% 19.2% 0.0% -11.3% -8.6% 0 0 0 0.00 159.83 N/A N/A 0 0 0 0 2007-11-21 $74.30 $0.00 19.8% 5.7% 22.2% 9.5% 0.0% -4.4% 0.0% 0 0 0 0.00 83.79 N/A N/A 0 0 0 0 2007-11-23 $75.31 $0.00 29.4% 8.4% 23.1% 21.4% 0.0% -12.7% -7.8% 0 0 0 0.00 158.83 N/A N/A 0 0 0 0 2007-11-26 $73.37 $0.00 31.5% 9.0% 23.6% 24.0% 0.0% -17.3% -11.2% 0 0 0 0.00 149.77 N/A N/A 0 0 0 0 2007-11-27 $73.76 $0.00 32.2% 9.2% 23.6% 24.8% 0.0% -15.9% -11.3% 0 0 0 0.00 152.57 N/A N/A 0 0 0 0 2007-11-28 $75.79 $0.00 32.0% 9.2% 26.1% 24.5% 0.0% -5.7% -11.4% 0 0 0 0.00 163.62 N/A N/A 0 0 0 0 2007-11-29 $76.16 $0.00 32.6% 9.4% 25.9% 25.3% 0.0% -4.6% -11.6% 0 0 0 0.00 165.71 N/A N/A 0 0 0 0 2007-11-30 $76.57 $0.00 33.0% 9.5% 24.5% 25.7% 0.0% -3.4% -12.6% 0 0 0 0.00 167.24 N/A N/A 0 0 0 0
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