VOX Options History — December 2007 In December 2007, VOX traded between $72.76 and $77.71. ATM implied volatility averaged 33.7%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 9.9% (HV 20d: 23.8%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 0 of 20 days.
Notable Days 2007-12-13 : Largest IV drop — 43.5% change2007-12-12 : Highest IV Rank — 44.5%2007-12-06 : Largest Expected Move — 11.1%Monthly Statistics Metric Avg Min Max Open Close Price $76.01 $72.76 $77.71 $76.35 $75.27 ATM IV 33.7% 22.5% 48.2% 35.9% 36.5% Expected Move 8.5% 6.5% 11.1% 10.3% 10.5% HV 20d 23.8% 21.1% 25.9% 24.5% 22.6% HV 60d 19.8% 18.2% 21.1% 18.8% 20.9% IV Rank 26.7% 12.8% 44.5% 29.4% 30.2% IV Percentile 62.4% 24.0% 90.3% 73.2% 74.0% Term Structure -10.4% -18.7% -3.4% -13.9% -13.3% Skew 25d -2.8% -11.4% 2.8% -4.4% -5.0% Skew 10d -5.5% -17.3% 3.6% -14.4% -7.4% Call IV 25d 37.7% 17.5% 53.7% 49.8% 50.3% Put IV 25d 34.8% 14.9% 52.9% 45.4% 45.3% Bid-Ask Spread % 168.38 117.67 184.22 166.78 182.58 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 (20 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 2007-12-03 $76.35 $0.00 35.9% 10.3% 24.5% 29.4% 0.0% -4.4% -13.9% 0 0 0 0.00 166.78 N/A N/A 0 0 0 0 2007-12-04 $75.70 $0.00 32.8% 9.4% 24.5% 25.5% 0.0% 0.0% -18.7% 0 0 0 0.00 139.30 N/A N/A 0 0 0 0 2007-12-05 $76.80 $0.00 37.5% 10.8% 25.2% 31.4% 0.0% -3.0% -16.2% 0 0 0 0.00 168.21 N/A N/A 0 0 0 0 2007-12-06 $77.44 $0.00 38.6% 11.1% 23.7% 32.7% 0.0% -0.8% -16.2% 0 0 0 0.00 169.29 N/A N/A 0 0 0 0 2007-12-07 $77.64 $0.00 39.4% 6.7% 23.7% 33.7% 0.0% 1.6% -5.6% 0 0 0 0.00 178.62 N/A N/A 0 0 0 0 2007-12-10 $77.61 $0.00 43.8% 6.9% 22.9% 39.1% 0.0% -3.1% -6.0% 0 0 0 0.00 179.35 N/A N/A 0 0 0 0 2007-12-11 $76.94 $0.00 46.5% 7.1% 22.7% 42.5% 0.0% -5.8% -6.3% 0 0 0 0.00 180.69 N/A N/A 0 0 0 0 2007-12-12 $77.71 $0.00 48.2% 7.1% 21.1% 44.5% 0.0% -2.8% -6.5% 0 0 0 0.00 179.54 N/A N/A 0 0 0 0 2007-12-13 $77.32 $0.00 27.2% 7.8% 21.1% 18.6% 0.0% -3.9% -3.4% 0 0 0 0.00 152.97 N/A N/A 0 0 0 0 2007-12-14 $74.31 $0.00 26.9% 7.7% 25.4% 18.2% 0.0% -6.2% -6.6% 0 0 0 0.00 175.01 N/A N/A 0 0 0 0 2007-12-17 $72.76 $0.00 28.6% 8.2% 25.9% 20.3% 0.0% -11.4% -8.7% 0 0 0 0.00 164.26 N/A N/A 0 0 0 0 2007-12-18 $73.94 $0.00 22.5% 6.5% 25.2% 12.8% 0.0% -1.1% 0.0% 0 0 0 0.00 121.37 N/A N/A 0 0 0 0 2007-12-19 $73.80 $0.00 23.0% 6.6% 25.2% 13.4% 0.0% -4.7% 0.0% 0 0 0 0.00 117.67 N/A N/A 0 0 0 0 2007-12-20 $74.53 $0.00 29.2% 8.4% 24.8% 21.1% 0.0% -2.6% -12.6% 0 0 0 0.00 172.59 N/A N/A 0 0 0 0 2007-12-21 $76.24 $0.00 29.2% 8.4% 25.6% 21.1% 0.0% -0.8% -10.4% 0 0 0 0.00 183.10 N/A N/A 0 0 0 0 2007-12-24 $76.79 $0.00 30.5% 8.8% 23.7% 22.7% 0.0% 1.8% -9.9% 0 0 0 0.00 184.07 N/A N/A 0 0 0 0 2007-12-26 $77.11 $0.00 31.7% 9.1% 23.7% 24.2% 0.0% 2.8% -10.3% 0 0 0 0.00 184.22 N/A N/A 0 0 0 0 2007-12-27 $75.95 $0.00 32.9% 9.4% 22.5% 25.6% 0.0% -2.3% -11.1% 0 0 0 0.00 183.77 N/A N/A 0 0 0 0 2007-12-28 $76.01 $0.00 33.6% 9.6% 22.4% 26.5% 0.0% -2.2% -11.6% 0 0 0 0.00 184.20 N/A N/A 0 0 0 0 2007-12-31 $75.27 $0.00 36.5% 10.5% 22.6% 30.2% 0.0% -5.0% -13.3% 0 0 0 0.00 182.58 N/A N/A 0 0 0 0
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