VOX Options History — January 2008 In January 2008, VOX traded between $63.79 and $74.26. ATM implied volatility averaged 38.0%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 11.3% (HV 20d: 26.7%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 0 of 20 days.
Notable Days 2008-01-10 : Largest IV drop — 47.1% change2008-01-09 : Highest IV Rank — 49.1%2008-01-31 : Largest Expected Move — 13.6%Monthly Statistics Metric Avg Min Max Open Close Price $68.84 $63.79 $74.26 $74.26 $67.07 ATM IV 38.0% 25.4% 51.8% 39.2% 47.4% Expected Move 9.7% 7.3% 13.6% 11.2% 13.6% HV 20d 26.7% 22.9% 31.9% 23.0% 31.9% HV 60d 23.9% 21.0% 26.4% 21.0% 26.4% IV Rank 31.9% 16.3% 49.1% 33.4% 43.6% IV Percentile 69.6% 25.4% 93.7% 79.7% 88.9% Term Structure -11.6% -25.8% -3.7% -15.0% -12.4% Skew 25d -5.3% -11.7% 3.9% -9.3% 1.1% Skew 10d -13.9% -67.1% 5.6% -14.4% 5.6% Call IV 25d 41.2% 16.3% 61.5% 53.9% 16.3% Put IV 25d 35.8% 17.4% 65.4% 44.6% 17.4% Bid-Ask Spread % 150.15 101.87 181.80 177.07 123.02 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 2008-01-02 $74.26 $0.00 39.2% 11.2% 23.0% 33.4% 0.0% -9.3% -15.0% 0 0 0 0.00 177.07 N/A N/A 0 0 0 0 2008-01-03 $74.06 $0.00 40.5% 11.6% 22.9% 35.0% 0.0% -10.5% -16.2% 0 0 0 0.00 175.23 N/A N/A 0 0 0 0 2008-01-04 $72.28 $0.00 42.5% 7.3% 23.5% 37.5% 0.0% -5.7% -3.7% 0 0 0 0.00 178.78 N/A N/A 0 0 0 0 2008-01-07 $73.06 $0.00 47.4% 7.4% 23.7% 43.5% 0.0% -3.6% -6.1% 0 0 0 0.00 181.80 N/A N/A 0 0 0 0 2008-01-08 $70.49 $0.00 50.3% 7.8% 26.3% 47.2% 0.0% -11.7% -6.3% 0 0 0 0.00 164.25 N/A N/A 0 0 0 0 2008-01-09 $70.75 $0.00 51.8% 7.9% 26.4% 49.1% 0.0% -8.0% -7.7% 0 0 0 0.00 169.83 N/A N/A 0 0 0 0 2008-01-10 $71.83 $0.00 27.4% 7.9% 27.3% 18.8% 0.0% -2.1% -7.3% 0 0 0 0.00 175.75 N/A N/A 0 0 0 0 2008-01-11 $70.12 $0.00 28.2% 8.1% 27.7% 19.8% 0.0% -1.5% -7.3% 0 0 0 0.00 132.57 N/A N/A 0 0 0 0 2008-01-14 $70.87 $0.00 29.4% 8.4% 28.3% 21.3% 0.0% -5.1% -8.5% 0 0 0 0.00 173.43 N/A N/A 0 0 0 0 2008-01-15 $69.41 $0.00 30.6% 8.8% 25.8% 22.8% 0.0% -10.0% -6.8% 0 0 0 0.00 165.69 N/A N/A 0 0 0 0 2008-01-16 $69.54 $0.00 30.8% 8.8% 25.0% 23.1% 0.0% -9.8% -10.4% 0 0 0 0.00 165.48 N/A N/A 0 0 0 0 2008-01-17 $67.98 $0.00 25.4% 7.3% 25.0% 16.3% 0.0% 0.0% -16.7% 0 0 0 0.00 117.40 N/A N/A 0 0 0 0 2008-01-18 $65.00 $0.00 35.3% 10.1% 28.9% 28.6% 0.0% -11.4% -14.2% 0 0 0 0.00 113.65 N/A N/A 0 0 0 0 2008-01-22 $63.79 $0.00 32.9% 9.4% 28.5% 25.6% 0.0% -9.4% -25.8% 0 0 0 0.00 101.87 N/A N/A 0 0 0 0 2008-01-23 $64.12 $0.00 41.6% 11.9% 26.6% 36.4% 0.0% -9.3% -11.1% 0 0 0 0.00 144.16 N/A N/A 0 0 0 0 2008-01-24 $64.35 $0.00 34.9% 10.0% 26.4% 28.1% 0.0% 0.2% -10.8% 0 0 0 0.00 113.64 N/A N/A 0 0 0 0 2008-01-28 $65.04 $0.00 42.3% 12.1% 26.9% 37.3% 0.0% 0.7% -16.9% 0 0 0 0.00 155.68 N/A N/A 0 0 0 0 2008-01-29 $67.03 $0.00 37.9% 10.9% 30.0% 31.9% 0.0% 0.2% -11.2% 0 0 0 0.00 131.55 N/A N/A 0 0 0 0 2008-01-30 $65.68 $0.00 44.1% 12.6% 30.3% 39.5% 0.0% 3.9% -18.5% 0 0 0 0.00 142.15 N/A N/A 0 0 0 0 2008-01-31 $67.07 $0.00 47.4% 13.6% 31.9% 43.6% 0.0% 1.1% -12.4% 0 0 0 0.00 123.02 N/A N/A 0 0 0 0
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