VOX Options History — February 2008 In February 2008, VOX traded between $61.46 and $67.89. ATM implied volatility averaged 47.6%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 16.3% (HV 20d: 31.3%). Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2008-02-22 : Highest Volume — 4 contracts2008-02-14 : Largest IV drop — 62.6% change2008-02-12 : Highest IV Rank — 97.4%2008-02-01 : Largest Expected Move — 13.1%Monthly Statistics Metric Avg Min Max Open Close Price $64.41 $61.46 $67.89 $67.80 $61.46 ATM IV 47.6% 29.6% 90.9% 45.6% 41.7% Expected Move 9.5% 7.3% 13.1% 13.1% 11.9% HV 20d 31.3% 27.2% 34.8% 32.3% 27.6% HV 60d 27.4% 26.5% 27.9% 26.5% 27.4% IV Rank 43.3% 21.3% 97.4% 41.3% 35.0% IV Percentile 75.9% 43.3% 99.6% 86.1% 76.2% Term Structure -9.0% -21.3% -5.1% -21.3% -10.9% Skew 25d -1.1% -12.1% 1.1% 0.7% -12.1% Skew 10d -5.3% -12.7% 4.2% 4.2% -0.2% Call IV 25d 49.2% 38.4% 63.4% 63.4% 38.4% Put IV 25d 48.1% 26.3% 64.1% 64.1% 26.3% Bid-Ask Spread % 109.30 79.41 156.66 156.66 82.54 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 188 0 783 0 692 Net DEX -3.0K -13.1K 0 0 -9.6K Net VEX -14 -58 0 0 -52 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.2 0 4 0 0 Total OI 1 0 4 0 4
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 2008-02-01 $67.80 $0.00 45.6% 13.1% 32.3% 41.3% 0.0% 0.7% -21.3% 0 0 0 0.00 156.66 N/A N/A 0 0 0 0 2008-02-04 $67.89 $0.00 41.9% 7.3% 32.4% 36.8% 0.0% 0.0% -5.3% 0 0 0 0.00 79.72 N/A N/A 0 0 0 0 2008-02-05 $64.88 $0.00 50.7% 8.3% 34.8% 47.7% 0.0% 0.0% -8.1% 0 0 0 0.00 79.41 N/A N/A 0 0 0 0 2008-02-06 $64.31 $0.00 59.0% 8.1% 34.3% 58.0% 0.0% 0.0% -5.8% 0 0 0 0.00 134.05 N/A N/A 0 0 0 0 2008-02-07 $64.31 $0.00 50.4% 8.1% 32.6% 47.4% 0.0% 0.0% -5.1% 0 0 0 0.00 90.58 N/A N/A 0 0 0 0 2008-02-08 $64.01 $0.00 59.5% 8.1% 32.4% 58.5% 0.0% 0.0% -6.3% 0 0 0 0.00 82.91 N/A N/A 0 0 0 0 2008-02-11 $64.50 $0.00 83.4% 8.5% 31.9% 88.1% 0.0% 0.0% -6.3% 0 0 0 0.00 81.05 N/A N/A 0 0 0 0 2008-02-12 $65.52 $0.00 90.9% 8.4% 31.9% 97.4% 0.0% 0.4% -8.9% 0 0 0 0.00 139.62 N/A N/A 0 0 0 0 2008-02-13 $67.11 $0.00 81.0% 8.5% 33.0% 85.1% 0.0% 0.0% -7.1% 0 0 0 0.00 89.74 N/A N/A 0 0 0 0 2008-02-14 $65.72 $0.00 30.3% 8.7% 33.1% 22.2% 0.0% 0.0% -8.9% 0 0 0 0.00 80.36 N/A N/A 0 0 0 0 2008-02-15 $65.38 $0.00 29.6% 8.5% 33.0% 21.3% 0.0% -0.3% -9.3% 0 0 0 0.00 88.25 N/A N/A 0 0 0 0 2008-02-19 $64.00 $0.00 32.7% 9.4% 32.9% 25.2% 0.0% 0.3% -8.6% 0 0 0 0.00 130.84 N/A N/A 0 0 0 0 2008-02-20 $62.58 $0.00 34.3% 9.8% 30.0% 27.1% 0.0% -0.7% -7.8% 0 0 0 0.00 137.77 N/A N/A 0 0 0 0 2008-02-21 $61.95 $0.00 35.3% 10.1% 29.5% 26.9% 0.0% -2.8% -5.7% 0 0 0 0.00 137.14 N/A N/A 0 0 0 0 2008-02-22 $62.63 $0.00 35.9% 10.3% 29.7% 27.7% 0.0% 0.0% -15.7% 0 0 0 0.00 87.06 N/A N/A 4 0 0 0 2008-02-25 $63.39 $0.00 35.0% 10.0% 30.0% 26.5% 0.0% 0.0% -6.8% 757 -12.3K -58 0.00 87.30 N/A N/A 0 0 4 0 2008-02-26 $64.06 $0.00 37.5% 10.7% 30.0% 29.6% 0.0% 1.0% -10.7% 783 -13.1K -57 0.00 140.68 N/A N/A 0 0 4 0 2008-02-27 $63.28 $0.00 38.7% 11.1% 28.0% 31.2% 0.0% 1.1% -11.1% 763 -12.0K -56 0.00 140.04 N/A N/A 0 0 4 0 2008-02-28 $63.37 $0.00 39.5% 11.3% 27.2% 32.2% 0.0% 1.0% -11.0% 769 -12.2K -57 0.00 140.29 N/A N/A 0 0 4 0 2008-02-29 $61.46 $0.00 41.7% 11.9% 27.6% 35.0% 0.0% -12.1% -10.9% 692 -9.6K -52 0.00 82.54 N/A N/A 0 0 4 0
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