VOX Options History — March 2008 In March 2008, VOX traded between $57.85 and $62.46. ATM implied volatility averaged 44.8%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 17.2% (HV 20d: 27.6%). Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2008-03-12 : Highest Volume — 4 contracts2008-03-17 : Largest IV spike — 126.8% change2008-03-17 : Highest IV Rank — 71.6%2008-03-17 : Largest Expected Move — 19.8%Monthly Statistics Metric Avg Min Max Open Close Price $60.35 $57.85 $62.46 $61.24 $61.88 ATM IV 44.8% 30.4% 69.1% 39.2% 44.4% Expected Move 11.5% 8.7% 19.8% 11.2% 12.7% HV 20d 27.6% 23.2% 31.2% 27.1% 29.0% HV 60d 28.4% 27.3% 29.4% 27.4% 29.4% IV Rank 39.4% 20.7% 71.6% 31.8% 39.5% IV Percentile 76.3% 44.4% 95.6% 71.8% 80.6% Term Structure -16.6% -40.9% -8.4% -14.8% -16.5% Skew 25d -16.6% -42.4% -3.7% -6.3% -17.4% Skew 10d -25.6% -44.8% -10.2% -11.5% -26.6% Call IV 25d 55.0% 29.5% 98.0% 29.5% 61.4% Put IV 25d 38.3% 23.3% 59.7% 23.3% 44.0% Bid-Ask Spread % 135.67 64.99 168.11 64.99 164.04 Gamma HHI 0.86 0.50 1.00 1.00 1.00 Net GEX 947 549 2.1K 694 811 Net DEX -11.2K -20.5K -6.2K -9.0K -9.3K Net VEX -48 -55 -41 -51 -44 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 5.2 4 8 4 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 2008-03-03 $61.24 $0.00 39.2% 11.2% 27.1% 31.8% 0.0% 0.0% 0.0% 694 -9.0K -51 0.00 64.99 N/A N/A 0 0 4 0 2008-03-04 $60.70 $0.00 46.4% 13.3% 27.0% 41.0% 0.0% -6.3% 0.0% 658 -8.8K -51 0.00 99.77 N/A N/A 0 0 4 0 2008-03-05 $61.47 $0.00 47.4% 13.6% 23.2% 42.2% 0.0% -5.2% -14.8% 721 -9.6K -51 0.00 138.07 N/A N/A 0 0 4 0 2008-03-06 $60.10 $0.00 49.9% 14.3% 24.2% 45.4% 0.0% -12.2% -14.5% 624 -7.7K -47 0.00 134.81 N/A N/A 0 0 4 0 2008-03-07 $59.93 $0.00 45.7% 9.2% 24.2% 40.1% 0.0% -25.0% -9.3% 653 -7.2K -45 0.00 115.06 N/A N/A 0 0 4 0 2008-03-10 $58.43 $0.00 58.8% 10.2% 25.4% 56.7% 0.0% -17.3% -14.8% 549 -6.2K -41 0.00 136.49 N/A N/A 0 0 4 0 2008-03-11 $60.23 $0.00 60.1% 9.4% 28.0% 58.3% 0.0% -16.2% -10.4% 650 -8.0K -47 0.00 146.80 N/A N/A 0 0 4 0 2008-03-12 $59.05 $0.00 64.2% 10.1% 27.6% 63.6% 0.0% -17.3% -14.0% 594 -6.6K -41 0.00 139.44 N/A N/A 4 0 4 0 2008-03-13 $59.13 $0.00 30.4% 8.7% 25.5% 20.7% 0.0% -3.7% 0.0% 1.5K -17.7K -55 0.00 78.06 N/A N/A 0 0 8 0 2008-03-14 $57.85 $0.00 30.5% 8.7% 25.6% 20.8% 0.0% 0.0% -34.9% 2.1K -8.8K -45 0.00 81.16 N/A N/A 0 0 8 0 2008-03-17 $58.18 $0.00 69.1% 19.8% 26.0% 71.6% 0.0% -42.4% -40.9% 823 -19.6K -54 0.00 168.11 N/A N/A 0 0 8 0 2008-03-18 $59.94 $0.00 35.7% 10.2% 28.2% 28.2% 0.0% -19.7% -15.2% 1.6K -20.1K -53 0.00 147.09 N/A N/A 0 0 8 0 2008-03-19 $58.88 $0.00 39.3% 11.3% 27.8% 32.8% 0.0% -19.7% -19.5% 1.5K -16.7K -47 0.00 138.03 N/A N/A 0 0 8 0 2008-03-20 $60.36 $0.00 36.9% 10.6% 29.3% 29.7% 0.0% -18.8% -15.1% 1.6K -20.5K -51 0.00 146.96 N/A N/A 0 0 8 0 2008-03-24 $62.23 $0.00 37.8% 10.8% 31.2% 30.9% 0.0% -13.5% -8.4% 809 -10.1K -48 0.00 165.67 N/A N/A 0 0 4 0 2008-03-25 $62.46 $0.00 38.5% 11.0% 30.9% 31.8% 0.0% -12.7% -9.4% 828 -10.2K -48 0.00 166.79 N/A N/A 0 0 4 0 2008-03-26 $61.88 $0.00 39.5% 11.3% 30.7% 33.1% 0.0% -15.7% -12.9% 793 -9.2K -45 0.00 161.65 N/A N/A 0 0 4 0 2008-03-27 $61.79 $0.00 40.4% 11.6% 30.5% 34.2% 0.0% -16.3% -13.6% 787 -9.4K -45 0.00 162.57 N/A N/A 0 0 4 0 2008-03-28 $61.17 $0.00 41.4% 11.9% 30.6% 35.6% 0.0% -19.8% -17.1% 754 -8.5K -43 0.00 157.94 N/A N/A 0 0 4 0 2008-03-31 $61.88 $0.00 44.4% 12.7% 29.0% 39.5% 0.0% -17.4% -16.5% 811 -9.3K -44 0.00 164.04 N/A N/A 0 0 4 0
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