VOX Options History — April 2008 In April 2008, VOX traded between $61.22 and $66.12. ATM implied volatility averaged 41.6%, placing in the 35.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 15.8% (HV 20d: 25.8%). Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2008-04-29 : Highest Volume — 4 contracts2008-04-10 : Largest IV drop — 48.0% change2008-04-09 : Highest IV Rank — 60.1%2008-04-03 : Largest Expected Move — 13.4%Monthly Statistics Metric Avg Min Max Open Close Price $63.56 $61.22 $66.12 $63.90 $65.87 ATM IV 41.6% 31.4% 60.3% 44.2% 44.1% Expected Move 10.6% 8.3% 13.4% 12.7% 12.6% HV 20d 25.8% 19.9% 31.0% 31.0% 19.9% HV 60d 28.3% 26.5% 30.2% 30.2% 26.5% IV Rank 35.8% 22.5% 60.1% 39.2% 39.1% IV Percentile 70.7% 47.2% 94.0% 80.2% 77.8% Term Structure -10.3% -18.3% -4.8% -16.7% -17.9% Skew 25d 6.7% -9.3% 19.5% -7.8% 17.1% Skew 10d 9.3% -14.2% 31.1% -11.5% 30.0% Call IV 25d 43.1% 32.0% 64.0% 60.9% 44.5% Put IV 25d 49.8% 40.7% 61.6% 53.2% 61.6% Bid-Ask Spread % 177.67 166.41 185.47 177.98 170.72 Gamma HHI 0.98 0.52 1.00 1.00 0.52 Net GEX 938 768 1.7K 904 1.7K Net DEX -12.2K -28.0K -8.1K -12.3K -28.0K Net VEX -45 -104 -37 -48 -104 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 0.182 0 4 0 0 Total OI 4.182 4 8 4 8
Daily Data (22 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 2008-04-01 $63.90 $0.00 44.2% 12.7% 31.0% 39.2% 0.0% -7.8% -16.7% 904 -12.3K -48 0.00 177.98 N/A N/A 0 0 4 0 2008-04-02 $63.60 $0.00 45.5% 13.0% 30.9% 40.9% 0.0% -9.3% -18.3% 904 -11.9K -48 0.00 177.19 N/A N/A 0 0 4 0 2008-04-03 $64.45 $0.00 46.6% 13.4% 30.9% 42.3% 0.0% -5.5% -16.6% 899 -13.0K -48 0.00 181.18 N/A N/A 0 0 4 0 2008-04-04 $63.59 $0.00 50.5% 8.3% 30.1% 47.4% 0.0% 8.8% -5.6% 908 -11.8K -47 0.00 173.80 N/A N/A 0 0 4 0 2008-04-07 $64.00 $0.00 54.1% 8.5% 30.0% 52.1% 0.0% 10.0% -4.8% 924 -12.4K -46 0.00 172.16 N/A N/A 0 0 4 0 2008-04-08 $64.09 $0.00 56.4% 8.6% 28.1% 55.1% 0.0% 10.3% -5.4% 948 -12.5K -46 0.00 172.67 N/A N/A 0 0 4 0 2008-04-09 $62.64 $0.00 60.3% 8.9% 28.0% 60.1% 0.0% 5.9% -7.4% 899 -10.4K -44 0.00 179.50 N/A N/A 0 0 4 0 2008-04-10 $62.56 $0.00 31.4% 9.0% 26.8% 22.5% 0.0% 5.5% -7.8% 888 -10.1K -43 0.00 180.78 N/A N/A 0 0 4 0 2008-04-11 $61.33 $0.00 32.6% 9.4% 28.0% 24.2% 0.0% -1.4% -4.9% 772 -8.3K -39 0.00 181.50 N/A N/A 0 0 4 0 2008-04-14 $61.22 $0.00 34.1% 9.8% 26.6% 26.1% 0.0% -2.2% -6.4% 768 -8.1K -38 0.00 183.27 N/A N/A 0 0 4 0 2008-04-15 $61.31 $0.00 34.6% 9.9% 26.6% 26.8% 0.0% -1.7% -7.0% 787 -8.1K -37 0.00 183.16 N/A N/A 0 0 4 0 2008-04-16 $62.72 $0.00 34.2% 9.8% 25.7% 26.2% 0.0% 6.9% -10.3% 930 -10.3K -41 0.00 183.56 N/A N/A 0 0 4 0 2008-04-17 $62.19 $0.00 35.2% 10.1% 25.0% 27.5% 0.0% 3.8% -8.3% 859 -9.2K -39 0.00 184.37 N/A N/A 0 0 4 0 2008-04-18 $63.15 $0.00 35.3% 10.1% 24.1% 27.6% 0.0% 8.8% -7.0% 860 -10.8K -41 0.00 183.33 N/A N/A 0 0 4 0 2008-04-21 $63.23 $0.00 37.2% 10.7% 21.6% 30.1% 0.0% 9.4% -8.9% 896 -11.1K -41 0.00 182.72 N/A N/A 0 0 4 0 2008-04-22 $62.65 $0.00 38.1% 10.9% 21.9% 31.3% 0.0% 7.0% -11.8% 878 -10.3K -39 0.00 185.47 N/A N/A 0 0 4 0 2008-04-23 $64.13 $0.00 38.2% 10.9% 23.1% 31.4% 0.0% 12.6% -10.3% 936 -12.2K -41 0.00 179.14 N/A N/A 0 0 4 0 2008-04-24 $64.74 $0.00 38.5% 11.0% 23.2% 31.8% 0.0% 14.9% -12.7% 978 -13.4K -41 0.00 174.11 N/A N/A 0 0 4 0 2008-04-25 $65.34 $0.00 39.2% 11.2% 22.8% 32.7% 0.0% 17.5% -10.1% 958 -14.3K -41 0.00 168.25 N/A N/A 0 0 4 0 2008-04-28 $65.52 $0.00 42.1% 12.1% 22.6% 36.4% 0.0% 19.5% -13.1% 1.0K -14.9K -40 0.00 166.41 N/A N/A 0 0 4 0 2008-04-29 $66.12 $0.00 42.8% 12.3% 20.0% 37.3% 0.0% 17.8% -15.2% 1.0K -15.6K -39 0.00 167.40 N/A N/A 4 0 4 0 2008-04-30 $65.87 $0.00 44.1% 12.6% 19.9% 39.1% 0.0% 17.1% -17.9% 1.7K -28.0K -104 0.00 170.72 N/A N/A 0 0 8 0
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