VOX Options History — June 2008 In June 2008, VOX traded between $61.38 and $69.99. ATM implied volatility averaged 42.1%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 21.4% (HV 20d: 20.8%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2008-06-23 : Highest Volume — 3 contracts2008-06-30 : Largest IV spike — 108.3% change2008-06-30 : Highest IV Rank — 83.5%2008-06-30 : Largest Expected Move — 25.0%Monthly Statistics Metric Avg Min Max Open Close Price $65.42 $61.38 $69.99 $68.50 $62.24 Max Pain $65.00 $65.00 $65.00 $65.00 $65.00 ATM IV 42.1% 30.2% 87.3% 40.2% 87.3% Expected Move 10.8% 7.8% 25.0% 11.5% 25.0% HV 20d 20.8% 14.9% 24.0% 15.2% 24.0% HV 60d 21.3% 19.9% 22.7% 22.6% 20.7% IV Rank 32.0% 18.4% 83.5% 29.8% 83.5% IV Percentile 64.2% 34.9% 98.4% 67.9% 98.4% Term Structure -12.3% -53.1% -1.6% -12.5% -53.1% Skew 25d -10.6% -36.4% 0.7% 0.6% -36.4% Skew 10d -12.5% -36.5% 4.0% 3.5% -36.4% Call IV 25d 53.0% 35.9% 116.2% 55.9% 116.2% Put IV 25d 42.4% 30.8% 79.7% 56.5% 79.7% Bid-Ask Spread % 164.91 144.09 186.16 144.19 186.16 Gamma HHI 0.57 0.50 1.00 0.58 0.51 Net GEX 2.6K 715 3.3K 3.2K 831 Net DEX -35.3K -62.5K -7.8K -54.5K -18.1K Net VEX -85 -111 -45 -111 -80 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 0.143 0 3 0 0 Total OI 11.143 4 13 13 7
Daily Data (21 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 2008-06-02 $68.50 $65.00 40.2% 11.5% 15.2% 29.8% 0.0% 0.6% -12.5% 3.2K -54.5K -111 0.00 144.19 N/A N/A 0 0 13 0 2008-06-03 $67.99 $65.00 41.6% 11.9% 14.9% 31.4% 0.0% 0.6% -15.2% 3.2K -51.7K -110 0.00 144.09 N/A N/A 0 0 13 0 2008-06-04 $68.08 $65.00 42.7% 12.2% 14.9% 32.7% 0.0% 0.6% -15.9% 3.2K -52.2K -108 0.00 144.38 N/A N/A 0 0 13 0 2008-06-05 $69.99 $65.00 42.8% 12.3% 17.3% 32.8% 0.0% 0.6% -16.6% 3.0K -62.5K -101 0.00 144.94 N/A N/A 0 0 13 0 2008-06-06 $68.24 $0.00 45.4% 7.8% 19.9% 35.7% 0.0% 0.7% -1.6% 3.2K -53.1K -104 0.00 174.55 N/A N/A 0 0 13 0 2008-06-09 $67.49 $0.00 51.4% 8.1% 20.2% 42.5% 0.0% -0.3% -1.7% 3.3K -48.9K -100 0.00 178.56 N/A N/A 0 0 13 0 2008-06-10 $66.82 $0.00 54.0% 8.2% 20.4% 45.5% 0.0% -3.5% -3.3% 3.3K -44.9K -97 0.00 180.05 N/A N/A 0 0 13 0 2008-06-11 $65.20 $0.00 58.2% 8.6% 22.1% 50.3% 0.0% -10.7% -3.3% 3.1K -36.4K -90 0.00 171.20 N/A N/A 0 0 13 0 2008-06-12 $65.03 $0.00 30.3% 8.7% 21.5% 18.5% 0.0% -11.4% -4.0% 3.1K -35.5K -88 0.00 170.11 N/A N/A 0 0 13 0 2008-06-13 $66.13 $0.00 30.2% 8.7% 22.1% 18.4% 0.0% -7.4% -3.9% 3.2K -41.1K -89 0.00 178.46 N/A N/A 0 0 13 0 2008-06-16 $65.76 $0.00 31.7% 9.1% 22.1% 20.1% 0.0% -9.4% -6.2% 3.2K -38.9K -80 0.00 176.57 N/A N/A 0 0 13 0 2008-06-17 $65.66 $0.00 32.2% 9.2% 22.1% 20.6% 0.0% -9.8% -7.1% 3.2K -38.6K -77 0.00 177.90 N/A N/A 0 0 13 0 2008-06-18 $64.79 $0.00 33.2% 9.5% 21.8% 21.8% 0.0% -13.3% -7.7% 3.1K -33.8K -71 0.00 170.09 N/A N/A 0 0 13 0 2008-06-19 $65.25 $0.00 33.6% 9.6% 21.5% 22.3% 0.0% -8.2% -6.9% 3.2K -36.3K -68 0.00 176.28 N/A N/A 0 0 13 0 2008-06-20 $63.67 $0.00 34.8% 10.0% 22.7% 23.7% 0.0% -14.6% -9.9% 2.8K -28.3K -57 0.00 164.78 N/A N/A 0 0 13 0 2008-06-23 $63.23 $0.00 36.9% 10.6% 22.7% 26.0% 0.0% -17.5% -13.8% 715 -7.8K -45 0.00 160.56 N/A N/A 3 0 4 0 2008-06-24 $62.97 $0.00 37.6% 10.8% 22.3% 26.9% 0.0% -19.0% -15.8% 1.3K -15.9K -79 0.00 159.30 N/A N/A 0 0 7 0 2008-06-25 $63.67 $0.00 38.3% 11.0% 22.4% 27.6% 0.0% -16.0% -13.5% 1.4K -17.5K -82 0.00 165.30 N/A N/A 0 0 7 0 2008-06-26 $61.76 $0.00 40.7% 11.7% 23.1% 30.4% 0.0% -23.2% -21.5% 1.2K -13.2K -73 0.00 148.71 N/A N/A 0 0 7 0 2008-06-27 $61.38 $0.00 41.9% 12.0% 23.0% 31.8% 0.0% -25.1% -24.8% 1.2K -12.6K -70 0.00 146.85 N/A N/A 0 0 7 0 2008-06-30 $62.24 $0.00 87.3% 25.0% 24.0% 83.5% 0.0% -36.4% -53.1% 831 -18.1K -80 0.00 186.16 N/A N/A 0 0 7 0
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