VOX Options History — July 2008 In July 2008, VOX traded between $59.45 and $62.34. ATM implied volatility averaged 62.2%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 38.9% (HV 20d: 23.3%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days.
Notable Days 2008-07-18 : Largest IV spike — 203.5% change2008-07-07 : Highest IV Rank — 100.0%2008-07-07 : Largest Expected Move — 31.8%Monthly Statistics Metric Avg Min Max Open Close Price $60.49 $59.45 $62.34 $61.70 $60.72 Max Pain $65.00 $65.00 $65.00 $65.00 $65.00 ATM IV 62.2% 26.0% 151.0% 45.6% 27.6% Expected Move 12.7% 7.3% 31.8% 13.1% 7.9% HV 20d 23.3% 20.2% 25.4% 24.0% 22.2% HV 60d 21.2% 20.5% 22.0% 20.7% 21.2% IV Rank 41.7% 5.5% 100.0% 35.9% 5.9% IV Percentile 63.8% 10.7% 100.0% 79.4% 17.1% Term Structure -53.4% -89.1% -28.7% -28.7% -66.6% Skew 25d -15.7% -71.5% 0.2% -27.1% -0.5% Skew 10d -25.1% -76.1% -4.3% -39.2% -8.6% Call IV 25d 60.5% 34.5% 156.9% 63.8% 39.1% Put IV 25d 44.8% 31.1% 85.4% 36.6% 38.6% Bid-Ask Spread % 151.22 136.09 181.79 149.30 151.45 Gamma HHI 0.50 0.50 0.51 0.50 0.50 Net GEX 1.0K 721 1.3K 1.2K 1.1K Net DEX -11.0K -16.0K -7.8K -12.8K -10.0K Net VEX -56 -68 -47 -68 -49 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 7 7 7 7 7
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 2008-07-01 $61.70 $0.00 45.6% 13.1% 24.0% 35.9% 0.0% -27.1% -28.7% 1.2K -12.8K -68 0.00 149.30 N/A N/A 0 0 7 0 2008-07-02 $60.30 $0.00 51.0% 14.6% 24.7% 42.1% 0.0% -28.4% -36.4% 1.1K -10.2K -61 0.00 138.57 N/A N/A 0 0 7 0 2008-07-03 $59.80 $0.00 54.2% 15.5% 21.2% 45.8% 0.0% -29.0% -40.2% 995 -9.2K -57 0.00 136.09 N/A N/A 0 0 7 0 2008-07-07 $59.59 $0.00 110.8% 31.8% 20.2% 100.0% 0.0% -71.5% -89.1% 721 -14.3K -68 0.00 164.15 N/A N/A 0 0 7 0 2008-07-08 $61.28 $0.00 58.6% 16.8% 23.6% 46.1% 0.0% -36.2% -46.3% 1.2K -11.7K -64 0.00 146.75 N/A N/A 0 0 7 0 2008-07-09 $59.69 $0.00 67.7% 19.4% 24.8% 55.4% 0.0% -38.4% -59.0% 1.0K -8.9K -52 0.00 136.26 N/A N/A 0 0 7 0 2008-07-10 $60.15 $0.00 70.5% 20.2% 24.1% 58.4% 0.0% -38.5% -60.8% 1.1K -9.2K -55 0.00 138.05 N/A N/A 0 0 7 0 2008-07-11 $60.01 $0.00 75.3% 21.6% 24.1% 63.4% 0.0% -40.9% -66.6% 1.0K -8.9K -54 0.00 136.57 N/A N/A 0 0 7 0 2008-07-14 $59.45 $65.00 98.1% 7.5% 22.9% 86.8% 0.0% -3.5% 0.0% 944 -7.8K -48 0.00 145.84 N/A N/A 0 0 7 0 2008-07-15 $59.63 $65.00 148.0% 14.1% 23.1% 100.0% 0.0% -9.8% 0.0% 727 -14.2K -64 0.00 175.65 N/A N/A 0 0 7 0 2008-07-16 $60.33 $65.00 121.2% 7.3% 23.8% 79.8% 0.0% -1.7% 0.0% 1.0K -9.7K -54 0.00 147.29 N/A N/A 0 0 7 0 2008-07-17 $60.26 $65.00 49.8% 14.3% 23.6% 25.9% 0.0% -8.3% 0.0% 749 -15.1K -67 0.00 178.09 N/A N/A 0 0 7 0 2008-07-18 $60.39 $65.00 151.0% 7.5% 23.3% 100.0% 0.0% -1.5% 0.0% 1.1K -9.7K -54 0.00 148.25 N/A N/A 0 0 7 0 2008-07-21 $60.41 $65.00 26.8% 7.7% 22.1% 8.3% 0.0% -1.4% 0.0% 1.1K -9.6K -51 0.00 148.94 N/A N/A 0 0 7 0 2008-07-22 $60.55 $65.00 26.0% 7.4% 22.1% 7.1% 0.0% -1.1% 0.0% 1.1K -9.9K -52 0.00 149.23 N/A N/A 0 0 7 0 2008-07-23 $62.34 $65.00 26.1% 7.5% 24.7% 6.7% 0.0% 0.2% 0.0% 1.3K -13.6K -61 0.00 151.05 N/A N/A 0 0 7 0 2008-07-24 $60.97 $65.00 52.0% 14.9% 25.4% 25.9% 0.0% -6.5% 0.0% 782 -16.0K -64 0.00 181.79 N/A N/A 0 0 7 0 2008-07-25 $61.18 $65.00 26.5% 7.6% 23.2% 6.8% 0.0% 0.2% 0.0% 1.2K -11.1K -52 0.00 150.71 N/A N/A 0 0 7 0 2008-07-28 $60.20 $65.00 27.1% 7.8% 23.8% 6.7% 0.0% -1.9% 0.0% 1.0K -9.1K -47 0.00 149.96 N/A N/A 0 0 7 0 2008-07-29 $60.64 $65.00 27.1% 7.8% 23.3% 5.5% 0.0% -0.8% 0.0% 1.1K -9.9K -50 0.00 150.96 N/A N/A 0 0 7 0 2008-07-30 $61.25 $65.00 27.5% 7.9% 23.5% 5.8% 0.0% 0.2% 0.0% 1.2K -11.1K -50 0.00 151.98 N/A N/A 0 0 7 0 2008-07-31 $60.72 $65.00 27.6% 7.9% 22.2% 5.9% 0.0% -0.5% 0.0% 1.1K -10.0K -49 0.00 151.45 N/A N/A 0 0 7 0
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