VOX Options History — August 2008 In August 2008, VOX traded between $59.38 and $62.68. ATM implied volatility averaged 37.1%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 13.6% (HV 20d: 23.6%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 21 of 21 trading days.
Notable Days 2008-08-18 : Largest IV spike — 112.8% change2008-08-22 : Highest IV Rank — 40.0%2008-08-22 : Largest Expected Move — 20.7%Monthly Statistics Metric Avg Min Max Open Close Price $61.25 $59.38 $62.68 $60.21 $61.98 Max Pain $65.00 $65.00 $65.00 $65.00 $65.00 ATM IV 37.1% 28.2% 72.3% 28.2% 41.2% Expected Move 10.6% 8.1% 20.7% 8.1% 11.8% HV 20d 23.6% 20.2% 25.9% 22.2% 25.6% HV 60d 22.9% 21.2% 24.3% 21.2% 23.6% IV Rank 13.2% 6.4% 40.0% 6.4% 16.3% IV Percentile 45.6% 18.3% 93.7% 18.3% 65.5% Skew 25d -0.9% -5.7% 0.5% -1.8% 0.5% Skew 10d -8.0% -12.7% -3.4% -10.0% -6.4% Call IV 25d 51.7% 39.7% 98.7% 39.7% 57.3% Put IV 25d 50.7% 37.1% 93.0% 37.9% 57.8% Bid-Ask Spread % 158.35 150.13 186.14 151.10 160.08 Gamma HHI 0.50 0.50 0.51 0.50 0.50 Net GEX 1.2K 819 1.4K 1.0K 1.3K Net DEX -11.2K -17.6K -7.5K -9.0K -11.7K Net VEX -41 -50 -30 -45 -35 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 (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 2008-08-01 $60.21 $65.00 28.2% 8.1% 22.2% 6.4% 0.0% -1.8% 0.0% 1.0K -9.0K -45 0.00 151.10 N/A N/A 0 0 7 0 2008-08-04 $59.38 $65.00 29.5% 8.5% 22.7% 7.4% 0.0% -4.3% 0.0% 931 -7.5K -40 0.00 150.13 N/A N/A 0 0 7 0 2008-08-05 $60.91 $65.00 29.0% 8.3% 22.3% 7.0% 0.0% 0.1% 0.0% 1.1K -10.2K -47 0.00 152.74 N/A N/A 0 0 7 0 2008-08-06 $60.61 $65.00 29.4% 8.4% 20.2% 7.3% 0.0% -0.7% 0.0% 1.1K -9.6K -43 0.00 152.85 N/A N/A 0 0 7 0 2008-08-07 $59.57 $65.00 30.2% 8.7% 21.0% 7.9% 0.0% -3.8% 0.0% 956 -7.7K -38 0.00 151.12 N/A N/A 0 0 7 0 2008-08-08 $61.25 $65.00 30.9% 8.9% 23.3% 8.5% 0.0% 0.3% 0.0% 1.2K -10.9K -45 0.00 152.42 N/A N/A 0 0 7 0 2008-08-11 $62.50 $65.00 30.4% 8.7% 23.9% 8.1% 0.0% 0.3% 0.0% 1.4K -13.5K -50 0.00 156.05 N/A N/A 0 0 7 0 2008-08-12 $62.34 $65.00 30.8% 8.8% 23.9% 8.4% 0.0% 0.3% 0.0% 1.3K -13.1K -50 0.00 156.20 N/A N/A 0 0 7 0 2008-08-13 $61.77 $65.00 31.4% 9.0% 24.0% 8.8% 0.0% 0.3% 0.0% 1.3K -11.7K -46 0.00 156.00 N/A N/A 0 0 7 0 2008-08-14 $62.17 $65.00 31.7% 9.1% 24.0% 9.1% 0.0% 0.3% 0.0% 1.3K -12.6K -45 0.00 156.51 N/A N/A 0 0 7 0 2008-08-15 $62.68 $65.00 31.8% 9.1% 24.1% 9.1% 0.0% 0.3% 0.0% 1.4K -13.7K -48 0.00 157.56 N/A N/A 0 0 7 0 2008-08-18 $62.13 $65.00 67.6% 19.4% 24.4% 36.4% 0.0% -4.0% 0.0% 832 -17.6K -50 0.00 186.14 N/A N/A 0 0 7 0 2008-08-19 $60.71 $65.00 34.8% 10.0% 25.9% 11.4% 0.0% -0.2% 0.0% 1.1K -9.4K -36 0.00 155.95 N/A N/A 0 0 7 0 2008-08-20 $60.81 $65.00 35.4% 10.1% 23.6% 11.8% 0.0% 0.2% 0.0% 1.1K -9.5K -35 0.00 156.24 N/A N/A 0 0 7 0 2008-08-21 $60.71 $65.00 35.9% 10.3% 22.3% 12.3% 0.0% -0.1% 0.0% 1.1K -9.3K -35 0.00 156.38 N/A N/A 0 0 7 0 2008-08-22 $61.82 $65.00 72.3% 20.7% 23.2% 40.0% 0.0% -5.7% 0.0% 819 -17.1K -47 0.00 185.06 N/A N/A 0 0 7 0 2008-08-25 $60.32 $65.00 39.1% 11.2% 24.1% 14.7% 0.0% -1.5% 0.0% 1.1K -8.4K -31 0.00 156.38 N/A N/A 0 0 7 0 2008-08-26 $60.31 $65.00 39.8% 11.4% 24.0% 15.3% 0.0% -1.5% 0.0% 1.1K -8.4K -30 0.00 157.01 N/A N/A 0 0 7 0 2008-08-27 $61.32 $65.00 40.0% 11.5% 24.5% 15.4% 0.0% 0.5% 0.0% 1.2K -10.3K -34 0.00 158.95 N/A N/A 0 0 7 0 2008-08-28 $62.68 $65.00 39.8% 11.4% 25.4% 15.2% 0.0% 0.5% 0.0% 1.4K -13.3K -38 0.00 160.53 N/A N/A 0 0 7 0 2008-08-29 $61.98 $65.00 41.2% 11.8% 25.6% 16.3% 0.0% 0.5% 0.0% 1.3K -11.7K -35 0.00 160.08 N/A N/A 0 0 7 0
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