VOX Options History — August 2012

In August 2012, VOX traded between $70.31 and $72.26. ATM implied volatility averaged 13.2%, placing in the 0.8% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 71.9% (HV 20d: 85.0%). Max pain ranged from $72.00 to $72.00. Net GEX was positive for 7 of 11 trading days. Term structure was in contango for 11 of 11 days. Put/call ratio averaged 0.00.

Notable Days

2012-08-22: Highest Volume — 4 contracts
2012-08-23: Largest IV spike — 11.7% change
2012-08-29: Highest IV Rank — 1.5%
2012-08-29: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$70.98	$70.31	$72.26	$72.26	$70.83
Max Pain	$72.00	$72.00	$72.00	$72.00	$72.00
ATM IV	13.2%	11.6%	14.4%	12.6%	13.4%
Expected Move	3.8%	3.3%	4.1%	3.6%	3.9%
HV 20d	85.0%	83.8%	85.9%	85.9%	83.8%
HV 60d	52.2%	51.7%	52.5%	52.5%	51.7%
IV Rank	0.8%	0.0%	1.5%	0.0%	1.0%
IV Percentile	1.6%	0.0%	3.2%	0.0%	2.4%
Term Structure	2.0%	1.7%	2.2%	2.2%	2.0%
VWIV	13.4%	11.9%	14.9%	11.9%	14.9%
Skew 25d	4.4%	2.9%	6.8%	3.8%	5.7%
Skew 10d	9.1%	3.8%	12.3%	4.0%	9.8%
Call IV 25d	11.2%	9.0%	12.6%	10.4%	10.9%
Put IV 25d	15.6%	13.5%	17.7%	14.2%	16.5%
Bid-Ask Spread %	64.55	51.80	88.62	74.01	56.61
Gamma HHI	0.65	0.58	1.00	1.00	0.58
Net GEX	1.6K	0	2.8K	0	2.8K
Net DEX	-6.1K	-11.5K	0	0	-9.8K
Net VEX	-26	-47	0	0	-40
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	0.636	0	4	0	2
Total OI	3.091	0	5	0	5

Daily Data (11 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call Vol	Call OI
2012-08-17	$72.26	$0.00	12.6%	3.6%	85.9%	0.0%	0.0%	3.8%	2.2%	0	0	0	74.01	N/A	N/A	0	0
2012-08-20	$71.65	$0.00	11.6%	3.3%	85.3%	0.0%	0.0%	3.7%	1.9%	0	0	0	88.62	N/A	N/A	0	0
2012-08-21	$71.20	$0.00	12.9%	3.7%	85.4%	0.7%	0.0%	3.2%	2.1%	0	0	0	55.45	N/A	N/A	0	0
2012-08-22	$70.51	$0.00	12.2%	3.5%	85.6%	0.3%	0.0%	2.9%	2.2%	0	0	0	71.61	N/A	N/A	4	0
2012-08-23	$70.31	$0.00	13.6%	3.9%	85.5%	1.1%	11.9%	4.1%	2.2%	1.7K	-6.4K	-34	67.25	N/A	N/A	1	4
2012-08-24	$71.06	$72.00	13.1%	3.8%	85.2%	0.8%	0.0%	4.3%	2.0%	2.7K	-11.3K	-47	55.26	N/A	N/A	0	5
2012-08-27	$70.64	$72.00	13.1%	3.8%	85.3%	0.8%	0.0%	6.8%	1.9%	2.7K	-9.8K	-41	70.46	N/A	N/A	0	5
2012-08-28	$70.57	$72.00	13.5%	3.9%	85.3%	1.0%	0.0%	4.5%	1.9%	2.6K	-8.8K	-39	67.05	N/A	N/A	0	5
2012-08-29	$71.10	$72.00	14.4%	4.1%	84.0%	1.5%	0.0%	4.7%	1.7%	2.7K	-11.5K	-44	51.80	N/A	N/A	0	5
2012-08-30	$70.63	$72.00	14.3%	4.1%	84.0%	1.4%	0.0%	5.1%	1.7%	2.5K	-9.8K	-41	51.95	N/A	N/A	0	5
2012-08-31	$70.83	$72.00	13.4%	3.9%	83.8%	1.0%	14.9%	5.7%	2.0%	2.8K	-9.8K	-40	56.61	N/A	N/A	2	5