VOX Options History — September 2012 In September 2012, VOX traded between $71.30 and $76.10. ATM implied volatility averaged 12.9%, placing in the 0.8% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 30.7% (HV 20d: 43.6%). Max pain ranged from $70.00 to $73.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2012-09-18 : Highest Volume — 6 contracts2012-09-06 : Largest IV drop — 20.2% change2012-09-27 : Highest IV Rank — 2.2%2012-09-04 : Largest Expected Move — 4.4%Monthly Statistics Metric Avg Min Max Open Close Price $74.06 $71.30 $76.10 $71.30 $75.05 Max Pain $72.53 $70.00 $73.00 $70.00 $73.00 ATM IV 12.9% 10.9% 15.3% 15.3% 12.6% Expected Move 3.7% 3.1% 4.4% 4.4% 3.6% HV 20d 43.6% 10.6% 83.5% 83.5% 11.5% HV 60d 51.2% 50.6% 51.7% 51.6% 50.6% IV Rank 0.8% 0.0% 2.2% 2.0% 0.9% IV Percentile 3.0% 0.0% 10.3% 4.4% 3.6% Term Structure 2.2% -1.4% 4.3% 1.1% 1.0% VWIV 6.6% 6.6% 6.6% 6.6% 6.6% Skew 25d 4.3% 3.3% 6.2% 5.0% 5.5% Skew 10d 8.8% 3.4% 12.8% 7.7% 11.0% Call IV 25d 10.7% 7.2% 12.5% 12.5% 9.3% Put IV 25d 15.0% 12.5% 17.6% 17.6% 14.9% Bid-Ask Spread % 72.95 52.23 141.62 57.64 68.67 Gamma HHI 0.47 0.35 0.78 0.37 0.36 Net GEX 4.1K 2.7K 6.1K 4.3K 6.1K Net DEX -44.3K -74.6K -22.0K -22.0K -55.1K Net VEX -114 -227 -47 -54 -227 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 1.053 0 6 0 4 Total OI 11.789 7 20 7 20
Daily Data (19 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 2012-09-04 $71.30 $70.00 15.3% 4.4% 83.5% 2.0% 0.0% 5.0% 1.1% 4.3K -22.0K -54 0.00 57.64 N/A N/A 0 0 7 0 2012-09-05 $71.68 $70.00 15.1% 4.3% 82.9% 1.9% 0.0% 6.2% 0.8% 4.0K -25.4K -55 0.00 95.77 N/A N/A 0 2 7 0 2012-09-06 $72.67 $70.00 12.1% 3.5% 82.9% 0.2% 0.0% 3.6% 1.4% 4.2K -28.9K -73 0.00 52.23 N/A N/A 0 0 7 2 2012-09-07 $72.48 $73.00 11.6% 3.8% 82.9% 0.0% 0.0% 4.0% 3.3% 4.6K -28.5K -69 0.00 72.75 N/A N/A 0 0 7 2 2012-09-10 $72.68 $73.00 13.3% 3.9% 80.0% 0.9% 0.0% 4.8% 2.8% 4.2K -29.1K -67 0.00 60.99 N/A N/A 0 0 7 2 2012-09-11 $72.88 $73.00 13.6% 4.0% 79.8% 1.1% 0.0% 4.6% 2.7% 4.2K -30.5K -66 0.00 69.12 N/A N/A 0 0 7 2 2012-09-12 $73.63 $73.00 12.6% 3.9% 75.4% 0.6% 0.0% 4.1% 2.7% 3.5K -35.5K -60 0.00 64.55 N/A N/A 0 0 7 2 2012-09-13 $74.49 $73.00 13.1% 3.7% 74.6% 0.8% 0.0% 3.5% 2.7% 2.7K -40.7K -49 0.00 68.91 N/A N/A 0 0 7 2 2012-09-14 $73.64 $73.00 12.8% 3.7% 74.1% 0.6% 0.0% 3.3% 2.8% 3.4K -37.3K -53 0.00 59.56 N/A N/A 0 0 7 2 2012-09-17 $73.86 $73.00 12.8% 3.7% 12.1% 0.7% 0.0% 3.3% 3.0% 3.3K -38.3K -50 0.00 85.42 N/A N/A 0 0 7 2 2012-09-18 $74.11 $73.00 12.4% 3.6% 11.6% 0.4% 0.0% 3.6% 3.2% 2.7K -40.3K -47 0.00 59.75 N/A N/A 6 0 7 2 2012-09-19 $74.87 $73.00 11.7% 3.4% 11.6% 0.1% 0.0% 4.1% 3.3% 3.6K -67.2K -176 0.00 69.56 N/A N/A 0 0 13 2 2012-09-20 $75.10 $73.00 11.5% 3.3% 10.6% 0.0% 0.0% 3.8% 3.8% 3.4K -69.0K -173 0.00 57.10 N/A N/A 0 0 13 2 2012-09-21 $76.10 $73.00 10.9% 3.1% 11.0% 0.0% 0.0% 3.3% 4.3% 2.9K -74.6K -164 0.00 71.49 N/A N/A 1 0 13 2 2012-09-24 $76.03 $73.00 11.4% 3.3% 10.8% 0.2% 6.6% 5.3% 1.2% 3.4K -54.4K -178 0.00 100.22 N/A N/A 4 0 11 2 2012-09-25 $75.45 $73.00 12.8% 3.7% 11.0% 1.0% 0.0% 3.5% 1.3% 5.7K -53.6K -199 0.00 64.08 N/A N/A 0 0 15 2 2012-09-26 $75.32 $73.00 13.9% 4.0% 11.0% 1.6% 0.0% 4.1% 1.1% 5.5K -52.3K -200 0.00 66.61 N/A N/A 0 0 15 2 2012-09-27 $75.81 $73.00 15.1% 4.3% 11.0% 2.2% 0.0% 5.3% -1.4% 5.8K -58.2K -205 0.00 141.62 N/A N/A 3 0 15 2 2012-09-28 $75.05 $73.00 12.6% 3.6% 11.5% 0.9% 0.0% 5.5% 1.0% 6.1K -55.1K -227 0.00 68.67 N/A N/A 0 4 18 2
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