VOX Options History — October 2012 In October 2012, VOX traded between $71.73 and $76.16. ATM implied volatility averaged 14.6%, placing in the 2.0% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.8% (HV 20d: 11.8%). Max pain ranged from $71.00 to $76.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-10-02 : Highest Volume — 20 contracts2012-10-09 : Largest IV spike — 19.4% change2012-10-24 : Highest IV Rank — 3.7%2012-10-24 : Largest Expected Move — 5.1%Monthly Statistics Metric Avg Min Max Open Close Price $74.21 $71.73 $76.16 $75.03 $72.16 Max Pain $73.15 $71.00 $76.00 $73.00 $71.00 ATM IV 14.6% 11.5% 17.9% 13.4% 17.5% Expected Move 4.3% 3.3% 5.1% 3.8% 5.0% HV 20d 11.8% 10.6% 12.7% 11.5% 12.5% HV 60d 49.9% 49.0% 50.4% 50.4% 49.0% IV Rank 2.0% 0.3% 3.7% 1.3% 3.5% IV Percentile 11.9% 1.2% 18.7% 7.9% 18.7% Term Structure 1.8% 0.7% 2.5% 0.7% 1.5% VWIV 15.7% 12.6% 17.7% 12.6% 16.9% Skew 25d 4.4% 1.3% 7.4% 5.2% 5.0% Skew 10d 9.9% 1.5% 15.2% 11.0% 12.9% Call IV 25d 12.7% 9.3% 15.6% 10.0% 14.3% Put IV 25d 17.1% 12.4% 20.7% 15.2% 19.4% Bid-Ask Spread % 64.28 46.53 99.23 71.04 81.44 Gamma HHI 0.23 0.18 0.31 0.31 0.19 Net GEX 7.9K 3.5K 13.3K 5.4K 7.3K Net DEX -77.6K -132.8K -27.5K -46.5K -43.3K Net VEX -766 -911 -291 -296 -857 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 2.55 0 20 0 0 Total OI 51.55 24 63 24 63
Daily Data (20 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 2012-10-01 $75.03 $73.00 13.4% 3.8% 11.5% 1.3% 0.0% 5.2% 0.7% 5.4K -46.5K -296 0.00 71.04 N/A N/A 0 0 18 6 2012-10-02 $75.17 $73.00 12.8% 3.7% 11.5% 1.0% 0.0% 4.9% 1.2% 5.5K -49.2K -291 0.00 72.13 N/A N/A 20 0 18 6 2012-10-03 $75.37 $73.00 12.3% 3.5% 11.4% 0.7% 0.0% 1.3% 1.6% 10.6K -119.1K -711 0.00 66.37 N/A N/A 0 0 37 6 2012-10-04 $75.72 $73.00 11.5% 3.3% 10.7% 0.3% 0.0% 1.8% 1.2% 10.6K -125.2K -700 0.00 65.36 N/A N/A 0 0 37 6 2012-10-05 $76.16 $0.00 12.1% 4.1% 10.6% 0.6% 0.0% 4.3% 2.3% 10.7K -132.8K -708 0.00 68.31 N/A N/A 0 10 37 6 2012-10-08 $75.51 $0.00 12.4% 4.1% 11.3% 0.8% 0.0% 4.3% 2.2% 8.0K -103.0K -842 0.00 60.69 N/A N/A 0 0 37 16 2012-10-09 $74.49 $0.00 14.8% 4.6% 12.5% 2.1% 0.0% 4.2% 1.5% 7.5K -83.5K -836 0.00 54.59 N/A N/A 0 0 37 16 2012-10-10 $74.26 $0.00 15.0% 4.6% 12.1% 2.2% 0.0% 3.8% 1.4% 7.5K -79.3K -835 0.00 55.40 N/A N/A 0 0 37 16 2012-10-11 $75.06 $0.00 15.1% 4.3% 12.0% 2.2% 0.0% 4.0% 1.8% 7.5K -92.8K -821 0.00 62.15 N/A N/A 0 0 37 16 2012-10-12 $74.38 $0.00 15.6% 4.5% 11.8% 2.5% 0.0% 4.1% 1.9% 7.7K -81.7K -822 0.00 69.38 N/A N/A 0 0 37 16 2012-10-15 $74.39 $0.00 15.1% 4.3% 11.7% 2.3% 12.6% 4.5% 1.8% 7.7K -83.8K -802 0.00 46.53 N/A N/A 4 0 37 16 2012-10-16 $74.20 $76.00 14.5% 4.2% 11.7% 1.9% 0.0% 4.5% 2.3% 10.8K -84.2K -814 0.00 74.11 N/A N/A 5 0 41 16 2012-10-17 $74.65 $76.00 14.0% 4.0% 11.3% 1.6% 0.0% 4.5% 2.2% 10.2K -109.5K -911 0.00 56.14 N/A N/A 0 0 46 16 2012-10-18 $75.01 $76.00 13.7% 3.9% 11.4% 1.5% 0.0% 3.5% 2.4% 9.2K -115.8K -909 0.00 61.53 N/A N/A 0 0 46 16 2012-10-19 $73.57 $76.00 14.4% 4.1% 12.2% 1.9% 17.7% 4.8% 2.1% 13.3K -74.6K -870 0.00 78.57 N/A N/A 0 2 46 16 2012-10-22 $72.92 $71.00 15.6% 4.5% 12.5% 2.5% 0.0% 4.9% 2.5% 4.5K -42.6K -851 0.00 48.58 N/A N/A 3 0 38 18 2012-10-23 $72.16 $71.00 17.9% 5.1% 12.7% 3.7% 0.0% 5.1% 1.7% 3.5K -27.5K -817 0.00 47.21 N/A N/A 0 0 38 18 2012-10-24 $72.24 $71.00 17.9% 5.1% 12.7% 3.7% 16.9% 4.9% 1.9% 3.5K -28.4K -814 0.00 46.92 N/A N/A 6 0 38 18 2012-10-25 $71.73 $71.00 17.0% 4.9% 12.4% 3.2% 0.0% 7.4% 2.0% 6.8K -30.2K -816 0.00 99.23 N/A N/A 0 1 44 18 2012-10-26 $72.16 $71.00 17.5% 5.0% 12.5% 3.5% 0.0% 5.0% 1.5% 7.3K -43.3K -857 0.00 81.44 N/A N/A 0 0 44 19
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