VOX Options History — November 2012

In November 2012, VOX traded between $67.95 and $71.78. ATM implied volatility averaged 19.2%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 4.7% (HV 20d: 14.4%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.65.

Notable Days

2012-11-14: Highest Volume — 14 contracts
2012-11-30: Largest IV spike — 80.0% change
2012-11-30: Highest IV Rank — 12.2%
2012-11-30: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.82	$67.95	$71.78	$71.78	$71.23
Max Pain	$70.00	$70.00	$70.00	$70.00	$70.00
ATM IV	19.2%	15.3%	33.7%	19.1%	33.7%
Expected Move	5.8%	4.4%	9.7%	5.6%	9.7%
HV 20d	14.4%	12.4%	16.5%	12.5%	15.5%
HV 60d	31.4%	13.3%	49.0%	48.9%	13.5%
IV Rank	4.4%	2.3%	12.2%	4.4%	12.2%
IV Percentile	22.4%	17.1%	46.0%	19.8%	46.0%
Term Structure	-3.0%	-13.1%	-1.9%	-2.2%	-13.1%
VWIV	20.4%	17.8%	23.8%	23.8%	18.1%
Skew 25d	3.8%	-2.0%	5.6%	5.3%	-2.0%
Skew 10d	7.2%	-11.4%	12.4%	7.6%	-11.4%
Call IV 25d	20.2%	17.2%	48.3%	18.3%	48.3%
Put IV 25d	23.9%	21.2%	46.3%	23.6%	46.3%
Bid-Ask Spread %	48.96	32.09	148.91	52.44	148.91
Gamma HHI	0.15	0.13	0.20	0.19	0.14
Net GEX	1.0K	-3.2K	6.8K	6.5K	2.5K
Net DEX	25.7K	-25.5K	74.1K	-25.3K	-10.0K
Net VEX	-705	-917	-577	-772	-917
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.00	1.67	0.00	1.67
Total Volume	2.158	0	14	0	0
Total OI	71	63	81	63	81

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
2012-11-05	$71.78	$70.00	19.1%	5.6%	12.5%	4.4%	0.0%	5.3%	-2.2%	6.5K	-25.3K	-772	0.00	52.44	N/A	N/A	0	0	44	19
2012-11-06	$71.73	$70.00	18.7%	5.4%	12.4%	4.1%	0.0%	5.6%	-1.9%	6.8K	-25.5K	-770	0.00	59.01	N/A	N/A	0	0	44	19
2012-11-07	$70.00	$70.00	19.1%	5.9%	14.5%	4.4%	0.0%	5.4%	-2.3%	1.7K	19.7K	-647	0.00	54.01	N/A	N/A	1	0	44	19
2012-11-08	$69.43	$70.00	18.3%	6.1%	14.3%	3.9%	0.0%	4.9%	-1.9%	1.0K	29.2K	-624	0.00	36.04	N/A	N/A	0	0	45	19
2012-11-09	$69.33	$70.00	18.3%	6.2%	13.8%	4.0%	0.0%	4.8%	-2.1%	855	30.5K	-620	0.00	37.54	N/A	N/A	0	0	45	19
2012-11-12	$69.51	$70.00	16.9%	5.7%	13.9%	3.2%	0.0%	4.3%	-2.3%	383	31.4K	-603	0.00	37.23	N/A	N/A	0	0	45	19
2012-11-13	$69.33	$70.00	16.3%	5.8%	13.5%	2.8%	0.0%	3.2%	-2.0%	308	33.4K	-577	0.00	50.16	N/A	N/A	0	5	45	19
2012-11-14	$68.53	$70.00	16.8%	6.0%	13.8%	3.1%	23.8%	3.6%	-1.9%	-241	53.1K	-600	0.40	46.30	N/A	N/A	10	4	45	24
2012-11-15	$67.95	$70.00	21.5%	6.2%	12.7%	5.6%	0.0%	3.2%	-2.4%	-2.0K	73.3K	-594	0.00	39.79	N/A	N/A	0	0	45	28
2012-11-16	$68.04	$70.00	20.1%	5.8%	12.8%	4.9%	22.1%	3.1%	-2.0%	-2.2K	74.1K	-580	0.00	35.80	N/A	N/A	0	4	45	28
2012-11-19	$69.44	$70.00	19.1%	5.5%	15.5%	4.4%	0.0%	3.8%	-2.4%	-2.5K	47.5K	-640	1.00	43.26	N/A	N/A	1	1	34	30
2012-11-20	$69.01	$70.00	15.7%	4.5%	15.5%	2.5%	17.8%	4.0%	-2.0%	-3.2K	55.4K	-640	0.17	49.40	N/A	N/A	6	1	35	31
2012-11-21	$69.51	$70.00	15.3%	4.4%	15.6%	2.3%	18.1%	4.5%	-2.2%	-125	36.2K	-717	1.67	50.04	N/A	N/A	3	5	41	32
2012-11-23	$70.43	$70.00	18.8%	5.4%	16.5%	4.2%	0.0%	4.0%	-2.8%	2.1K	10.3K	-836	0.00	32.09	N/A	N/A	0	0	44	37
2012-11-26	$70.09	$70.00	18.8%	5.4%	15.3%	4.2%	0.0%	3.2%	-3.4%	1.5K	20.5K	-813	0.00	42.53	N/A	N/A	0	0	44	37
2012-11-27	$69.90	$70.00	19.4%	5.6%	15.2%	4.5%	0.0%	3.6%	-3.7%	1.2K	27.0K	-817	0.00	38.96	N/A	N/A	0	0	44	37
2012-11-28	$70.30	$70.00	19.6%	5.6%	15.1%	4.6%	0.0%	3.5%	-3.5%	1.9K	15.5K	-804	0.00	40.32	N/A	N/A	0	0	44	37
2012-11-29	$71.10	$70.00	18.7%	5.4%	15.7%	4.2%	0.0%	3.5%	-3.4%	2.8K	-7.2K	-828	0.00	36.49	N/A	N/A	0	0	44	37
2012-11-30	$71.23	$70.00	33.7%	9.7%	15.5%	12.2%	0.0%	-2.0%	-13.1%	2.5K	-10.0K	-917	0.00	148.91	N/A	N/A	0	0	44	37