VOX Options History — December 2012 In December 2012, VOX traded between $69.08 and $73.32. ATM implied volatility averaged 17.3%, placing in the 3.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 4.3% (HV 20d: 13.0%). Max pain ranged from $70.00 to $77.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.53.
Notable Days 2012-12-21 : Highest Volume — 64 contracts2012-12-28 : Largest IV spike — 18.3% change2012-12-28 : Highest IV Rank — 5.4%2012-12-28 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $71.22 $69.08 $73.32 $71.25 $70.01 Max Pain $70.35 $70.00 $77.00 $70.00 $70.00 ATM IV 17.3% 14.6% 21.0% 18.0% 18.0% Expected Move 4.9% 4.2% 6.0% 5.2% 5.2% HV 20d 13.0% 8.9% 15.4% 15.4% 14.8% HV 60d 13.4% 12.7% 14.2% 13.4% 14.2% IV Rank 3.4% 2.0% 5.4% 3.8% 3.8% IV Percentile 22.4% 14.7% 33.7% 21.8% 27.8% Term Structure 0.7% -4.0% 6.5% -3.8% -0.5% VWIV 16.0% 16.0% 16.0% 16.0% 16.0% Skew 25d 6.0% -2.2% 13.3% 5.2% 6.0% Skew 10d 12.8% -0.3% 17.6% 9.5% 15.1% Call IV 25d 15.0% 9.5% 20.3% 18.8% 15.3% Put IV 25d 21.0% 18.1% 24.6% 24.1% 21.3% Bid-Ask Spread % 57.04 38.74 76.55 60.78 76.55 Gamma HHI 0.17 0.14 0.30 0.14 0.18 Net GEX 1.7K -7.1K 7.3K 3.1K 61 Net DEX -13.9K -60.0K 33.9K -12.8K 8.8K Net VEX -767 -838 -663 -838 -691 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.53 0.00 3.92 0.00 3.92 Total Volume 4.35 0 64 0 0 Total OI 80.05 67 91 81 70
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 2012-12-03 $71.25 $70.00 18.0% 5.2% 15.4% 3.8% 0.0% 5.2% -3.8% 3.1K -12.8K -838 0.00 60.78 N/A N/A 0 0 44 37 2012-12-04 $71.14 $70.00 17.3% 5.0% 15.3% 3.4% 0.0% 4.6% -3.7% 3.0K -9.3K -832 0.00 41.03 N/A N/A 1 0 44 37 2012-12-05 $71.17 $70.00 17.2% 4.9% 15.3% 3.3% 0.0% -2.2% -4.0% 3.6K -13.0K -825 0.00 38.74 N/A N/A 0 0 45 37 2012-12-06 $71.23 $70.00 17.6% 5.1% 12.4% 3.6% 0.0% -1.5% -4.0% 3.7K -15.5K -818 0.00 45.71 N/A N/A 0 0 45 37 2012-12-07 $71.29 $70.00 16.7% 4.8% 11.9% 3.1% 0.0% 5.9% -0.1% 4.8K -21.6K -800 0.00 60.72 N/A N/A 0 0 45 37 2012-12-10 $71.06 $70.00 18.9% 4.6% 12.0% 4.2% 0.0% 5.7% 0.3% 4.3K -12.8K -758 0.00 66.17 N/A N/A 0 0 45 37 2012-12-11 $71.83 $70.00 18.1% 4.6% 12.4% 3.9% 0.0% 7.0% 2.4% 4.1K -34.7K -804 0.00 52.45 N/A N/A 0 0 45 37 2012-12-12 $72.44 $70.00 18.1% 4.6% 12.6% 3.8% 0.0% 7.7% 2.7% 7.3K -59.9K -791 0.00 54.06 N/A N/A 0 0 45 37 2012-12-13 $72.51 $70.00 16.6% 4.7% 11.5% 3.0% 0.0% 6.7% 3.0% 7.0K -60.0K -793 0.00 48.18 N/A N/A 0 9 45 37 2012-12-14 $72.40 $70.00 17.0% 4.9% 10.8% 3.2% 0.0% 7.8% 2.2% -124 -29.9K -823 0.00 66.17 N/A N/A 0 3 45 46 2012-12-17 $72.91 $70.00 14.6% 4.2% 10.9% 2.0% 0.0% 9.5% 4.6% 123 -35.7K -796 0.00 53.79 N/A N/A 0 0 45 46 2012-12-18 $73.32 $70.00 14.7% 4.2% 8.9% 2.0% 0.0% 8.1% 3.9% 1.0K -56.2K -778 0.00 64.60 N/A N/A 0 0 45 46 2012-12-19 $72.85 $70.00 17.3% 5.0% 8.9% 3.4% 0.0% 13.3% 6.5% 2.9K -37.4K -728 0.67 50.07 N/A N/A 6 4 45 46 2012-12-20 $70.57 $70.00 16.2% 4.6% 15.0% 2.8% 0.0% 5.7% 0.7% -3.3K 21.2K -719 0.00 59.36 N/A N/A 0 0 35 42 2012-12-21 $70.04 $70.00 16.2% 4.6% 14.5% 2.8% 16.0% 5.9% 2.3% -7.1K 33.9K -708 3.92 48.66 N/A N/A 13 51 35 42 2012-12-24 $69.83 $77.00 16.9% 4.8% 14.5% 3.2% 0.0% 6.4% 0.7% 1.2K 11.9K -663 0.00 71.56 N/A N/A 0 0 35 32 2012-12-26 $69.71 $70.00 17.5% 5.0% 14.4% 3.5% 0.0% 6.5% 0.9% -234 13.4K -729 0.00 64.96 N/A N/A 0 0 35 35 2012-12-27 $69.73 $70.00 17.8% 5.1% 14.3% 3.7% 0.0% 5.8% 0.2% -151 11.0K -730 0.00 55.41 N/A N/A 0 0 35 35 2012-12-28 $69.08 $70.00 21.0% 6.0% 13.9% 5.4% 0.0% 6.0% -0.6% -589 21.2K -722 0.00 61.90 N/A N/A 0 0 35 35 2012-12-31 $70.01 $70.00 18.0% 5.2% 14.8% 3.8% 0.0% 6.0% -0.5% 61 8.8K -691 0.00 76.55 N/A N/A 0 0 35 35
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