VOX Options History — February 2013

In February 2013, VOX traded between $71.42 and $73.27. ATM implied volatility averaged 13.7%, placing in the 1.8% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.2% (HV 20d: 11.5%). Max pain ranged from $73.00 to $73.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.10.

Notable Days

2013-02-13: Highest Volume — 10 contracts
2013-02-22: Largest IV spike — 128.9% change
2013-02-22: Highest IV Rank — 12.7%
2013-02-22: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.18	$71.42	$73.27	$73.27	$71.67
Max Pain	$73.00	$73.00	$73.00	$73.00	$73.00
ATM IV	13.7%	10.2%	34.0%	11.3%	12.9%
Expected Move	4.0%	2.9%	9.8%	3.7%	3.7%
HV 20d	11.5%	10.1%	13.0%	12.7%	11.1%
HV 60d	13.5%	12.9%	14.7%	14.6%	12.9%
IV Rank	1.8%	0.0%	12.7%	0.3%	1.4%
IV Percentile	15.4%	0.0%	62.7%	1.6%	18.3%
Term Structure	0.1%	-8.6%	2.3%	-5.0%	1.3%
VWIV	9.8%	9.8%	9.8%	9.8%	9.8%
Skew 25d	5.1%	4.1%	8.5%	4.1%	4.9%
Skew 10d	9.3%	3.7%	18.7%	7.0%	5.8%
Call IV 25d	12.2%	6.4%	42.7%	10.8%	11.6%
Put IV 25d	17.4%	12.5%	48.5%	14.9%	16.6%
Bid-Ask Spread %	89.97	57.64	175.67	57.64	75.41
Gamma HHI	0.30	0.23	0.36	0.27	0.35
Net GEX	14.9K	7.3K	23.1K	14.2K	11.8K
Net DEX	-65.7K	-123.6K	-7.2K	-111.7K	-18.1K
Net VEX	-775	-828	-706	-720	-772
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.10	0.00	0.50	0.00	0.00
Total Volume	1.579	0	10	1	0
Total OI	87.316	71	95	71	95

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
2013-02-01	$73.27	$0.00	11.3%	3.7%	12.7%	0.3%	0.0%	4.1%	-5.0%	14.2K	-111.7K	-720	0.00	57.64	N/A	N/A	1	0	40	31
2013-02-04	$72.63	$0.00	13.4%	3.9%	13.0%	1.4%	0.0%	4.5%	0.9%	13.7K	-92.0K	-732	0.00	66.00	N/A	N/A	0	0	41	31
2013-02-05	$72.81	$0.00	11.1%	3.7%	13.0%	0.2%	0.0%	6.7%	0.8%	14.6K	-96.5K	-706	0.00	96.57	N/A	N/A	8	0	41	31
2013-02-06	$72.81	$0.00	10.6%	3.6%	11.4%	0.0%	0.0%	4.2%	1.3%	18.9K	-115.8K	-793	0.00	88.86	N/A	N/A	5	0	49	31
2013-02-07	$72.63	$0.00	12.4%	3.6%	11.3%	0.9%	0.0%	4.4%	1.1%	21.1K	-121.5K	-826	0.00	75.68	N/A	N/A	0	0	54	31
2013-02-08	$72.66	$0.00	11.8%	3.4%	11.2%	0.6%	0.0%	5.2%	1.3%	21.8K	-123.6K	-819	0.00	91.98	N/A	N/A	0	0	54	31
2013-02-11	$72.51	$0.00	11.5%	3.3%	11.2%	0.5%	0.0%	4.2%	1.5%	22.5K	-117.5K	-781	0.00	86.12	N/A	N/A	0	0	54	31
2013-02-12	$72.64	$0.00	10.2%	2.9%	10.6%	0.0%	0.0%	4.5%	1.7%	23.1K	-115.5K	-765	0.00	92.89	N/A	N/A	0	0	54	31
2013-02-13	$72.54	$0.00	11.3%	3.2%	10.1%	0.6%	0.0%	4.2%	1.3%	22.3K	-115.6K	-763	0.00	94.79	N/A	N/A	0	10	54	31
2013-02-14	$71.45	$0.00	12.4%	3.6%	11.2%	1.2%	0.0%	4.2%	0.6%	11.5K	-26.2K	-783	0.00	80.80	N/A	N/A	0	0	54	41
2013-02-15	$71.64	$0.00	10.3%	3.0%	11.0%	0.1%	0.0%	7.0%	2.0%	12.8K	-33.9K	-777	0.00	104.96	N/A	N/A	0	0	54	41
2013-02-19	$72.15	$0.00	10.6%	3.0%	11.1%	0.2%	0.0%	4.5%	2.3%	13.8K	-32.2K	-759	0.00	103.48	N/A	N/A	0	0	50	41
2013-02-20	$71.57	$0.00	13.0%	3.7%	11.1%	1.5%	9.8%	4.9%	0.4%	10.3K	-18.0K	-772	0.50	97.77	N/A	N/A	2	1	50	41
2013-02-21	$71.42	$73.00	14.9%	4.3%	11.1%	2.5%	0.0%	4.8%	-0.1%	9.5K	-7.2K	-781	0.00	73.82	N/A	N/A	0	0	52	42
2013-02-22	$72.10	$73.00	34.0%	9.8%	11.6%	12.7%	0.0%	5.8%	-8.6%	7.3K	-40.4K	-787	0.00	175.67	N/A	N/A	0	0	52	42
2013-02-25	$71.44	$73.00	20.2%	5.8%	12.0%	5.3%	0.0%	8.5%	-2.2%	9.8K	-17.6K	-828	0.00	71.69	N/A	N/A	3	0	52	42
2013-02-26	$71.67	$73.00	15.1%	4.3%	12.1%	2.6%	0.0%	5.8%	0.4%	11.7K	-18.4K	-805	0.00	84.64	N/A	N/A	0	0	53	42
2013-02-27	$71.86	$73.00	13.5%	3.9%	11.5%	1.8%	0.0%	5.3%	0.2%	13.0K	-25.9K	-753	0.00	90.74	N/A	N/A	0	0	53	42
2013-02-28	$71.67	$73.00	12.9%	3.7%	11.1%	1.4%	0.0%	4.9%	1.3%	11.8K	-18.1K	-772	0.00	75.41	N/A	N/A	0	0	53	42