VOX Options History — April 2013

In April 2013, VOX traded between $74.25 and $80.27. ATM implied volatility averaged 12.5%, placing in the 1.7% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 2.2% (HV 20d: 10.3%). Max pain ranged from $71.00 to $79.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.04.

Notable Days

2013-04-15: Highest Volume — 80 contracts
2013-04-08: Largest IV spike — 298.0% change
2013-04-08: Highest IV Rank — 19.3%
2013-04-03: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$77.47	$74.25	$80.27	$74.30	$80.27
Max Pain	$75.18	$71.00	$79.00	$72.00	$79.00
ATM IV	12.5%	9.2%	45.5%	11.9%	9.8%
Expected Move	3.2%	2.6%	3.7%	3.4%	2.8%
HV 20d	10.3%	6.5%	15.2%	6.8%	15.2%
HV 60d	10.3%	9.4%	11.7%	9.9%	11.2%
IV Rank	1.7%	0.0%	19.3%	1.4%	0.4%
IV Percentile	12.6%	0.0%	83.7%	15.5%	2.4%
Term Structure	1.0%	-0.4%	4.8%	1.4%	0.6%
VWIV	10.6%	9.9%	11.5%	10.5%	9.9%
Skew 25d	2.4%	1.0%	3.8%	3.7%	2.6%
Skew 10d	5.2%	0.5%	11.4%	11.4%	5.2%
Call IV 25d	10.3%	7.6%	12.1%	11.4%	7.6%
Put IV 25d	12.7%	10.2%	15.1%	15.1%	10.2%
Bid-Ask Spread %	64.74	38.83	114.47	90.37	38.83
Gamma HHI	0.53	0.29	0.83	0.50	0.30
Net GEX	-10.2K	-190.5K	44.4K	39.8K	1.3K
Net DEX	-206.9K	-411.0K	11.4K	-170.5K	-159.5K
Net VEX	-357	-565	-110	-529	-354
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.04	0.00	0.20	0.00	0.00
Total Volume	6.455	0	80	2	2
Total OI	104.818	45	191	100	67

Daily Data (22 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
2013-04-01	$74.30	$72.00	11.9%	3.4%	6.8%	1.4%	0.0%	3.7%	1.4%	39.8K	-170.5K	-529	0.00	90.37	N/A	N/A	0	2	56	44
2013-04-02	$74.49	$72.00	12.4%	3.6%	6.5%	1.7%	0.0%	2.9%	1.2%	42.3K	-197.8K	-516	0.00	59.00	N/A	N/A	0	0	56	46
2013-04-03	$74.25	$72.00	13.0%	3.7%	6.5%	2.0%	0.0%	3.1%	0.5%	42.0K	-167.1K	-509	0.00	57.81	N/A	N/A	0	0	56	46
2013-04-04	$74.85	$72.00	12.8%	3.7%	6.9%	1.9%	0.0%	3.2%	0.3%	41.6K	-223.4K	-462	0.00	47.50	N/A	N/A	0	0	56	46
2013-04-05	$75.22	$71.00	11.4%	3.7%	6.9%	1.2%	0.0%	2.7%	1.0%	43.4K	-271.8K	-412	0.00	42.87	N/A	N/A	0	4	56	46
2013-04-08	$75.87	$71.00	45.5%	3.4%	7.1%	19.3%	0.0%	1.2%	4.8%	44.4K	-318.5K	-285	0.00	67.82	N/A	N/A	0	0	56	46
2013-04-09	$76.20	$71.00	10.8%	3.3%	7.1%	0.8%	0.0%	1.7%	1.5%	38.6K	-338.2K	-272	0.00	43.79	N/A	N/A	1	0	56	46
2013-04-10	$77.22	$71.00	10.1%	3.2%	8.1%	0.5%	0.0%	1.3%	1.2%	17.7K	-380.7K	-184	0.00	62.28	N/A	N/A	0	0	55	46
2013-04-11	$77.67	$71.00	10.7%	3.1%	8.1%	0.8%	0.0%	1.4%	1.3%	10.9K	-394.7K	-143	0.00	65.42	N/A	N/A	0	0	55	46
2013-04-12	$78.66	$71.00	10.0%	2.9%	8.7%	0.4%	10.5%	1.0%	1.5%	6.4K	-411.0K	-110	0.00	79.89	N/A	N/A	0	10	55	46
2013-04-15	$77.68	$78.00	10.5%	3.0%	9.7%	0.7%	0.0%	2.0%	0.6%	1.5K	-355.9K	-206	0.00	79.98	N/A	N/A	0	80	55	56
2013-04-16	$77.90	$78.00	10.3%	3.0%	9.7%	0.6%	0.0%	3.1%	1.3%	-127.4K	-268.7K	-355	0.00	60.51	N/A	N/A	16	0	55	136
2013-04-17	$76.84	$78.00	12.1%	3.5%	11.4%	1.5%	0.0%	3.8%	0.3%	-190.5K	11.4K	-565	0.00	50.07	N/A	N/A	0	0	55	136
2013-04-18	$77.62	$78.00	12.8%	3.7%	11.7%	1.9%	0.0%	2.9%	-0.4%	-171.4K	-189.5K	-448	0.00	50.67	N/A	N/A	0	0	55	136
2013-04-19	$78.75	$78.00	10.4%	3.0%	12.2%	0.6%	0.0%	2.3%	1.1%	-42.3K	-122.1K	-430	0.00	75.22	N/A	N/A	0	0	53	136
2013-04-22	$79.14	$78.00	10.9%	3.1%	12.2%	0.9%	11.5%	2.6%	0.4%	-4.2K	-60.5K	-249	0.00	72.54	N/A	N/A	0	10	14	31
2013-04-23	$79.82	$78.00	9.2%	2.6%	12.3%	0.0%	0.0%	2.3%	1.1%	-7.8K	-63.9K	-243	0.00	64.09	N/A	N/A	5	0	14	36
2013-04-24	$78.38	$78.00	10.4%	3.0%	14.6%	0.7%	9.9%	2.5%	0.6%	-7.6K	-47.3K	-364	0.20	83.46	N/A	N/A	10	2	19	36
2013-04-25	$79.78	$79.00	10.2%	2.9%	15.0%	0.6%	0.0%	2.1%	0.6%	202	-138.0K	-421	0.00	114.47	N/A	N/A	0	0	29	38
2013-04-26	$79.60	$79.00	9.5%	2.7%	15.2%	0.2%	0.0%	2.5%	1.3%	-1.4K	-134.7K	-419	0.00	58.50	N/A	N/A	0	0	29	38
2013-04-29	$79.93	$79.00	9.5%	2.7%	15.2%	0.1%	0.0%	1.8%	0.8%	-1.8K	-148.8K	-383	0.00	59.18	N/A	N/A	0	0	29	38
2013-04-30	$80.27	$79.00	9.8%	2.8%	15.2%	0.4%	0.0%	2.6%	0.6%	1.3K	-159.5K	-354	0.00	38.83	N/A	N/A	2	0	29	38