VOX Options History — May 2013

In May 2013, VOX traded between $77.28 and $81.77. ATM implied volatility averaged 10.7%, placing in the 1.3% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 4.4% (HV 20d: 15.1%). Max pain ranged from $78.00 to $79.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2013-05-16: Highest Volume — 10 contracts
2013-05-31: Largest IV spike — 80.6% change
2013-05-31: Highest IV Rank — 8.3%
2013-05-31: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$80.05	$77.28	$81.77	$79.17	$77.28
Max Pain	$78.14	$78.00	$79.00	$79.00	$78.00
ATM IV	10.7%	8.2%	23.9%	10.6%	23.9%
Expected Move	3.2%	2.5%	6.9%	3.0%	6.9%
HV 20d	15.1%	13.0%	16.8%	16.2%	14.0%
HV 60d	12.0%	11.5%	13.1%	11.5%	13.1%
IV Rank	1.3%	0.0%	8.3%	0.7%	8.3%
IV Percentile	13.6%	0.0%	75.0%	8.7%	75.0%
Term Structure	-0.0%	-8.8%	1.0%	0.7%	-8.8%
VWIV	10.8%	9.3%	11.6%	11.3%	11.1%
Skew 25d	3.1%	1.5%	12.0%	2.8%	12.0%
Skew 10d	5.0%	-27.6%	9.9%	3.7%	-27.6%
Call IV 25d	9.4%	7.1%	11.1%	8.5%	7.1%
Put IV 25d	12.4%	9.8%	19.1%	11.3%	19.1%
Bid-Ask Spread %	69.47	32.38	160.61	118.12	160.61
Gamma HHI	0.20	0.16	0.37	0.37	0.19
Net GEX	13.1K	-2.5K	22.5K	-2.5K	21.3K
Net DEX	-179.7K	-250.8K	-63.9K	-123.5K	-113.1K
Net VEX	-423	-604	-251	-433	-604
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	2.5	0	10	5	0
Total OI	69.818	58	84	69	84

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	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2013-05-01	$79.17	$79.00	10.6%	3.0%	16.2%	0.7%	11.3%	2.8%	0.7%	-2.5K	-123.5K	-433	118.12	N/A	N/A	0	5	31	38
2013-05-02	$79.56	$79.00	9.5%	2.7%	16.1%	0.1%	0.0%	3.4%	0.9%	-833	-141.8K	-403	47.91	N/A	N/A	1	0	31	38
2013-05-03	$79.84	$79.00	8.8%	2.5%	16.1%	0.0%	0.0%	1.5%	1.0%	2.0K	-159.7K	-390	70.49	N/A	N/A	0	0	32	38
2013-05-06	$79.52	$78.00	8.2%	2.8%	16.2%	0.0%	0.0%	2.0%	0.4%	-5	-151.8K	-387	57.12	N/A	N/A	0	0	32	38
2013-05-07	$80.37	$78.00	8.8%	2.8%	16.4%	0.3%	0.0%	2.1%	0.7%	7.9K	-188.2K	-303	69.64	N/A	N/A	0	0	32	38
2013-05-08	$81.14	$78.00	8.6%	2.8%	16.1%	0.2%	0.0%	2.1%	0.9%	10.4K	-209.2K	-254	56.92	N/A	N/A	0	0	32	38
2013-05-09	$80.24	$78.00	9.8%	3.2%	16.8%	0.8%	0.0%	2.2%	-0.1%	6.6K	-181.2K	-320	44.50	N/A	N/A	0	5	32	38
2013-05-10	$80.97	$78.00	8.4%	3.0%	16.5%	0.1%	0.0%	1.8%	0.9%	15.7K	-206.9K	-251	48.11	N/A	N/A	0	0	32	33
2013-05-13	$80.44	$78.00	10.0%	3.1%	16.0%	1.0%	0.0%	1.9%	0.3%	11.5K	-193.0K	-275	48.27	N/A	N/A	8	0	32	33
2013-05-14	$81.20	$78.00	9.7%	3.1%	16.2%	0.8%	0.0%	1.6%	0.1%	17.5K	-236.6K	-393	55.46	N/A	N/A	0	0	40	33
2013-05-15	$81.77	$78.00	8.4%	3.0%	15.2%	0.1%	0.0%	1.7%	0.6%	15.7K	-250.8K	-369	65.87	N/A	N/A	0	0	40	33
2013-05-16	$81.36	$78.00	10.8%	3.1%	15.2%	1.4%	11.6%	3.0%	0.4%	12.0K	-234.4K	-396	77.94	N/A	N/A	0	10	40	33
2013-05-17	$81.64	$78.00	10.1%	2.9%	14.5%	1.0%	0.0%	1.8%	0.7%	7.3K	-220.6K	-421	63.95	N/A	N/A	0	0	40	33
2013-05-20	$81.02	$78.00	10.7%	3.1%	14.8%	1.3%	0.0%	3.5%	0.3%	13.8K	-220.9K	-419	80.66	N/A	N/A	8	0	40	18
2013-05-21	$81.01	$78.00	10.8%	3.1%	14.6%	1.4%	0.0%	2.1%	0.6%	19.7K	-244.9K	-515	58.61	N/A	N/A	0	0	48	18
2013-05-22	$79.67	$78.00	10.8%	3.1%	14.3%	1.4%	0.0%	3.0%	0.6%	22.3K	-189.8K	-514	52.24	N/A	N/A	0	2	48	18
2013-05-23	$80.16	$78.00	10.3%	3.0%	13.0%	1.1%	0.0%	3.4%	0.4%	21.7K	-199.4K	-552	92.63	N/A	N/A	0	0	48	20
2013-05-24	$79.77	$78.00	11.2%	3.2%	13.1%	1.6%	0.0%	4.4%	0.1%	21.7K	-182.6K	-547	71.41	N/A	N/A	0	0	48	20
2013-05-28	$79.13	$78.00	11.6%	3.3%	13.4%	1.8%	9.3%	3.4%	0.2%	22.5K	-160.4K	-522	51.41	N/A	N/A	0	6	48	20
2013-05-29	$77.79	$78.00	12.0%	3.4%	14.5%	2.0%	0.0%	3.7%	0.2%	21.0K	-63.9K	-501	32.38	N/A	N/A	0	0	48	26
2013-05-30	$78.06	$78.00	13.2%	3.8%	13.8%	2.7%	11.1%	3.9%	-1.4%	20.3K	-81.0K	-527	104.08	N/A	N/A	10	0	48	26
2013-05-31	$77.28	$78.00	23.9%	6.9%	14.0%	8.3%	0.0%	12.0%	-8.8%	21.3K	-113.1K	-604	160.61	N/A	N/A	0	0	58	26