VOX Options History — June 2013

In June 2013, VOX traded between $76.15 and $79.63. ATM implied volatility averaged 15.6%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 0.5% (HV 20d: 16.1%). Max pain ranged from $75.00 to $78.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.21.

Notable Days

2013-06-10: Highest Volume — 167 contracts
2013-06-04: Largest IV drop — 42.3% change
2013-06-03: Highest IV Rank — 8.3%
2013-06-03: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$78.04	$76.15	$79.63	$77.28	$78.91
Max Pain	$76.65	$75.00	$78.00	$78.00	$76.00
ATM IV	15.6%	13.5%	24.0%	24.0%	14.4%
Expected Move	4.5%	3.9%	6.9%	6.9%	4.1%
HV 20d	16.1%	13.8%	19.1%	13.9%	18.5%
HV 60d	14.6%	13.0%	16.4%	13.1%	16.3%
IV Rank	3.9%	2.8%	8.3%	8.3%	3.3%
IV Percentile	59.1%	49.2%	75.4%	75.4%	53.6%
Term Structure	-1.1%	-12.3%	1.0%	-12.3%	1.0%
VWIV	14.1%	8.6%	18.3%	13.6%	16.6%
Skew 25d	3.8%	-0.1%	5.1%	-0.1%	2.6%
Skew 10d	8.5%	5.7%	11.4%	9.4%	7.7%
Call IV 25d	13.6%	12.5%	16.2%	16.2%	13.1%
Put IV 25d	17.4%	15.7%	20.6%	16.1%	15.7%
Bid-Ask Spread %	57.24	30.51	109.73	109.73	33.34
Gamma HHI	0.21	0.14	0.33	0.22	0.16
Net GEX	39.3K	-1.9K	144.8K	28.6K	31.9K
Net DEX	-97.6K	-501.2K	190.0K	-63.6K	-147.2K
Net VEX	-681	-1.3K	-419	-513	-736
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.21	0.00	1.00	0.00	0.00
Total Volume	21.15	0	167	2	1
Total OI	130.85	84	271	84	109

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
2013-06-03	$77.28	$78.00	24.0%	6.9%	13.9%	8.3%	13.6%	-0.1%	-12.3%	28.6K	-63.6K	-513	0.00	109.73	N/A	N/A	0	2	58	26
2013-06-04	$77.64	$78.00	13.8%	4.0%	14.0%	3.0%	13.8%	3.2%	-0.8%	28.6K	-73.0K	-528	0.00	57.48	N/A	N/A	0	2	58	28
2013-06-05	$76.71	$78.00	14.6%	4.2%	13.8%	3.4%	0.0%	3.9%	-1.0%	22.4K	-22.2K	-477	0.00	105.53	N/A	N/A	2	0	58	30
2013-06-06	$78.16	$78.00	15.1%	4.3%	15.2%	3.6%	0.0%	5.1%	-0.4%	25.9K	-89.6K	-570	0.00	36.57	N/A	N/A	0	0	56	30
2013-06-07	$78.27	$75.00	13.9%	5.3%	14.8%	3.0%	13.7%	4.6%	-8.0%	29.3K	-91.8K	-551	0.00	101.55	N/A	N/A	20	0	56	30
2013-06-10	$78.89	$75.00	14.6%	4.2%	14.7%	3.4%	13.0%	3.5%	-0.4%	41.5K	-188.8K	-736	0.92	84.33	N/A	N/A	87	80	76	30
2013-06-11	$78.33	$75.00	16.1%	4.4%	14.7%	4.2%	0.0%	4.3%	-0.2%	86.7K	-242.4K	-1.3K	0.00	48.40	N/A	N/A	1	0	160	110
2013-06-12	$78.02	$75.00	16.2%	4.5%	14.2%	4.3%	0.0%	4.5%	-0.1%	70.0K	-161.3K	-1.2K	0.00	44.43	N/A	N/A	0	0	161	110
2013-06-13	$79.23	$75.00	14.8%	4.3%	15.2%	3.5%	0.0%	4.2%	0.3%	144.8K	-501.2K	-1.2K	1.00	34.82	N/A	N/A	80	80	161	110
2013-06-14	$79.18	$75.00	15.2%	4.4%	15.1%	3.7%	0.0%	3.4%	-0.5%	50.1K	-234.2K	-707	0.00	48.46	N/A	N/A	0	0	81	30
2013-06-17	$78.57	$75.00	14.4%	4.1%	15.2%	3.3%	8.6%	4.7%	0.4%	55.8K	-153.6K	-590	0.00	37.04	N/A	N/A	0	8	81	30
2013-06-18	$79.63	$76.00	13.5%	3.9%	16.0%	2.8%	0.0%	2.7%	0.5%	50.1K	-222.7K	-666	0.00	93.11	N/A	N/A	0	0	81	38
2013-06-19	$78.04	$76.00	14.9%	4.3%	17.4%	3.5%	15.0%	4.0%	-0.1%	56.4K	-26.2K	-508	0.00	30.51	N/A	N/A	0	17	81	38
2013-06-20	$76.50	$78.00	16.5%	4.7%	17.8%	4.4%	18.3%	4.7%	-0.7%	9.0K	171.5K	-419	0.00	85.77	N/A	N/A	0	10	81	53
2013-06-21	$76.86	$78.00	15.9%	4.5%	17.7%	4.1%	0.0%	4.2%	-0.2%	-1.9K	190.0K	-480	0.00	48.14	N/A	N/A	0	5	81	63
2013-06-24	$76.15	$78.00	18.0%	5.2%	17.8%	5.2%	0.0%	4.6%	-0.8%	3.5K	73.1K	-422	0.00	36.72	N/A	N/A	10	0	52	43
2013-06-25	$77.53	$78.00	16.0%	4.6%	19.1%	4.1%	0.0%	3.9%	0.2%	12.6K	-9.8K	-624	0.00	38.21	N/A	N/A	1	0	62	43
2013-06-26	$77.86	$78.00	14.7%	4.2%	18.2%	3.4%	0.0%	3.9%	0.7%	14.2K	-26.3K	-628	0.00	33.41	N/A	N/A	10	0	63	43
2013-06-27	$79.05	$78.00	15.3%	4.4%	18.9%	3.8%	16.6%	4.8%	0.3%	26.9K	-133.1K	-809	0.00	37.25	N/A	N/A	0	7	73	43
2013-06-28	$78.91	$76.00	14.4%	4.1%	18.5%	3.3%	0.0%	2.6%	1.0%	31.9K	-147.2K	-736	0.00	33.34	N/A	N/A	1	0	73	36