VOX Options History — July 2013

In July 2013, VOX traded between $78.74 and $83.83. ATM implied volatility averaged 12.1%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 2.0% (HV 20d: 14.2%). Max pain ranged from $76.00 to $82.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2013-07-16: Highest Volume — 20 contracts
2013-07-05: Largest IV drop — 14.9% change
2013-07-03: Highest IV Rank — 3.4%
2013-07-03: Largest Expected Move — 4.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$82.12	$78.74	$83.83	$78.74	$82.26
Max Pain	$79.86	$76.00	$82.00	$76.00	$82.00
ATM IV	12.1%	10.6%	14.7%	14.0%	11.9%
Expected Move	3.5%	3.0%	4.2%	4.0%	3.4%
HV 20d	14.2%	9.1%	18.6%	18.6%	10.3%
HV 60d	15.4%	14.4%	16.3%	16.3%	14.6%
IV Rank	2.1%	1.3%	3.4%	3.1%	2.0%
IV Percentile	32.1%	13.9%	57.9%	53.2%	32.9%
Term Structure	1.2%	-0.0%	2.0%	1.0%	1.6%
VWIV	13.3%	10.8%	16.6%	12.9%	10.8%
Skew 25d	3.2%	1.2%	4.6%	4.0%	3.9%
Skew 10d	6.9%	1.4%	10.4%	10.3%	3.3%
Call IV 25d	10.8%	8.6%	12.9%	12.8%	8.6%
Put IV 25d	14.1%	12.1%	17.2%	16.8%	12.5%
Bid-Ask Spread %	71.16	32.04	115.13	37.54	99.78
Gamma HHI	0.24	0.17	0.35	0.17	0.24
Net GEX	14.6K	-15.8K	50.0K	32.6K	-11.1K
Net DEX	-246.2K	-536.7K	-117.8K	-131.4K	-117.8K
Net VEX	-716	-835	-502	-683	-790
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	2.682	0	20	0	0
Total OI	106.273	77	125	110	90

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
2013-07-01	$78.74	$76.00	14.0%	4.0%	18.6%	3.1%	0.0%	4.0%	1.0%	32.6K	-131.4K	-683	37.54	N/A	N/A	0	0	74	36
2013-07-02	$78.91	$76.00	14.1%	4.0%	18.5%	3.1%	0.0%	3.2%	0.5%	34.5K	-143.1K	-675	37.13	N/A	N/A	1	0	74	36
2013-07-03	$79.34	$76.00	14.7%	4.2%	17.9%	3.4%	0.0%	3.6%	0.2%	37.5K	-179.2K	-709	32.04	N/A	N/A	0	0	75	36
2013-07-05	$80.06	$79.00	12.5%	3.9%	17.0%	2.3%	12.9%	3.9%	1.5%	44.7K	-221.0K	-665	35.29	N/A	N/A	3	0	75	36
2013-07-08	$80.36	$79.00	13.1%	4.1%	17.0%	2.6%	0.0%	4.6%	-0.0%	43.2K	-267.5K	-684	33.34	N/A	N/A	0	0	78	36
2013-07-09	$80.62	$79.00	12.9%	4.1%	16.9%	2.5%	16.6%	4.3%	1.3%	49.4K	-277.6K	-665	32.73	N/A	N/A	0	10	78	36
2013-07-10	$80.86	$78.00	13.0%	4.0%	16.6%	2.6%	0.0%	4.0%	1.0%	47.2K	-281.6K	-739	36.22	N/A	N/A	1	0	78	46
2013-07-11	$81.81	$78.00	13.2%	3.8%	16.8%	2.6%	0.0%	2.5%	1.3%	42.8K	-385.2K	-714	45.53	N/A	N/A	0	0	79	46
2013-07-12	$81.86	$78.00	12.0%	3.4%	16.1%	2.0%	0.0%	3.4%	1.5%	50.0K	-398.8K	-669	81.29	N/A	N/A	1	0	79	46
2013-07-15	$83.44	$78.00	12.7%	3.6%	17.3%	2.4%	0.0%	2.6%	1.4%	18.4K	-536.7K	-502	56.54	N/A	N/A	10	0	79	46
2013-07-16	$83.74	$78.00	11.7%	3.4%	16.8%	1.9%	12.7%	2.3%	1.3%	16.4K	-470.1K	-620	71.68	N/A	N/A	0	20	72	46
2013-07-17	$83.83	$82.00	11.4%	3.3%	16.4%	1.7%	0.0%	1.2%	1.6%	-5.4K	-313.0K	-725	74.38	N/A	N/A	0	0	57	66
2013-07-18	$83.51	$82.00	11.3%	3.2%	14.3%	1.6%	0.0%	2.3%	2.0%	-15.8K	-217.3K	-726	95.33	N/A	N/A	0	0	47	66
2013-07-19	$83.48	$82.00	10.9%	3.1%	11.4%	1.4%	0.0%	2.9%	1.3%	-8.0K	-181.3K	-735	109.97	N/A	N/A	0	0	47	66
2013-07-22	$83.76	$82.00	10.6%	3.0%	11.4%	1.3%	0.0%	3.4%	1.5%	-2.5K	-225.0K	-653	91.17	N/A	N/A	0	10	45	32
2013-07-23	$83.79	$82.00	10.8%	3.1%	10.4%	1.4%	10.8%	3.1%	1.1%	-10.8K	-192.9K	-782	93.37	N/A	N/A	1	0	45	42
2013-07-24	$83.13	$82.00	11.7%	3.4%	10.1%	1.9%	0.0%	3.6%	0.7%	-8.6K	-156.6K	-835	89.01	N/A	N/A	2	0	46	42
2013-07-25	$83.48	$82.00	11.0%	3.2%	10.1%	1.5%	0.0%	3.2%	1.3%	-8.0K	-186.1K	-823	110.60	N/A	N/A	0	0	48	42
2013-07-26	$83.41	$82.00	10.9%	3.1%	9.2%	1.4%	0.0%	3.0%	1.8%	-7.4K	-187.8K	-780	94.29	N/A	N/A	0	0	48	42
2013-07-29	$83.50	$82.00	11.4%	3.3%	9.1%	1.7%	0.0%	2.8%	0.9%	-8.9K	-198.4K	-773	93.09	N/A	N/A	0	0	48	42
2013-07-30	$82.77	$82.00	11.3%	3.2%	9.8%	1.7%	0.0%	3.5%	0.7%	-9.4K	-147.7K	-812	115.13	N/A	N/A	0	0	48	42
2013-07-31	$82.26	$82.00	11.9%	3.4%	10.3%	2.0%	0.0%	3.9%	1.6%	-11.1K	-117.8K	-790	99.78	N/A	N/A	0	0	48	42