VOX Options History — August 2013

In August 2013, VOX traded between $78.30 and $83.07. ATM implied volatility averaged 11.8%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.0% (HV 20d: 9.8%). Max pain ranged from $82.00 to $83.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.02.

Notable Days

2013-08-09: Highest Volume — 8 contracts
2013-08-15: Largest IV spike — 46.1% change
2013-08-30: Highest IV Rank — 19.8%
2013-08-30: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$80.58	$78.30	$83.07	$82.75	$78.45
Max Pain	$82.91	$82.00	$83.00	$82.00	$83.00
ATM IV	11.8%	8.6%	15.6%	10.5%	15.6%
Expected Move	3.6%	2.7%	4.5%	3.0%	4.5%
HV 20d	9.8%	6.8%	12.2%	10.3%	12.2%
HV 60d	14.0%	13.5%	14.5%	14.5%	13.5%
IV Rank	4.9%	0.2%	19.8%	1.2%	19.8%
IV Percentile	36.9%	1.2%	79.0%	12.3%	79.0%
Term Structure	0.5%	-0.3%	1.5%	1.3%	0.2%
VWIV	13.2%	11.4%	15.3%	11.8%	14.6%
Skew 25d	3.9%	3.0%	5.6%	5.6%	3.7%
Skew 10d	8.3%	3.0%	11.3%	5.9%	8.6%
Call IV 25d	10.8%	6.7%	13.0%	6.7%	13.0%
Put IV 25d	14.7%	11.7%	16.8%	12.4%	16.7%
Bid-Ask Spread %	85.59	71.09	114.89	102.50	79.44
Gamma HHI	0.31	0.22	0.38	0.26	0.25
Net GEX	-2.8K	-33.0K	23.3K	-12.8K	11.0K
Net DEX	-21.4K	-184.9K	113.0K	-145.2K	68.8K
Net VEX	-536	-767	-313	-767	-338
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.02	0.00	0.14	0.14	0.00
Total Volume	1.182	0	8	0	0
Total OI	75.636	47	102	90	57

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
2013-08-01	$82.75	$82.00	10.5%	3.0%	10.3%	1.2%	0.0%	5.6%	1.3%	-12.8K	-145.2K	-767	0.00	102.50	N/A	N/A	0	0	48	42
2013-08-02	$82.74	$82.00	9.5%	2.7%	10.0%	0.7%	0.0%	4.6%	1.5%	-18.3K	-151.5K	-715	0.00	104.77	N/A	N/A	0	0	48	42
2013-08-05	$83.07	$83.00	8.9%	3.1%	10.0%	0.4%	0.0%	3.3%	1.1%	-23.3K	-184.9K	-681	0.00	95.06	N/A	N/A	0	0	48	42
2013-08-06	$82.62	$83.00	10.1%	3.3%	10.3%	1.0%	11.8%	3.0%	0.4%	-21.2K	-159.1K	-690	0.00	81.52	N/A	N/A	0	6	48	42
2013-08-07	$82.73	$83.00	9.6%	3.2%	10.3%	0.7%	0.0%	3.8%	1.0%	-25.4K	-142.2K	-726	0.00	71.09	N/A	N/A	0	0	48	46
2013-08-08	$82.42	$83.00	9.8%	3.4%	9.6%	0.9%	0.0%	3.7%	0.5%	-33.0K	-120.0K	-700	0.00	74.65	N/A	N/A	0	0	48	46
2013-08-09	$82.03	$83.00	9.5%	3.3%	9.8%	0.7%	15.3%	3.4%	0.0%	-30.4K	-79.7K	-668	0.14	81.84	N/A	N/A	7	1	48	46
2013-08-12	$82.15	$83.00	10.9%	3.5%	6.8%	1.5%	0.0%	3.5%	0.1%	-31.7K	-117.3K	-741	0.00	75.19	N/A	N/A	0	0	55	47
2013-08-13	$81.36	$83.00	8.6%	3.5%	7.3%	0.2%	0.0%	3.4%	0.7%	-8.0K	-39.6K	-693	0.00	80.27	N/A	N/A	0	0	55	47
2013-08-14	$81.23	$83.00	9.2%	3.5%	7.2%	0.6%	11.4%	3.7%	0.9%	-2.3K	-26.4K	-668	0.00	79.70	N/A	N/A	2	0	55	47
2013-08-15	$80.36	$83.00	13.5%	3.9%	7.9%	2.8%	0.0%	3.6%	0.2%	23.3K	49.6K	-537	0.00	76.50	N/A	N/A	0	0	50	47
2013-08-16	$79.76	$83.00	13.1%	3.7%	8.1%	2.6%	0.0%	4.2%	0.3%	16.7K	113.0K	-495	0.00	76.63	N/A	N/A	0	0	50	47
2013-08-19	$78.79	$83.00	13.3%	3.8%	8.5%	2.7%	0.0%	4.2%	1.0%	7.5K	57.4K	-381	0.00	77.37	N/A	N/A	0	0	30	17
2013-08-20	$79.53	$83.00	13.5%	3.9%	9.5%	2.8%	14.1%	3.4%	-0.3%	7.3K	44.1K	-405	0.00	95.84	N/A	N/A	1	0	30	17
2013-08-21	$78.60	$83.00	13.5%	3.9%	9.9%	2.8%	12.0%	4.3%	-0.2%	8.1K	61.5K	-354	0.00	80.44	N/A	N/A	3	0	31	17
2013-08-22	$79.07	$83.00	13.5%	3.9%	10.1%	2.8%	0.0%	5.3%	0.7%	11.1K	47.0K	-391	0.00	114.89	N/A	N/A	0	2	34	17
2013-08-23	$79.95	$83.00	12.0%	3.4%	11.2%	2.0%	0.0%	4.4%	0.9%	11.8K	28.1K	-440	0.00	82.01	N/A	N/A	0	0	34	19
2013-08-26	$79.28	$83.00	13.1%	3.8%	11.4%	13.3%	12.0%	3.1%	0.7%	11.9K	46.5K	-378	0.00	82.26	N/A	N/A	1	0	34	19
2013-08-27	$78.46	$83.00	15.0%	4.3%	11.5%	18.2%	14.3%	4.1%	-0.1%	11.4K	62.4K	-337	0.00	82.11	N/A	N/A	1	0	35	19
2013-08-28	$78.30	$83.00	14.5%	4.2%	11.4%	17.1%	14.6%	3.6%	0.6%	12.2K	67.3K	-313	0.00	84.96	N/A	N/A	0	2	36	19
2013-08-29	$79.15	$83.00	13.2%	3.8%	12.0%	13.5%	0.0%	3.4%	0.5%	12.7K	48.9K	-381	0.00	103.85	N/A	N/A	0	0	36	21
2013-08-30	$78.45	$83.00	15.6%	4.5%	12.2%	19.8%	0.0%	3.7%	0.2%	11.0K	68.8K	-338	0.00	79.44	N/A	N/A	0	0	36	21