VOX Options History — September 2013 In September 2013, VOX traded between $77.99 and $81.62. ATM implied volatility averaged 12.2%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.4% (HV 20d: 11.8%). Max pain ranged from $70.00 to $83.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2013-09-11 : Highest Volume — 50 contracts2013-09-12 : Largest IV spike — 17.4% change2013-09-30 : Highest IV Rank — 14.9%2013-09-30 : Largest Expected Move — 3.9%Monthly Statistics Metric Avg Min Max Open Close Price $80.17 $77.99 $81.62 $77.99 $80.77 Max Pain $73.15 $70.00 $83.00 $83.00 $76.00 ATM IV 12.2% 10.6% 13.7% 13.5% 13.7% Expected Move 3.5% 3.1% 3.9% 3.9% 3.9% HV 20d 11.8% 8.8% 13.7% 12.0% 8.8% HV 60d 12.1% 10.7% 13.6% 13.6% 10.7% IV Rank 10.7% 6.5% 14.9% 14.1% 14.9% IV Percentile 41.4% 17.1% 66.3% 60.3% 66.3% Term Structure 1.6% -0.2% 3.9% 0.3% -0.2% VWIV 11.1% 10.5% 11.6% 11.2% 11.6% Skew 25d 3.9% 2.3% 5.8% 3.5% 4.5% Skew 10d 8.4% 5.8% 10.2% 8.3% 10.1% Call IV 25d 10.3% 8.6% 12.2% 12.2% 11.1% Put IV 25d 14.2% 13.0% 15.8% 15.8% 15.6% Bid-Ask Spread % 95.98 85.04 112.81 112.81 95.71 Gamma HHI 0.35 0.20 0.47 0.22 0.46 Net GEX 57.1K 10.2K 86.6K 10.2K 82.0K Net DEX -186.0K -394.6K 95.1K 95.1K -310.4K Net VEX -627 -907 -235 -235 -623 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 6.15 0 50 10 0 Total OI 93.25 57 119 57 95
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 2013-09-03 $77.99 $83.00 13.5% 3.9% 12.0% 14.1% 0.0% 3.5% 0.3% 10.2K 95.1K -235 0.00 112.81 N/A N/A 10 0 36 21 2013-09-04 $78.63 $83.00 13.3% 3.8% 12.6% 13.6% 0.0% 5.3% 0.2% 19.9K 24.3K -384 0.00 85.04 N/A N/A 1 0 46 21 2013-09-05 $78.29 $83.00 13.4% 3.8% 12.5% 13.9% 0.0% 3.6% 0.3% 18.9K 34.3K -358 0.00 91.56 N/A N/A 0 0 47 21 2013-09-06 $78.21 $70.00 12.9% 3.9% 12.6% 12.8% 0.0% 3.9% 1.9% 18.2K 36.7K -350 0.00 89.59 N/A N/A 0 0 47 21 2013-09-09 $78.72 $70.00 12.6% 3.7% 12.9% 12.0% 0.0% 4.4% 2.7% 21.2K 26.8K -338 0.00 97.37 N/A N/A 0 1 47 21 2013-09-10 $79.59 $70.00 10.7% 3.5% 13.7% 6.9% 0.0% 3.9% 3.0% 26.4K -3.6K -393 0.00 90.85 N/A N/A 0 0 47 22 2013-09-11 $80.03 $70.00 10.6% 3.4% 13.6% 6.5% 11.2% 3.0% 2.3% 28.4K -29.6K -397 0.00 91.13 N/A N/A 50 0 47 22 2013-09-12 $80.38 $70.00 12.4% 3.6% 13.7% 11.4% 0.0% 3.8% 2.4% 69.4K -212.6K -907 0.00 91.31 N/A N/A 0 0 97 22 2013-09-13 $80.58 $70.00 11.9% 3.4% 13.2% 10.0% 0.0% 3.4% 2.6% 74.0K -232.0K -896 0.00 92.91 N/A N/A 0 0 97 22 2013-09-16 $80.50 $70.00 12.8% 3.7% 12.9% 12.4% 0.0% 3.6% 2.2% 75.2K -226.7K -854 0.00 92.77 N/A N/A 0 0 97 22 2013-09-17 $81.03 $70.00 12.4% 3.6% 12.1% 11.3% 0.0% 4.1% 2.1% 69.7K -288.5K -862 0.00 92.88 N/A N/A 0 0 97 22 2013-09-18 $81.62 $70.00 11.4% 3.3% 12.0% 8.7% 0.0% 4.4% 2.4% 60.2K -367.3K -860 0.00 110.07 N/A N/A 0 0 97 22 2013-09-19 $81.45 $70.00 11.9% 3.4% 11.0% 10.1% 0.0% 3.3% 2.4% 71.6K -337.5K -813 0.00 95.98 N/A N/A 0 10 97 22 2013-09-20 $80.65 $70.00 10.9% 3.1% 11.6% 7.3% 0.0% 3.2% 3.9% 86.6K -215.6K -758 0.00 95.92 N/A N/A 0 0 95 22 2013-09-23 $80.82 $70.00 11.5% 3.3% 11.0% 9.0% 0.0% 4.4% 1.3% 82.6K -319.4K -727 0.00 98.62 N/A N/A 0 0 89 5 2013-09-24 $80.69 $70.00 11.6% 3.3% 10.5% 9.2% 10.5% 2.3% 0.4% 77.8K -319.3K -718 0.00 97.58 N/A N/A 0 1 89 5 2013-09-25 $80.93 $76.00 11.5% 3.3% 9.7% 8.8% 11.6% 4.4% 0.6% 82.1K -338.5K -709 0.00 99.90 N/A N/A 50 0 89 6 2013-09-26 $81.41 $76.00 11.9% 3.4% 9.7% 10.0% 0.0% 3.6% 1.0% 84.1K -394.6K -686 0.00 99.39 N/A N/A 0 0 89 6 2013-09-27 $81.03 $76.00 12.6% 3.6% 9.4% 11.8% 0.0% 5.8% 0.7% 83.5K -342.6K -672 0.00 98.23 N/A N/A 0 0 89 6 2013-09-30 $80.77 $76.00 13.7% 3.9% 8.8% 14.9% 0.0% 4.5% -0.2% 82.0K -310.4K -623 0.00 95.71 N/A N/A 0 0 89 6
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