VOX Options History — October 2013

In October 2013, VOX traded between $79.76 and $87.18. ATM implied volatility averaged 12.4%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 1.1% (HV 20d: 11.3%). Max pain ranged from $76.00 to $85.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.66.

Notable Days

2013-10-15: Highest Volume — 89 contracts
2013-10-09: Largest IV spike — 117.7% change
2013-10-09: Highest IV Rank — 70.4%
2013-10-08: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$83.42	$79.76	$87.18	$81.31	$86.51
Max Pain	$82.31	$76.00	$85.00	$76.00	$85.00
ATM IV	12.4%	8.6%	34.5%	13.3%	9.0%
Expected Move	3.3%	2.5%	4.3%	3.8%	2.6%
HV 20d	11.3%	8.2%	13.4%	8.5%	12.6%
HV 60d	11.3%	10.2%	12.0%	10.8%	12.0%
IV Rank	11.4%	1.2%	70.4%	13.7%	2.2%
IV Percentile	35.0%	2.0%	99.6%	59.5%	3.6%
Term Structure	2.6%	-0.5%	5.5%	-0.2%	4.9%
VWIV	10.3%	8.8%	12.1%	12.1%	10.6%
Skew 25d	3.5%	1.7%	6.3%	6.0%	1.7%
Skew 10d	7.5%	3.0%	11.1%	7.7%	3.0%
Call IV 25d	9.9%	7.6%	13.2%	8.3%	9.5%
Put IV 25d	13.4%	10.4%	17.7%	14.3%	11.2%
Bid-Ask Spread %	70.07	38.18	112.66	98.58	94.45
Gamma HHI	0.50	0.36	0.90	0.45	0.53
Net GEX	42.0K	-32.3K	126.0K	88.8K	-17.6K
Net DEX	-211.6K	-583.7K	78.9K	-375.9K	-8.4K
Net VEX	-363	-612	-89	-598	-262
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.66	0.00	12.50	0.00	0.80
Total Volume	7.609	0	89	1	18
Total OI	82.522	7	188	95	39

Daily Data (23 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
2013-10-01	$81.31	$76.00	13.3%	3.8%	8.5%	13.7%	0.0%	6.0%	-0.2%	88.8K	-375.9K	-598	0.00	98.58	N/A	N/A	1	0	89	6
2013-10-02	$81.24	$76.00	13.5%	3.9%	8.2%	14.3%	12.1%	6.3%	-0.5%	87.4K	-370.7K	-612	0.00	112.66	N/A	N/A	2	0	90	6
2013-10-03	$80.66	$76.00	13.6%	3.9%	8.6%	14.4%	0.0%	4.6%	1.3%	86.4K	-325.1K	-605	0.00	96.31	N/A	N/A	0	0	92	6
2013-10-04	$80.77	$0.00	13.2%	4.0%	8.5%	13.5%	0.0%	3.8%	1.6%	90.5K	-319.3K	-577	0.00	62.32	N/A	N/A	1	0	92	6
2013-10-07	$80.91	$0.00	14.2%	3.8%	8.3%	16.2%	0.0%	2.8%	2.2%	89.5K	-356.8K	-559	0.00	75.32	N/A	N/A	0	0	93	6
2013-10-08	$79.76	$0.00	15.8%	4.3%	9.2%	20.5%	0.0%	5.0%	0.7%	76.4K	-209.0K	-442	0.00	51.16	N/A	N/A	0	0	93	6
2013-10-09	$79.98	$0.00	34.5%	4.3%	9.1%	70.4%	0.0%	4.3%	-0.1%	75.2K	-237.1K	-463	0.00	66.82	N/A	N/A	0	10	93	6
2013-10-10	$81.39	$0.00	12.9%	3.7%	10.9%	12.6%	0.0%	3.5%	2.2%	111.7K	-399.5K	-476	0.00	38.18	N/A	N/A	0	0	93	16
2013-10-11	$82.04	$0.00	11.9%	3.4%	11.2%	10.0%	0.0%	3.3%	2.4%	115.0K	-513.5K	-385	0.00	39.05	N/A	N/A	0	0	93	16
2013-10-14	$81.93	$0.00	12.3%	3.5%	11.2%	11.0%	0.0%	3.4%	2.1%	126.0K	-498.9K	-322	0.00	38.38	N/A	N/A	0	0	93	16
2013-10-15	$81.55	$0.00	12.9%	3.7%	11.2%	12.7%	0.0%	4.1%	1.3%	120.2K	-432.2K	-332	0.00	60.25	N/A	N/A	0	89	93	16
2013-10-16	$82.76	$0.00	11.4%	3.3%	12.1%	8.7%	0.0%	3.5%	2.6%	57.8K	-583.7K	-136	0.00	41.42	N/A	N/A	2	0	83	105
2013-10-17	$84.24	$0.00	10.7%	3.1%	13.4%	6.9%	8.8%	3.1%	2.9%	13.3K	-429.5K	-100	0.00	58.00	N/A	N/A	16	0	54	105
2013-10-18	$85.16	$81.00	10.1%	2.9%	13.1%	5.3%	0.0%	2.2%	3.1%	-32.3K	32.1K	-212	0.00	80.61	N/A	N/A	0	0	16	105
2013-10-21	$85.40	$81.00	10.3%	3.0%	13.1%	5.8%	10.8%	3.3%	-0.2%	525	-19.8K	-89	12.50	97.39	N/A	N/A	2	25	4	3
2013-10-22	$85.66	$85.00	9.4%	2.7%	13.0%	3.4%	9.5%	2.6%	4.5%	-29.6K	78.9K	-294	0.00	91.00	N/A	N/A	9	0	2	28
2013-10-23	$85.50	$85.00	10.4%	3.0%	13.1%	5.9%	0.0%	2.6%	4.1%	-19.6K	55.4K	-367	0.00	85.04	N/A	N/A	0	0	11	28
2013-10-24	$85.54	$85.00	9.2%	2.6%	13.1%	2.8%	0.0%	2.5%	4.8%	-20.1K	52.5K	-360	0.00	53.11	N/A	N/A	0	0	11	28
2013-10-25	$85.96	$85.00	9.8%	2.8%	12.8%	4.3%	0.0%	2.7%	4.0%	-16.5K	27.6K	-340	0.00	54.50	N/A	N/A	0	0	11	28
2013-10-28	$86.32	$85.00	9.6%	2.7%	12.6%	3.8%	0.0%	2.6%	5.5%	-15.6K	13.0K	-312	0.00	54.49	N/A	N/A	0	0	11	28
2013-10-29	$87.18	$85.00	9.2%	2.6%	12.8%	2.7%	0.0%	2.8%	4.7%	-10.2K	-29.5K	-248	0.00	62.72	N/A	N/A	0	0	11	28
2013-10-30	$86.79	$85.00	8.6%	2.5%	13.0%	1.2%	0.0%	2.6%	5.0%	-11.6K	-18.6K	-257	0.00	99.87	N/A	N/A	0	0	11	28
2013-10-31	$86.51	$85.00	9.0%	2.6%	12.6%	2.2%	10.6%	1.7%	4.9%	-17.6K	-8.4K	-262	0.80	94.45	N/A	N/A	10	8	11	28