VOX Options History — November 2013

In November 2013, VOX traded between $84.42 and $86.79. ATM implied volatility averaged 16.5%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.8% (HV 20d: 12.7%). Max pain ranged from $78.00 to $86.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 2.20.

Notable Days

2013-11-18: Highest Volume — 60 contracts
2013-11-08: Largest IV spike — 333.9% change
2013-11-08: Highest IV Rank — 100.0%
2013-11-25: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.14	$84.42	$86.79	$85.67	$85.05
Max Pain	$81.60	$78.00	$86.00	$86.00	$86.00
ATM IV	16.5%	9.9%	49.6%	10.1%	18.4%
Expected Move	4.6%	2.9%	5.3%	2.9%	5.3%
HV 20d	12.7%	11.3%	14.6%	13.5%	11.3%
HV 60d	12.0%	11.2%	13.0%	12.1%	11.2%
IV Rank	20.2%	4.7%	100.0%	5.1%	24.7%
IV Percentile	66.7%	12.3%	100.0%	14.3%	95.2%
Term Structure	-1.9%	-5.0%	4.4%	4.4%	-1.7%
VWIV	17.2%	14.5%	18.7%	17.7%	14.5%
Skew 25d	2.6%	-1.5%	6.4%	2.6%	4.8%
Skew 10d	4.6%	1.5%	10.7%	6.5%	7.5%
Call IV 25d	15.2%	9.4%	17.9%	9.4%	14.3%
Put IV 25d	17.8%	12.0%	20.7%	12.0%	19.2%
Bid-Ask Spread %	51.07	35.98	77.36	77.36	60.63
Gamma HHI	0.41	0.21	0.91	0.42	0.22
Net GEX	-33.3K	-150.1K	701	-12.9K	-26.0K
Net DEX	106.7K	-22.9K	186.8K	43.1K	140.4K
Net VEX	-464	-769	-209	-329	-729
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.20	0.00	9.00	0.00	2.00
Total Volume	5.6	0	60	1	15
Total OI	68.2	27	93	52	93

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
2013-11-01	$85.67	$86.00	10.1%	2.9%	13.5%	5.1%	0.0%	2.6%	4.4%	-12.9K	43.1K	-329	0.00	77.36	N/A	N/A	0	1	21	31
2013-11-04	$86.79	$78.00	9.9%	4.1%	13.9%	4.7%	0.0%	3.0%	-0.2%	701	-22.9K	-269	0.00	40.14	N/A	N/A	0	0	21	32
2013-11-05	$86.12	$78.00	10.7%	4.3%	13.0%	6.6%	0.0%	3.0%	-1.1%	-10.9K	19.3K	-278	0.00	40.68	N/A	N/A	0	0	21	32
2013-11-06	$86.38	$78.00	10.7%	4.2%	13.0%	6.7%	0.0%	2.8%	-0.7%	-7.7K	-825	-255	0.00	44.98	N/A	N/A	0	0	21	32
2013-11-07	$84.68	$78.00	11.4%	4.5%	14.5%	8.7%	0.0%	2.9%	-0.5%	-20.1K	110.5K	-275	0.00	45.60	N/A	N/A	0	0	21	32
2013-11-08	$85.27	$78.00	49.6%	3.5%	14.4%	100.0%	0.0%	6.4%	-1.0%	-5.3K	42.1K	-311	0.00	54.03	N/A	N/A	0	0	21	32
2013-11-11	$84.82	$78.00	12.1%	4.7%	14.6%	9.5%	0.0%	2.6%	-2.3%	-45.4K	124.1K	-209	0.00	35.98	N/A	N/A	0	15	21	32
2013-11-12	$84.88	$78.00	12.1%	4.7%	14.4%	9.5%	0.0%	2.9%	-2.3%	-57.1K	138.3K	-330	0.00	47.55	N/A	N/A	0	0	21	47
2013-11-13	$84.90	$78.00	11.2%	4.7%	13.6%	7.2%	0.0%	2.8%	-2.5%	-75.7K	141.3K	-311	0.00	42.26	N/A	N/A	0	0	21	47
2013-11-14	$84.64	$78.00	16.4%	4.7%	12.2%	19.9%	0.0%	2.7%	-2.6%	-91.5K	170.6K	-284	0.00	45.00	N/A	N/A	0	0	21	47
2013-11-15	$84.91	$78.00	16.4%	4.7%	11.6%	19.9%	0.0%	3.0%	-2.5%	-150.1K	149.1K	-266	0.00	48.75	N/A	N/A	5	0	21	47
2013-11-18	$85.29	$78.00	17.1%	4.9%	11.7%	21.5%	17.7%	4.0%	-1.0%	91	-8.2K	-262	9.00	57.87	N/A	N/A	6	54	7	20
2013-11-19	$85.04	$86.00	17.4%	5.0%	11.7%	22.2%	0.0%	3.4%	-3.1%	-20.2K	135.9K	-707	0.00	47.27	N/A	N/A	0	0	13	64
2013-11-20	$84.44	$86.00	18.3%	5.2%	11.9%	24.4%	18.7%	2.1%	-3.3%	-21.2K	165.2K	-704	0.00	54.26	N/A	N/A	0	10	13	64
2013-11-21	$84.91	$86.00	17.1%	4.9%	12.1%	21.5%	0.0%	0.5%	-2.9%	-25.1K	157.7K	-769	0.00	50.40	N/A	N/A	0	0	13	74
2013-11-22	$84.70	$86.00	17.2%	4.9%	11.9%	21.8%	16.7%	-0.1%	-3.3%	-26.0K	167.6K	-766	0.00	50.49	N/A	N/A	1	0	13	74
2013-11-25	$84.42	$86.00	18.5%	5.3%	11.8%	25.0%	18.3%	2.8%	-3.4%	-26.0K	186.8K	-738	0.00	57.92	N/A	N/A	5	0	14	74
2013-11-26	$84.88	$86.00	17.6%	5.0%	11.4%	22.7%	0.0%	0.5%	-3.7%	-22.5K	139.3K	-744	0.00	64.35	N/A	N/A	0	0	19	74
2013-11-27	$85.07	$86.00	17.6%	5.0%	11.4%	22.8%	0.0%	-1.5%	-5.0%	-23.9K	135.0K	-752	0.00	55.85	N/A	N/A	0	0	19	74
2013-11-29	$85.05	$86.00	18.4%	5.3%	11.3%	24.7%	14.5%	4.8%	-1.7%	-26.0K	140.4K	-729	2.00	60.63	N/A	N/A	5	10	19	74