VOX Options History — February 2014

In February 2014, VOX traded between $78.74 and $82.66. ATM implied volatility averaged 14.3%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 1.9% (HV 20d: 16.2%). Max pain ranged from $78.00 to $82.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 3.56.

Notable Days

2014-02-03: Highest Volume — 28 contracts
2014-02-20: Largest IV drop — 12.9% change
2014-02-03: Highest IV Rank — 22.5%
2014-02-03: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$80.79	$78.74	$82.66	$78.74	$80.80
Max Pain	$79.42	$78.00	$82.00	$82.00	$81.00
ATM IV	14.3%	12.6%	17.5%	17.5%	14.1%
Expected Move	4.1%	3.6%	5.0%	5.0%	4.1%
HV 20d	16.2%	15.6%	17.4%	15.8%	17.4%
HV 60d	14.0%	13.3%	14.8%	13.8%	14.6%
IV Rank	14.8%	10.7%	22.5%	22.5%	14.4%
IV Percentile	73.1%	51.6%	92.1%	92.1%	75.0%
Term Structure	1.5%	-1.2%	12.7%	12.7%	0.2%
VWIV	12.9%	9.4%	14.7%	14.3%	11.4%
Skew 25d	3.4%	1.9%	5.5%	1.9%	3.7%
Skew 10d	7.0%	4.4%	9.1%	4.4%	7.7%
Call IV 25d	12.9%	11.7%	15.5%	15.5%	12.9%
Put IV 25d	16.3%	14.5%	18.4%	17.5%	16.6%
Bid-Ask Spread %	56.36	37.84	83.60	83.21	71.27
Gamma HHI	0.19	0.15	0.23	0.16	0.18
Net GEX	-3.9K	-11.7K	18.7K	4.6K	-5.6K
Net DEX	23.8K	-68.9K	93.5K	14.3K	26.3K
Net VEX	-723	-913	-463	-463	-884
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.56	0.00	20.00	8.33	0.00
Total Volume	5.211	0	28	28	0
Total OI	123.263	89	156	89	128

Daily Data (19 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
2014-02-03	$78.74	$82.00	17.5%	5.0%	15.8%	22.5%	14.3%	1.9%	12.7%	4.6K	14.3K	-463	8.33	83.21	N/A	N/A	3	25	63	26
2014-02-04	$79.30	$82.00	16.6%	4.8%	16.1%	20.4%	0.0%	3.5%	12.4%	-7.3K	82.3K	-720	0.00	83.60	N/A	N/A	0	0	60	51
2014-02-05	$79.39	$82.00	16.1%	4.6%	15.7%	19.2%	9.4%	3.5%	-0.4%	-8.8K	80.7K	-689	0.00	39.51	N/A	N/A	0	1	60	51
2014-02-06	$79.27	$82.00	15.6%	4.5%	15.7%	18.0%	0.0%	3.2%	0.1%	-10.0K	93.5K	-688	0.00	63.36	N/A	N/A	0	0	60	52
2014-02-07	$80.08	$78.00	14.2%	4.3%	15.6%	14.7%	0.0%	3.9%	0.2%	-8.4K	64.1K	-685	0.00	50.42	N/A	N/A	0	0	60	52
2014-02-10	$79.95	$78.00	14.6%	4.3%	15.6%	15.5%	14.7%	3.8%	0.1%	-9.1K	70.5K	-647	0.00	47.52	N/A	N/A	3	0	60	52
2014-02-11	$80.90	$78.00	13.3%	4.1%	16.0%	12.5%	0.0%	3.0%	0.1%	-3.7K	18.6K	-656	0.00	37.84	N/A	N/A	0	25	62	52
2014-02-12	$81.20	$78.00	13.2%	4.0%	15.7%	12.0%	0.0%	5.5%	0.9%	-5.6K	21.7K	-767	0.00	72.50	N/A	N/A	1	0	62	72
2014-02-13	$82.26	$78.00	13.4%	3.8%	15.9%	12.6%	0.0%	3.0%	0.2%	5.1K	-36.8K	-717	0.00	47.50	N/A	N/A	0	0	63	72
2014-02-14	$81.76	$78.00	13.1%	3.8%	16.0%	11.9%	0.0%	3.0%	0.4%	-2.8K	-7.4K	-702	0.00	44.24	N/A	N/A	0	0	63	72
2014-02-18	$81.38	$78.00	14.0%	4.0%	16.1%	14.0%	0.0%	3.1%	0.2%	-8.5K	13.1K	-670	0.00	46.74	N/A	N/A	1	0	63	72
2014-02-19	$81.49	$78.00	14.9%	4.3%	16.1%	16.3%	0.0%	3.5%	-1.2%	-8.0K	6.3K	-668	0.00	53.86	N/A	N/A	0	0	64	72
2014-02-20	$82.66	$78.00	13.0%	3.7%	17.0%	11.6%	13.9%	2.7%	0.7%	18.7K	-68.9K	-592	20.00	48.01	N/A	N/A	1	20	64	72
2014-02-21	$81.89	$78.00	12.6%	3.6%	17.3%	10.7%	0.0%	3.6%	0.7%	2.4K	-18.5K	-805	0.00	65.77	N/A	N/A	0	2	64	92
2014-02-24	$81.39	$78.00	13.6%	3.9%	16.3%	13.1%	12.7%	2.9%	0.6%	-7.4K	8.1K	-714	0.18	48.90	N/A	N/A	11	2	25	86
2014-02-25	$80.80	$80.00	13.6%	3.9%	16.5%	13.0%	13.6%	3.3%	0.3%	-6.1K	26.8K	-887	0.00	64.16	N/A	N/A	0	1	36	88
2014-02-26	$80.28	$81.00	14.6%	4.2%	16.6%	15.4%	0.0%	3.8%	0.1%	-11.7K	66.4K	-913	0.00	55.63	N/A	N/A	1	0	36	89
2014-02-27	$81.45	$81.00	13.8%	4.0%	17.2%	13.6%	11.4%	3.4%	0.0%	-2.0K	-8.7K	-861	0.00	46.71	N/A	N/A	2	0	37	89
2014-02-28	$80.80	$81.00	14.1%	4.1%	17.4%	14.4%	0.0%	3.7%	0.2%	-5.6K	26.3K	-884	0.00	71.27	N/A	N/A	0	0	39	89