VOX Options History — May 2014

In May 2014, VOX traded between $84.65 and $87.69. ATM implied volatility averaged 13.1%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 0.4% (HV 20d: 12.7%). Max pain ranged from $83.00 to $85.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.46.

Notable Days

2014-05-21: Highest Volume — 27 contracts
2014-05-29: Largest IV spike — 62.7% change
2014-05-29: Highest IV Rank — 29.6%
2014-05-29: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$86.28	$84.65	$87.69	$85.00	$87.69
Max Pain	$83.19	$83.00	$85.00	$85.00	$83.00
ATM IV	13.1%	11.3%	20.7%	12.3%	11.8%
Expected Move	3.8%	3.4%	5.9%	3.5%	3.4%
HV 20d	12.7%	9.7%	14.7%	14.6%	9.7%
HV 60d	12.6%	11.6%	13.1%	12.9%	11.6%
IV Rank	11.3%	6.9%	29.6%	10.0%	7.8%
IV Percentile	45.7%	21.8%	94.4%	37.7%	24.2%
Term Structure	-0.2%	-9.7%	1.0%	1.0%	0.1%
VWIV	13.1%	8.6%	15.3%	12.4%	14.5%
Skew 25d	3.8%	1.7%	14.1%	3.2%	2.9%
Skew 10d	6.4%	2.1%	15.1%	8.5%	7.5%
Call IV 25d	11.3%	3.8%	12.8%	11.3%	11.1%
Put IV 25d	15.1%	12.1%	17.9%	14.5%	14.0%
Bid-Ask Spread %	49.98	19.46	100.94	99.96	96.76
Gamma HHI	0.44	0.28	0.65	0.58	0.40
Net GEX	33.7K	8.6K	52.6K	40.3K	22.2K
Net DEX	-232.8K	-398.0K	-153.3K	-154.5K	-257.4K
Net VEX	-728	-1.1K	-453	-662	-935
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.00	4.40	0.00	0.00
Total Volume	5.048	0	27	14	1
Total OI	83.619	56	99	76	99

Daily Data (21 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
2014-05-01	$85.00	$85.00	12.3%	3.5%	14.6%	10.0%	12.4%	3.2%	1.0%	40.3K	-154.5K	-662	0.00	99.96	N/A	N/A	14	0	47	29
2014-05-02	$85.27	$85.00	12.2%	3.5%	14.7%	9.8%	0.0%	3.0%	1.0%	46.4K	-209.4K	-761	0.00	100.94	N/A	N/A	0	10	56	29
2014-05-05	$85.56	$83.00	12.2%	3.7%	14.2%	9.6%	0.0%	3.5%	0.1%	48.7K	-236.2K	-677	0.00	22.59	N/A	N/A	0	0	56	23
2014-05-06	$84.65	$83.00	13.6%	3.9%	14.4%	13.1%	12.9%	3.3%	0.0%	47.7K	-164.6K	-678	0.00	19.46	N/A	N/A	3	0	56	23
2014-05-07	$85.16	$83.00	13.7%	4.0%	14.0%	12.9%	15.3%	3.5%	0.0%	52.6K	-213.6K	-703	0.00	27.70	N/A	N/A	0	7	59	23
2014-05-08	$85.66	$83.00	12.3%	3.8%	14.2%	9.4%	0.0%	3.6%	0.1%	46.8K	-245.7K	-697	0.00	22.49	N/A	N/A	0	0	59	30
2014-05-09	$86.36	$83.00	12.2%	3.8%	13.8%	9.2%	0.0%	3.1%	0.1%	45.8K	-303.6K	-639	0.00	26.80	N/A	N/A	3	0	59	30
2014-05-12	$86.90	$83.00	11.3%	3.7%	12.9%	6.9%	0.0%	3.0%	0.2%	34.0K	-398.0K	-557	0.00	29.16	N/A	N/A	0	0	62	30
2014-05-13	$86.41	$83.00	12.7%	3.8%	13.1%	10.3%	0.0%	3.3%	0.2%	35.4K	-260.2K	-588	0.00	29.53	N/A	N/A	0	0	50	30
2014-05-14	$86.31	$83.00	12.6%	3.9%	13.1%	10.1%	14.8%	3.2%	0.2%	44.6K	-275.8K	-551	0.00	40.69	N/A	N/A	0	1	50	30
2014-05-15	$86.45	$83.00	13.3%	3.8%	12.9%	12.0%	13.2%	3.2%	0.3%	34.1K	-256.6K	-578	0.00	43.98	N/A	N/A	18	0	50	31
2014-05-16	$87.16	$83.00	12.9%	3.7%	12.8%	10.6%	0.0%	3.0%	0.5%	26.6K	-261.0K	-602	0.00	38.07	N/A	N/A	0	0	48	31
2014-05-19	$87.27	$83.00	12.6%	3.6%	12.8%	9.9%	8.6%	1.7%	-0.2%	27.1K	-221.7K	-453	0.00	76.02	N/A	N/A	0	1	39	17
2014-05-20	$85.92	$83.00	13.9%	4.0%	14.0%	13.0%	14.5%	3.8%	-0.1%	24.9K	-153.3K	-607	0.22	42.57	N/A	N/A	9	2	39	18
2014-05-21	$85.87	$83.00	13.5%	3.9%	12.4%	12.0%	0.0%	3.3%	0.3%	31.8K	-186.2K	-724	4.40	42.14	N/A	N/A	5	22	48	20
2014-05-22	$86.31	$83.00	13.5%	3.9%	11.3%	11.9%	0.0%	3.1%	0.0%	21.7K	-174.1K	-1.1K	0.00	37.95	N/A	N/A	0	0	53	42
2014-05-23	$86.74	$83.00	12.2%	3.5%	10.6%	8.8%	0.0%	3.1%	0.6%	22.9K	-193.3K	-1.0K	0.00	59.73	N/A	N/A	0	3	53	42
2014-05-27	$86.68	$83.00	12.9%	3.7%	10.7%	10.5%	0.0%	6.3%	0.2%	22.6K	-184.1K	-1.0K	0.00	50.62	N/A	N/A	3	0	53	45
2014-05-28	$87.14	$83.00	12.7%	3.7%	10.5%	10.1%	0.0%	2.7%	0.3%	23.1K	-218.8K	-1.0K	0.00	59.63	N/A	N/A	1	0	53	45
2014-05-29	$87.41	$83.00	20.7%	5.9%	9.9%	29.6%	0.0%	14.1%	-9.7%	8.6K	-321.2K	-756	0.00	82.81	N/A	N/A	3	0	54	45
2014-05-30	$87.69	$83.00	11.8%	3.4%	9.7%	7.8%	0.0%	2.9%	0.1%	22.2K	-257.4K	-935	0.00	96.76	N/A	N/A	1	0	54	45