VOX Options History — July 2014

In July 2014, VOX traded between $87.78 and $90.96. ATM implied volatility averaged 12.3%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 4.4% (HV 20d: 7.9%). Max pain ranged from $86.00 to $89.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.71.

Notable Days

2014-07-17: Highest Volume — 39 contracts
2014-07-07: Largest IV spike — 20.8% change
2014-07-17: Highest IV Rank — 11.5%
2014-07-17: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.84	$87.78	$90.96	$88.36	$89.00
Max Pain	$87.82	$86.00	$89.00	$86.00	$89.00
ATM IV	12.3%	10.6%	13.3%	12.7%	12.8%
Expected Move	3.5%	3.0%	3.8%	3.7%	3.7%
HV 20d	7.9%	6.4%	13.7%	7.0%	13.7%
HV 60d	9.7%	8.4%	10.8%	10.8%	10.3%
IV Rank	9.2%	4.9%	11.5%	10.1%	10.2%
IV Percentile	36.9%	9.5%	58.7%	43.3%	46.0%
Term Structure	0.4%	-4.2%	1.6%	0.8%	0.6%
VWIV	17.2%	10.8%	39.3%	39.3%	10.8%
Skew 25d	3.0%	1.4%	4.0%	4.0%	2.9%
Skew 10d	5.3%	1.9%	9.6%	3.0%	9.6%
Call IV 25d	10.9%	6.5%	11.7%	8.8%	11.5%
Put IV 25d	13.9%	10.2%	15.2%	12.7%	14.4%
Bid-Ask Spread %	50.31	22.15	127.48	127.48	84.54
Gamma HHI	0.24	0.13	0.42	0.18	0.22
Net GEX	21.9K	5.5K	49.1K	7.4K	22.5K
Net DEX	-238.9K	-424.0K	-28.5K	-233.1K	-133.0K
Net VEX	-999	-1.3K	-726	-934	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.00	4.57	0.00	0.09
Total Volume	5.273	0	39	1	12
Total OI	142.727	106	177	139	140

Daily Data (22 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
2014-07-01	$88.36	$86.00	12.7%	3.7%	7.0%	10.1%	39.3%	4.0%	0.8%	7.4K	-233.1K	-934	0.00	127.48	N/A	N/A	1	0	52	87
2014-07-02	$88.38	$86.00	13.0%	3.7%	6.8%	10.8%	0.0%	3.7%	-4.2%	10.7K	-243.7K	-881	0.00	126.08	N/A	N/A	10	0	52	87
2014-07-03	$88.85	$86.00	10.6%	3.0%	6.8%	4.9%	13.3%	2.7%	1.3%	17.4K	-312.9K	-1.0K	0.11	89.57	N/A	N/A	9	1	62	87
2014-07-07	$88.49	$88.00	12.8%	3.7%	7.0%	10.2%	0.0%	3.1%	0.6%	24.3K	-313.8K	-1.1K	0.00	22.15	N/A	N/A	0	0	71	88
2014-07-08	$87.78	$88.00	12.6%	3.7%	7.7%	9.9%	0.0%	3.1%	0.4%	21.0K	-237.8K	-1.1K	1.00	23.13	N/A	N/A	1	1	71	88
2014-07-09	$88.18	$88.00	12.4%	3.7%	7.6%	9.3%	0.0%	3.1%	0.5%	24.1K	-288.3K	-1.1K	0.00	27.42	N/A	N/A	0	0	71	89
2014-07-10	$88.26	$88.00	13.0%	3.7%	7.4%	10.8%	0.0%	3.2%	0.4%	27.1K	-315.0K	-1.0K	0.00	24.61	N/A	N/A	0	0	71	89
2014-07-11	$88.74	$88.00	12.0%	3.4%	6.8%	8.3%	0.0%	3.2%	0.9%	34.1K	-384.0K	-887	0.00	24.77	N/A	N/A	0	0	71	89
2014-07-14	$89.15	$88.00	12.6%	3.6%	6.4%	9.8%	0.0%	3.2%	0.4%	32.8K	-424.0K	-802	0.00	29.68	N/A	N/A	0	0	71	89
2014-07-15	$88.96	$88.00	12.7%	3.6%	6.6%	10.1%	0.0%	2.8%	0.6%	34.5K	-365.0K	-805	0.00	32.15	N/A	N/A	0	0	66	89
2014-07-16	$89.25	$88.00	12.6%	3.6%	6.5%	9.9%	0.0%	2.7%	0.6%	34.7K	-406.3K	-726	0.00	31.54	N/A	N/A	2	0	66	89
2014-07-17	$88.38	$88.00	13.3%	3.8%	7.0%	11.5%	12.7%	3.5%	0.3%	49.1K	-315.6K	-788	4.57	26.46	N/A	N/A	7	32	63	89
2014-07-18	$88.98	$88.00	12.5%	3.6%	7.4%	9.5%	0.0%	3.0%	0.7%	21.3K	-271.8K	-1.1K	0.00	30.45	N/A	N/A	0	0	68	109
2014-07-21	$88.31	$88.00	13.1%	3.8%	7.9%	11.0%	12.5%	3.3%	0.0%	5.5K	-28.5K	-1.0K	0.50	30.01	N/A	N/A	10	5	42	64
2014-07-22	$88.76	$88.00	12.2%	3.5%	8.1%	8.9%	16.4%	3.1%	0.6%	15.1K	-82.0K	-1.1K	0.00	34.86	N/A	N/A	0	4	52	69
2014-07-23	$88.75	$88.00	12.3%	3.5%	7.8%	9.0%	15.5%	3.2%	0.7%	14.9K	-80.4K	-1.1K	0.00	45.61	N/A	N/A	0	1	52	69
2014-07-24	$88.82	$88.00	12.0%	3.4%	7.8%	8.4%	0.0%	3.0%	0.6%	15.9K	-88.4K	-1.1K	0.00	43.68	N/A	N/A	0	0	52	70
2014-07-25	$88.56	$88.00	12.0%	3.5%	7.9%	8.5%	0.0%	2.9%	0.7%	16.1K	-68.5K	-1.1K	0.00	43.71	N/A	N/A	0	0	52	70
2014-07-28	$88.78	$88.00	12.3%	3.5%	7.8%	9.0%	0.0%	3.0%	0.5%	16.6K	-83.9K	-1.0K	0.00	47.28	N/A	N/A	0	0	52	70
2014-07-29	$90.96	$88.00	11.6%	3.3%	11.5%	7.4%	10.8%	1.4%	1.1%	14.6K	-273.5K	-841	0.11	77.86	N/A	N/A	18	2	52	70
2014-07-30	$90.77	$89.00	10.6%	3.0%	11.5%	4.9%	0.0%	2.6%	1.6%	22.3K	-306.2K	-1.2K	0.00	83.72	N/A	N/A	0	0	68	72
2014-07-31	$89.00	$89.00	12.8%	3.7%	13.7%	10.2%	0.0%	2.9%	0.6%	22.5K	-133.0K	-1.3K	0.09	84.54	N/A	N/A	11	1	68	72