VOX Options History — August 2014

In August 2014, VOX traded between $86.14 and $88.51. ATM implied volatility averaged 13.1%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 0.4% (HV 20d: 13.5%). Max pain ranged from $82.00 to $89.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.76.

Notable Days

2014-08-13: Highest Volume — 82 contracts
2014-08-06: Largest IV spike — 15.8% change
2014-08-07: Highest IV Rank — 18.5%
2014-08-07: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.26	$86.14	$88.51	$88.44	$88.42
Max Pain	$86.25	$82.00	$89.00	$89.00	$82.00
ATM IV	13.1%	11.0%	16.2%	13.8%	11.0%
Expected Move	4.0%	3.8%	4.3%	4.0%	3.9%
HV 20d	13.5%	8.7%	15.1%	13.8%	8.7%
HV 60d	10.4%	10.1%	10.9%	10.4%	10.1%
IV Rank	11.0%	5.8%	18.5%	12.7%	5.8%
IV Percentile	48.1%	10.7%	88.1%	69.4%	10.7%
Term Structure	0.7%	-0.2%	1.4%	0.6%	1.4%
VWIV	14.5%	12.7%	16.5%	14.2%	16.5%
Skew 25d	3.0%	2.4%	4.0%	2.9%	3.1%
Skew 10d	4.9%	2.9%	8.3%	7.1%	7.7%
Call IV 25d	11.7%	9.2%	13.7%	12.5%	9.2%
Put IV 25d	14.7%	12.3%	16.2%	15.5%	12.3%
Bid-Ask Spread %	27.39	8.54	87.20	87.20	22.20
Gamma HHI	0.14	0.10	0.23	0.19	0.13
Net GEX	36.2K	10.7K	78.9K	24.2K	78.9K
Net DEX	-116.2K	-455.0K	121.1K	-93.7K	-455.0K
Net VEX	-2.1K	-3.0K	-1.1K	-1.5K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.00	2.50	0.00	0.50
Total Volume	14.429	0	82	0	31
Total OI	225.143	150	305	152	305

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
2014-08-01	$88.44	$89.00	13.8%	4.0%	13.8%	12.7%	0.0%	2.9%	0.6%	24.2K	-93.7K	-1.5K	0.00	87.20	N/A	N/A	0	0	79	73
2014-08-04	$88.43	$89.00	14.3%	4.1%	13.7%	13.9%	0.0%	3.1%	0.2%	25.9K	-83.1K	-1.4K	0.00	20.84	N/A	N/A	0	0	79	73
2014-08-05	$88.51	$89.00	12.9%	3.8%	13.4%	10.6%	0.0%	3.0%	0.5%	28.6K	-85.3K	-1.4K	0.00	26.95	N/A	N/A	0	0	79	73
2014-08-06	$86.87	$89.00	14.9%	4.1%	14.9%	15.5%	0.0%	3.0%	0.3%	15.4K	73.3K	-1.2K	0.00	33.43	N/A	N/A	4	0	79	73
2014-08-07	$86.14	$89.00	16.2%	4.3%	15.1%	18.5%	0.0%	2.4%	-0.2%	10.7K	121.1K	-1.1K	0.00	40.58	N/A	N/A	0	0	83	73
2014-08-08	$86.42	$89.00	14.6%	4.2%	15.0%	14.7%	0.0%	3.1%	0.1%	12.3K	111.6K	-1.1K	2.50	39.81	N/A	N/A	4	10	83	73
2014-08-11	$86.53	$89.00	13.8%	4.0%	14.9%	12.8%	0.0%	2.8%	0.6%	17.2K	6.6K	-1.1K	0.00	40.72	N/A	N/A	0	0	87	63
2014-08-12	$86.73	$89.00	13.2%	3.9%	14.9%	11.3%	14.2%	3.2%	0.4%	12.9K	20.5K	-1.1K	0.46	41.77	N/A	N/A	26	12	87	63
2014-08-13	$86.86	$86.00	14.2%	3.9%	14.9%	13.6%	12.7%	3.3%	0.3%	37.6K	-127.5K	-1.4K	1.73	48.64	N/A	N/A	30	52	113	65
2014-08-14	$87.01	$86.00	13.3%	3.8%	14.6%	11.6%	0.0%	3.1%	0.6%	24.1K	-28.2K	-2.5K	0.00	41.34	N/A	N/A	0	31	142	104
2014-08-15	$86.80	$86.00	13.3%	3.8%	14.3%	11.4%	0.0%	2.9%	0.5%	16.7K	15.0K	-2.6K	0.00	46.54	N/A	N/A	0	0	142	129
2014-08-18	$87.03	$0.00	13.6%	4.2%	14.1%	12.3%	0.0%	2.7%	0.6%	18.6K	-84.7K	-2.5K	0.50	13.70	N/A	N/A	10	5	110	113
2014-08-19	$86.74	$0.00	12.8%	4.0%	14.0%	10.3%	0.0%	2.6%	0.6%	17.1K	-44.3K	-2.3K	0.91	9.23	N/A	N/A	22	20	105	113
2014-08-20	$86.81	$0.00	12.2%	4.0%	14.0%	8.8%	0.0%	4.0%	0.9%	26.9K	-89.3K	-2.7K	0.18	8.99	N/A	N/A	22	4	127	133
2014-08-21	$86.96	$0.00	12.2%	4.0%	14.0%	8.7%	0.0%	3.3%	0.9%	49.7K	-179.8K	-2.9K	0.07	8.93	N/A	N/A	15	1	149	137
2014-08-22	$86.91	$0.00	12.1%	4.0%	14.0%	8.6%	16.5%	2.9%	0.8%	57.0K	-186.8K	-3.0K	0.50	9.45	N/A	N/A	2	1	164	138
2014-08-25	$87.27	$82.00	12.2%	4.0%	14.1%	8.8%	0.0%	3.0%	1.0%	65.3K	-261.0K	-3.0K	0.00	8.97	N/A	N/A	0	1	166	138
2014-08-26	$87.58	$82.00	11.4%	3.9%	10.7%	6.8%	0.0%	3.2%	1.2%	69.5K	-307.3K	-3.0K	0.00	8.54	N/A	N/A	0	0	166	139
2014-08-27	$88.08	$82.00	11.5%	3.9%	11.0%	7.0%	0.0%	2.7%	1.0%	75.0K	-389.3K	-2.9K	0.00	8.72	N/A	N/A	0	0	166	139
2014-08-28	$87.90	$82.00	11.3%	3.9%	8.7%	6.6%	0.0%	2.6%	1.2%	76.7K	-372.5K	-2.9K	0.00	8.67	N/A	N/A	0	0	166	139
2014-08-29	$88.42	$82.00	11.0%	3.9%	8.7%	5.8%	0.0%	3.1%	1.4%	78.9K	-455.0K	-2.8K	0.00	22.20	N/A	N/A	0	31	166	139