VOX Options History — September 2014

In September 2014, VOX traded between $86.57 and $88.96. ATM implied volatility averaged 11.7%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 3.7% (HV 20d: 8.0%). Max pain ranged from $82.00 to $82.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.04.

Notable Days

2014-09-25: Highest Volume — 40 contracts
2014-09-25: Largest IV spike — 17.7% change
2014-09-30: Highest IV Rank — 11.5%
2014-09-02: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.94	$86.57	$88.96	$88.33	$87.30
Max Pain	$82.00	$82.00	$82.00	$82.00	$82.00
ATM IV	11.7%	10.2%	13.3%	11.7%	13.3%
Expected Move	3.7%	2.9%	4.0%	4.0%	3.8%
HV 20d	8.0%	4.5%	10.7%	8.7%	10.5%
HV 60d	10.4%	9.9%	11.1%	10.1%	11.0%
IV Rank	7.5%	4.0%	11.5%	7.6%	11.5%
IV Percentile	24.3%	4.8%	59.1%	19.0%	59.1%
Term Structure	1.1%	-0.5%	2.3%	1.3%	-0.1%
Skew 25d	2.9%	2.3%	3.5%	2.9%	2.5%
Skew 10d	6.7%	4.4%	9.2%	8.1%	4.4%
Call IV 25d	10.6%	9.3%	11.9%	9.9%	11.9%
Put IV 25d	13.5%	11.9%	15.4%	12.8%	14.3%
Bid-Ask Spread %	11.36	9.28	17.21	9.31	12.53
Gamma HHI	0.15	0.11	0.22	0.13	0.13
Net GEX	71.1K	14.3K	98.9K	80.4K	49.7K
Net DEX	-256.7K	-550.1K	197.6K	-444.0K	30.1K
Net VEX	-2.5K	-2.8K	-2.3K	-2.7K	-2.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.00	5.00	1.20	5.00
Total Volume	11.952	0	40	0	0
Total OI	322.714	290	368	305	368

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
2014-09-02	$88.33	$82.00	11.7%	4.0%	8.7%	7.6%	0.0%	2.9%	1.3%	80.4K	-444.0K	-2.7K	0.00	9.31	N/A	N/A	0	0	166	139
2014-09-03	$88.28	$82.00	11.4%	3.9%	8.7%	6.9%	0.0%	2.9%	1.0%	82.3K	-433.1K	-2.6K	0.00	9.65	N/A	N/A	0	0	166	139
2014-09-04	$88.18	$82.00	11.3%	3.9%	5.3%	6.7%	0.0%	2.3%	1.6%	86.0K	-433.5K	-2.6K	0.00	17.21	N/A	N/A	0	0	166	139
2014-09-05	$88.77	$82.00	10.3%	3.7%	4.5%	4.2%	0.0%	3.3%	1.5%	80.9K	-550.1K	-2.7K	0.00	10.14	N/A	N/A	0	0	166	139
2014-09-08	$88.68	$82.00	10.2%	3.7%	4.5%	4.0%	0.0%	2.7%	2.3%	96.1K	-522.8K	-2.3K	0.00	12.91	N/A	N/A	0	27	166	139
2014-09-09	$87.66	$82.00	10.6%	3.8%	6.4%	4.9%	0.0%	3.0%	1.5%	81.9K	-251.8K	-2.5K	1.20	12.11	N/A	N/A	5	6	166	151
2014-09-10	$87.60	$82.00	10.5%	3.8%	6.4%	4.7%	0.0%	3.1%	1.7%	78.1K	-210.3K	-2.4K	0.13	11.52	N/A	N/A	15	2	166	157
2014-09-11	$88.29	$82.00	11.9%	3.8%	6.9%	8.0%	0.0%	3.1%	1.7%	89.5K	-437.6K	-2.7K	0.00	9.28	N/A	N/A	0	5	179	159
2014-09-12	$88.18	$82.00	11.6%	3.7%	7.0%	7.4%	0.0%	3.1%	1.7%	89.7K	-439.0K	-2.7K	0.00	10.62	N/A	N/A	24	0	179	159
2014-09-15	$87.35	$82.00	13.0%	3.9%	7.8%	10.6%	0.0%	3.2%	1.2%	91.6K	-232.0K	-2.6K	0.00	10.11	N/A	N/A	0	0	185	159
2014-09-16	$87.80	$82.00	12.2%	2.9%	7.9%	8.8%	0.0%	3.1%	1.4%	98.9K	-348.3K	-2.5K	0.00	12.69	N/A	N/A	0	0	185	159
2014-09-17	$87.99	$82.00	11.8%	3.8%	7.8%	7.9%	0.0%	2.9%	1.6%	97.9K	-429.1K	-2.5K	0.00	11.74	N/A	N/A	3	0	185	159
2014-09-18	$88.66	$82.00	11.2%	3.7%	8.2%	6.3%	0.0%	2.9%	1.8%	88.6K	-442.6K	-2.5K	0.00	16.54	N/A	N/A	36	0	165	139
2014-09-19	$88.96	$82.00	10.3%	3.6%	8.2%	4.3%	0.0%	2.6%	2.2%	89.2K	-467.4K	-2.4K	2.00	9.47	N/A	N/A	10	20	164	139
2014-09-22	$88.38	$82.00	11.6%	3.8%	8.7%	7.2%	0.0%	2.9%	0.6%	45.5K	-116.7K	-2.5K	1.60	9.71	N/A	N/A	5	8	147	143
2014-09-23	$87.61	$82.00	11.6%	3.8%	9.2%	7.3%	0.0%	3.0%	0.6%	24.3K	52.2K	-2.4K	0.00	10.18	N/A	N/A	0	0	147	151
2014-09-24	$87.91	$82.00	11.2%	3.7%	9.2%	6.4%	0.0%	2.6%	0.6%	28.9K	15.6K	-2.3K	0.50	10.39	N/A	N/A	22	11	147	151
2014-09-25	$86.57	$82.00	13.2%	3.8%	10.5%	11.3%	0.0%	3.5%	-0.5%	14.3K	197.6K	-2.5K	0.00	11.50	N/A	N/A	40	0	169	162
2014-09-26	$87.09	$82.00	12.9%	3.8%	10.7%	10.4%	0.0%	3.0%	-0.0%	50.2K	30.3K	-2.8K	0.00	10.92	N/A	N/A	0	0	194	162
2014-09-29	$87.05	$82.00	13.1%	3.8%	10.5%	10.9%	0.0%	3.1%	0.1%	49.3K	41.6K	-2.6K	5.00	10.06	N/A	N/A	2	10	194	162
2014-09-30	$87.30	$82.00	13.3%	3.8%	10.5%	11.5%	0.0%	2.5%	-0.1%	49.7K	30.1K	-2.6K	0.00	12.53	N/A	N/A	0	0	196	172