VOX Options History — November 2014 In November 2014, VOX traded between $87.69 and $90.64. ATM implied volatility averaged 13.6%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 1.8% (HV 20d: 11.8%). Max pain ranged from $81.00 to $81.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.01.
Notable Days 2014-11-18 : Highest Volume — 258 contracts2014-11-13 : Largest IV spike — 88.3% change2014-11-25 : Highest IV Rank — 47.9%2014-11-07 : Largest Expected Move — 3.9%Monthly Statistics Metric Avg Min Max Open Close Price $89.26 $87.69 $90.64 $89.29 $89.91 Max Pain $81.00 $81.00 $81.00 $81.00 $81.00 ATM IV 13.6% 8.1% 19.1% 9.0% 18.3% Expected Move 3.7% 3.4% 3.9% 3.7% 3.7% HV 20d 11.8% 9.9% 15.7% 15.7% 10.3% HV 60d 12.4% 11.8% 12.8% 11.8% 12.8% IV Rank 22.2% 0.0% 47.9% 0.2% 44.4% IV Percentile 51.9% 0.0% 94.0% 0.4% 93.3% Term Structure -1.2% -4.7% 6.0% 5.3% -3.7% VWIV 16.1% 13.1% 17.2% 16.9% 15.8% Skew 25d 3.9% 1.7% 11.2% 2.2% 3.0% Skew 10d 5.3% 2.0% 11.4% 5.2% 5.3% Call IV 25d 11.5% 8.0% 13.7% 8.0% 12.6% Put IV 25d 15.3% 10.2% 22.6% 10.2% 15.7% Bid-Ask Spread % 21.04 13.70 25.44 17.70 24.18 Gamma HHI 0.20 0.13 0.40 0.19 0.15 Net GEX 69.1K -25.7K 139.1K 86.8K -7.2K Net DEX -442.7K -834.9K -103.4K -655.3K -221.7K Net VEX -2.3K -2.7K -1.9K -2.4K -2.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.01 0.09 5.50 0.73 1.03 Total Volume 163.368 0 258 233 0 Total OI 304.684 231 339 308 274
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 2014-11-03 $89.29 $81.00 9.0% 3.7% 15.7% 0.2% 16.9% 2.2% 5.3% 86.8K -655.3K -2.4K 0.73 17.70 N/A N/A 135 98 173 135 2014-11-04 $88.80 $81.00 9.6% 3.7% 15.5% 1.8% 17.0% 2.7% 4.5% 68.0K -528.4K -2.6K 0.67 18.28 N/A N/A 147 98 173 146 2014-11-05 $88.60 $81.00 9.2% 3.7% 15.2% 0.9% 17.2% 2.5% 6.0% 73.2K -522.3K -2.7K 0.67 15.27 N/A N/A 147 98 184 146 2014-11-06 $87.69 $81.00 10.7% 3.8% 13.1% 4.5% 17.0% 2.9% 5.2% 49.3K -319.1K -2.7K 0.68 13.70 N/A N/A 147 100 184 146 2014-11-07 $88.33 $81.00 10.5% 3.9% 11.7% 4.1% 17.1% 3.3% -2.3% 69.4K -424.7K -2.7K 0.68 16.35 N/A N/A 147 100 184 148 2014-11-10 $89.02 $81.00 9.9% 3.8% 10.9% 2.5% 17.2% 6.0% -3.2% 93.6K -576.6K -2.5K 0.72 17.71 N/A N/A 138 100 184 148 2014-11-11 $88.95 $81.00 9.3% 3.7% 10.6% 1.9% 17.2% 3.0% -2.6% 97.1K -585.8K -2.4K 0.72 17.20 N/A N/A 138 100 181 116 2014-11-12 $89.82 $81.00 8.1% 3.6% 10.8% 0.0% 15.6% 5.0% -1.5% 108.4K -834.9K -2.2K 0.72 20.19 N/A N/A 138 100 184 148 2014-11-13 $90.08 $81.00 15.3% 3.6% 10.8% 31.2% 16.0% 3.4% -2.2% 92.7K -540.2K -2.1K 0.73 21.26 N/A N/A 138 101 148 148 2014-11-14 $90.64 $81.00 16.4% 3.4% 10.7% 36.1% 13.1% 3.4% -1.8% 82.9K -643.8K -1.9K 0.09 23.56 N/A N/A 11 1 146 149 2014-11-17 $90.08 $81.00 14.6% 3.6% 11.1% 28.2% 15.4% 7.0% -2.4% 100.8K -580.7K -2.2K 0.70 22.90 N/A N/A 149 105 159 150 2014-11-18 $89.99 $81.00 15.5% 3.6% 10.8% 32.3% 15.4% 2.6% -2.6% 116.3K -607.6K -2.1K 0.69 25.39 N/A N/A 153 105 159 153 2014-11-19 $88.86 $81.00 16.6% 3.6% 11.5% 36.9% 0.0% 2.4% -2.9% 135.2K -338.8K -2.1K 5.50 24.06 N/A N/A 4 22 161 153 2014-11-20 $88.99 $81.00 16.3% 3.6% 11.5% 35.8% 15.2% 2.6% -2.8% 139.1K -346.9K -2.2K 0.86 25.44 N/A N/A 56 48 164 175 2014-11-21 $89.30 $81.00 15.0% 3.6% 11.5% 30.2% 15.2% 4.6% -3.5% 28.9K -316.5K -2.3K 0.93 24.57 N/A N/A 60 56 164 175 2014-11-24 $89.00 $81.00 17.4% 3.8% 11.5% 40.4% 0.0% 1.7% -3.5% -14.9K -104.1K -2.1K 0.00 24.44 N/A N/A 0 5 115 116 2014-11-25 $88.85 $81.00 19.1% 3.8% 9.9% 47.9% 15.8% 4.0% -3.2% -25.7K -103.4K -2.1K 1.03 23.85 N/A N/A 63 65 115 121 2014-11-26 $89.72 $81.00 18.0% 3.6% 10.4% 43.1% 0.0% 11.2% -4.7% 19.6K -160.6K -2.3K 0.00 23.72 N/A N/A 0 31 122 142 2014-11-28 $89.91 $81.00 18.3% 3.7% 10.3% 44.4% 0.0% 3.0% -3.7% -7.2K -221.7K -2.1K 0.00 24.18 N/A N/A 0 0 122 152
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