VOX Options History — January 2015

In January 2015, VOX traded between $82.92 and $86.44. ATM implied volatility averaged 15.6%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.7% (HV 20d: 12.9%). Max pain ranged from $83.00 to $88.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.78.

Notable Days

2015-01-14: Highest Volume — 337 contracts
2015-01-30: Largest IV spike — 56.6% change
2015-01-30: Highest IV Rank — 68.0%
2015-01-30: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$84.70	$82.92	$86.44	$84.95	$83.15
Max Pain	$84.15	$83.00	$88.00	$88.00	$85.00
ATM IV	15.6%	13.5%	23.7%	14.2%	23.7%
Expected Move	4.4%	3.9%	6.8%	4.2%	6.8%
HV 20d	12.9%	11.7%	14.9%	13.6%	12.5%
HV 60d	12.7%	12.1%	13.8%	13.6%	12.4%
IV Rank	32.6%	23.6%	68.0%	26.5%	68.0%
IV Percentile	76.6%	54.8%	97.6%	72.2%	97.6%
Term Structure	0.2%	-5.3%	1.5%	0.4%	-5.3%
VWIV	14.9%	12.7%	18.2%	12.7%	18.2%
Skew 25d	2.7%	-12.0%	3.9%	3.5%	-12.0%
Skew 10d	5.7%	-21.4%	8.6%	5.2%	-21.4%
Call IV 25d	14.9%	11.7%	42.8%	12.8%	42.8%
Put IV 25d	17.6%	14.7%	30.8%	16.3%	30.8%
Bid-Ask Spread %	51.48	33.55	149.10	37.81	149.10
Gamma HHI	0.25	0.15	0.58	0.15	0.15
Net GEX	-12.8K	-186.9K	62.0K	16.7K	25.5K
Net DEX	-77.3K	-427.3K	265.9K	-116.3K	-107.3K
Net VEX	-2.3K	-2.6K	-2.1K	-2.5K	-2.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.18	1.00	0.53	1.00
Total Volume	140	0	337	235	146
Total OI	295.6	162	445	322	218

Daily Data (20 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
2015-01-02	$84.95	$88.00	14.2%	4.2%	13.6%	26.5%	12.7%	3.5%	0.4%	16.7K	-116.3K	-2.5K	0.53	37.81	N/A	N/A	154	81	191	131
2015-01-05	$83.62	$88.00	16.7%	4.5%	14.5%	37.6%	16.0%	3.4%	0.6%	-7.0K	95.2K	-2.4K	0.00	35.23	N/A	N/A	0	14	192	131
2015-01-06	$82.92	$83.00	18.2%	4.7%	14.7%	44.2%	0.0%	3.8%	0.9%	-32.1K	265.9K	-2.3K	0.00	38.36	N/A	N/A	0	0	192	145
2015-01-07	$83.38	$83.00	17.5%	4.6%	14.9%	41.1%	0.0%	3.9%	0.6%	-28.3K	190.9K	-2.3K	0.00	38.92	N/A	N/A	0	0	192	145
2015-01-08	$84.43	$83.00	15.7%	4.4%	14.5%	33.3%	14.0%	3.5%	0.9%	-8.3K	22.6K	-2.3K	0.51	33.55	N/A	N/A	154	78	192	148
2015-01-09	$84.21	$83.00	14.1%	4.3%	13.6%	25.9%	13.5%	3.3%	1.2%	-13.9K	47.8K	-2.2K	0.94	46.91	N/A	N/A	158	149	192	148
2015-01-12	$84.84	$83.00	13.6%	4.1%	13.7%	23.8%	13.3%	3.4%	1.4%	-118.8K	91.9K	-2.2K	0.96	43.49	N/A	N/A	158	152	192	222
2015-01-13	$84.81	$83.00	13.6%	4.1%	12.5%	23.8%	13.1%	3.5%	1.5%	-114.8K	43.2K	-2.2K	0.96	42.72	N/A	N/A	158	152	192	226
2015-01-14	$84.80	$83.00	16.3%	4.7%	12.5%	35.7%	15.9%	3.9%	0.4%	-134.4K	53.9K	-2.1K	0.82	41.39	N/A	N/A	185	152	192	226
2015-01-15	$84.38	$83.00	17.0%	4.9%	12.6%	38.8%	16.0%	3.6%	-0.1%	-186.9K	121.0K	-2.4K	0.83	34.41	N/A	N/A	183	152	219	226
2015-01-16	$85.50	$83.00	16.3%	4.7%	12.1%	35.6%	17.0%	3.9%	0.6%	-12.2K	-82.2K	-2.6K	0.00	35.62	N/A	N/A	0	14	219	223
2015-01-20	$85.85	$84.00	14.0%	4.0%	11.9%	25.5%	14.0%	3.6%	0.3%	32.4K	-299.6K	-2.2K	0.18	53.59	N/A	N/A	17	3	104	58
2015-01-21	$85.92	$84.00	15.6%	4.5%	11.8%	32.7%	15.9%	3.4%	0.2%	42.4K	-358.9K	-2.4K	0.50	40.90	N/A	N/A	2	1	121	61
2015-01-22	$86.44	$84.00	13.5%	3.9%	11.7%	23.7%	14.2%	3.1%	0.6%	51.6K	-427.3K	-2.3K	0.95	56.19	N/A	N/A	57	54	123	62
2015-01-23	$85.71	$84.00	13.5%	3.9%	12.1%	23.6%	14.2%	3.2%	0.3%	52.1K	-347.0K	-2.3K	0.76	54.60	N/A	N/A	71	54	123	62
2015-01-26	$85.65	$84.00	13.6%	3.9%	12.1%	23.8%	13.4%	3.4%	0.1%	62.0K	-361.2K	-2.4K	0.00	59.21	N/A	N/A	0	14	137	62
2015-01-27	$84.90	$85.00	14.2%	4.1%	12.1%	26.6%	17.9%	2.8%	0.1%	43.5K	-199.9K	-2.4K	0.00	72.90	N/A	N/A	0	3	137	76
2015-01-28	$84.26	$85.00	15.1%	4.3%	12.4%	30.4%	14.2%	3.4%	-0.1%	36.7K	-92.0K	-2.3K	0.99	56.16	N/A	N/A	71	70	137	79
2015-01-29	$84.21	$85.00	15.1%	4.3%	12.1%	30.6%	14.4%	3.7%	-0.1%	37.2K	-87.2K	-2.3K	0.96	58.47	N/A	N/A	73	70	137	79
2015-01-30	$83.15	$85.00	23.7%	6.8%	12.5%	68.0%	18.2%	-12.0%	-5.3%	25.5K	-107.3K	-2.4K	1.00	149.10	N/A	N/A	73	73	139	79