VOX Options History — February 2015

In February 2015, VOX traded between $84.88 and $89.21. ATM implied volatility averaged 12.0%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 2.3% (HV 20d: 14.3%). Max pain ranged from $80.00 to $88.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.78.

Notable Days

2015-02-13: Highest Volume — 187 contracts
2015-02-11: Largest IV spike — 16.9% change
2015-02-02: Highest IV Rank — 24.5%
2015-02-02: Largest Expected Move — 3.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.12	$84.88	$89.21	$84.88	$88.62
Max Pain	$82.89	$80.00	$88.00	$85.00	$88.00
ATM IV	12.0%	10.4%	13.7%	13.7%	11.2%
Expected Move	3.5%	3.2%	3.9%	3.9%	3.2%
HV 20d	14.3%	13.4%	15.3%	14.6%	13.4%
HV 60d	13.5%	13.1%	13.9%	13.1%	13.3%
IV Rank	17.0%	9.9%	24.5%	24.5%	13.4%
IV Percentile	23.7%	4.8%	60.3%	60.3%	9.9%
Term Structure	0.5%	-0.3%	1.2%	0.4%	0.8%
VWIV	12.8%	11.9%	13.6%	12.2%	12.4%
Skew 25d	2.9%	2.4%	3.9%	3.9%	2.7%
Skew 10d	6.2%	4.6%	8.6%	6.5%	6.7%
Call IV 25d	11.1%	10.1%	12.8%	12.8%	10.4%
Put IV 25d	14.0%	12.8%	16.7%	16.7%	13.0%
Bid-Ask Spread %	63.97	29.74	96.75	78.75	87.48
Gamma HHI	0.17	0.13	0.20	0.19	0.15
Net GEX	62.3K	42.6K	90.0K	45.4K	50.4K
Net DEX	-832.4K	-1.3M	-170.4K	-170.4K	-734.8K
Net VEX	-2.2K	-2.4K	-1.7K	-2.3K	-2.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.50	1.33	1.33	0.68
Total Volume	139.526	3	187	7	165
Total OI	246.105	216	291	221	231

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
2015-02-02	$84.88	$85.00	13.7%	3.9%	14.6%	24.5%	12.2%	3.9%	0.4%	45.4K	-170.4K	-2.3K	1.33	78.75	N/A	N/A	3	4	139	82
2015-02-03	$86.75	$85.00	12.1%	3.5%	15.3%	17.3%	13.6%	2.5%	0.8%	65.4K	-478.5K	-2.3K	0.95	86.89	N/A	N/A	78	74	142	86
2015-02-04	$86.90	$85.00	12.4%	3.5%	14.8%	18.6%	13.0%	2.4%	1.1%	68.6K	-532.2K	-2.3K	0.90	96.75	N/A	N/A	79	71	148	86
2015-02-05	$87.67	$80.00	11.5%	3.7%	15.0%	14.7%	12.9%	3.2%	0.3%	68.3K	-661.6K	-2.3K	0.90	29.74	N/A	N/A	79	71	150	85
2015-02-06	$87.99	$80.00	11.4%	3.7%	14.5%	14.3%	13.0%	2.8%	0.4%	64.9K	-716.8K	-2.2K	0.86	29.97	N/A	N/A	83	71	150	85
2015-02-09	$88.10	$80.00	11.8%	3.7%	14.4%	16.2%	13.5%	3.0%	0.7%	73.7K	-761.7K	-2.0K	0.95	43.30	N/A	N/A	75	71	154	85
2015-02-10	$88.87	$80.00	10.4%	3.5%	14.5%	9.9%	13.6%	2.9%	0.3%	70.2K	-876.1K	-1.9K	0.95	44.69	N/A	N/A	75	71	156	85
2015-02-11	$88.84	$80.00	12.1%	3.5%	14.5%	17.6%	13.4%	2.9%	0.5%	71.3K	-900.5K	-1.8K	0.95	47.13	N/A	N/A	75	71	156	85
2015-02-12	$89.07	$80.00	12.0%	3.4%	14.5%	16.9%	12.3%	2.7%	0.3%	65.7K	-964.8K	-1.7K	0.63	63.10	N/A	N/A	113	71	156	85
2015-02-13	$89.21	$80.00	11.7%	3.3%	14.2%	15.5%	11.9%	2.8%	0.6%	71.1K	-1.3M	-2.1K	0.61	58.45	N/A	N/A	116	71	196	85
2015-02-17	$89.06	$80.00	11.9%	3.4%	13.7%	16.7%	12.3%	2.6%	0.5%	69.2K	-1.3M	-2.2K	0.61	62.94	N/A	N/A	116	71	201	85
2015-02-18	$88.52	$80.00	12.0%	3.4%	14.0%	17.0%	12.4%	2.9%	0.5%	90.0K	-1.2M	-2.2K	0.64	62.50	N/A	N/A	114	73	201	85
2015-02-19	$88.34	$80.00	12.3%	3.5%	14.1%	18.2%	12.1%	2.6%	1.2%	66.8K	-1.2M	-2.2K	0.50	61.38	N/A	N/A	2	1	203	86
2015-02-20	$88.73	$80.00	11.8%	3.4%	14.0%	16.3%	12.4%	2.9%	0.4%	49.6K	-1.3M	-2.2K	0.80	68.49	N/A	N/A	15	12	205	86
2015-02-23	$87.73	$88.00	12.9%	3.7%	14.3%	20.8%	12.9%	3.1%	0.2%	42.6K	-617.5K	-2.4K	0.62	73.00	N/A	N/A	102	63	146	70
2015-02-24	$88.13	$88.00	12.9%	3.7%	14.3%	20.8%	13.1%	3.3%	-0.3%	48.1K	-666.2K	-2.4K	0.62	67.92	N/A	N/A	102	63	153	74
2015-02-25	$88.55	$88.00	11.6%	3.3%	13.8%	15.2%	12.8%	2.9%	0.3%	52.0K	-722.8K	-2.4K	0.62	76.53	N/A	N/A	102	63	153	74
2015-02-26	$88.34	$88.00	12.6%	3.6%	13.5%	19.6%	13.1%	3.4%	-0.3%	51.2K	-702.7K	-2.4K	0.68	76.50	N/A	N/A	98	67	153	74
2015-02-27	$88.62	$88.00	11.2%	3.2%	13.4%	13.4%	12.4%	2.7%	0.8%	50.4K	-734.8K	-2.3K	0.68	87.48	N/A	N/A	98	67	153	78