VOX Options History — November 2015

In November 2015, VOX traded between $82.62 and $86.49. ATM implied volatility averaged 22.3%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 7.2% (HV 20d: 15.1%). Max pain ranged from $85.00 to $88.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.54.

Notable Days

2015-11-10: Highest Volume — 101 contracts
2015-11-30: Largest IV spike — 147.2% change
2015-11-05: Highest IV Rank — 37.8%
2015-11-02: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$84.70	$82.62	$86.49	$86.49	$84.87
Max Pain	$86.50	$85.00	$88.00	$88.00	$85.00
ATM IV	22.3%	10.8%	36.8%	36.8%	33.2%
Expected Move	6.2%	3.1%	10.6%	10.6%	9.5%
HV 20d	15.1%	11.7%	16.4%	15.3%	11.7%
HV 60d	20.3%	18.0%	21.3%	21.2%	18.0%
IV Rank	18.0%	2.1%	37.8%	37.8%	32.0%
IV Percentile	50.9%	1.6%	89.3%	89.3%	83.7%
Term Structure	-3.6%	-15.7%	12.1%	-15.7%	-8.1%
VWIV	23.7%	13.1%	36.7%	30.3%	13.1%
Skew 25d	6.4%	-11.9%	38.6%	23.7%	27.7%
Skew 10d	1.8%	-30.8%	44.5%	41.1%	9.1%
Call IV 25d	21.0%	8.6%	39.6%	15.3%	19.9%
Put IV 25d	27.3%	13.4%	47.7%	39.0%	47.7%
Bid-Ask Spread %	133.77	77.06	167.89	142.82	167.89
Gamma HHI	0.21	0.15	0.33	0.22	0.22
Net GEX	3.3K	-11.0K	14.6K	-2.7K	6.0K
Net DEX	43.6K	-52.2K	148.2K	-1.6K	9.7K
Net VEX	-1.4K	-1.8K	-1.2K	-1.7K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.54	0.00	1.89	1.51	0.85
Total Volume	68.737	0	101	93	0
Total OI	110.947	91	119	119	103

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
2015-11-02	$86.49	$88.00	36.8%	10.6%	15.3%	37.8%	30.3%	23.7%	-15.7%	-2.7K	-1.6K	-1.7K	1.51	142.82	N/A	N/A	37	56	53	66
2015-11-04	$85.64	$88.00	35.5%	10.2%	15.9%	36.0%	36.7%	17.2%	-11.4%	-4.4K	7.0K	-1.8K	1.60	150.12	N/A	N/A	35	56	53	66
2015-11-05	$85.75	$0.00	36.8%	6.9%	15.6%	37.8%	0.0%	-9.5%	-2.1%	-11.0K	45.4K	-1.6K	1.60	149.68	N/A	N/A	35	56	52	66
2015-11-06	$85.47	$0.00	12.5%	3.5%	15.5%	5.8%	0.0%	-11.9%	0.6%	7.7K	55.8K	-1.3K	0.00	119.83	N/A	N/A	0	0	52	66
2015-11-09	$84.72	$0.00	23.9%	5.1%	15.8%	20.8%	0.0%	6.3%	-1.0%	3.4K	99.6K	-1.4K	0.00	133.82	N/A	N/A	0	40	52	66
2015-11-10	$84.25	$0.00	15.4%	6.8%	16.0%	9.6%	0.0%	-11.2%	-7.5%	3.5K	44.2K	-1.4K	1.89	127.96	N/A	N/A	35	66	52	61
2015-11-11	$84.53	$0.00	15.3%	4.4%	15.9%	9.5%	0.0%	2.1%	-4.1%	148	39.7K	-1.3K	1.89	83.22	N/A	N/A	35	66	52	61
2015-11-12	$83.48	$0.00	14.2%	4.1%	16.4%	8.0%	0.0%	2.7%	-1.8%	3.6K	116.1K	-1.2K	1.89	77.06	N/A	N/A	35	66	52	61
2015-11-13	$82.62	$0.00	22.6%	6.5%	15.2%	19.0%	0.0%	4.4%	5.0%	-2.1K	144.6K	-1.3K	1.89	144.26	N/A	N/A	35	66	52	61
2015-11-16	$83.87	$0.00	17.6%	5.1%	16.1%	12.6%	0.0%	-5.0%	-2.5%	-429	148.2K	-1.2K	0.00	126.53	N/A	N/A	0	0	52	61
2015-11-17	$84.05	$0.00	25.6%	7.3%	16.1%	21.8%	0.0%	38.6%	-6.0%	-3.2K	81.6K	-1.4K	1.89	160.53	N/A	N/A	35	66	52	61
2015-11-18	$84.87	$0.00	26.2%	7.5%	16.2%	22.6%	0.0%	9.4%	-7.2%	-1.6K	38.9K	-1.4K	1.89	158.01	N/A	N/A	35	66	52	61
2015-11-19	$84.99	$0.00	13.6%	3.9%	16.0%	5.7%	0.0%	-8.4%	-2.3%	13.5K	21.3K	-1.3K	1.89	101.87	N/A	N/A	35	66	52	61
2015-11-20	$84.74	$0.00	21.2%	6.1%	14.8%	15.9%	0.0%	6.7%	-4.2%	14.3K	45.2K	-1.2K	1.89	147.43	N/A	N/A	35	66	52	61
2015-11-23	$84.55	$0.00	28.2%	8.1%	14.3%	25.3%	0.0%	18.1%	-9.3%	4.8K	3.3K	-1.3K	0.00	163.20	N/A	N/A	10	0	51	40
2015-11-24	$84.72	$0.00	10.8%	3.1%	14.3%	2.1%	0.0%	4.3%	3.0%	14.6K	-4.1K	-1.4K	0.00	109.44	N/A	N/A	0	0	61	40
2015-11-25	$84.59	$0.00	20.1%	5.8%	13.5%	14.5%	14.6%	0.5%	-5.2%	8.4K	-14.7K	-1.5K	0.87	159.83	N/A	N/A	46	40	61	40
2015-11-27	$85.06	$85.00	13.4%	3.9%	12.0%	5.6%	13.1%	5.3%	12.1%	8.9K	-52.2K	-1.6K	0.85	118.20	N/A	N/A	47	40	63	40
2015-11-30	$84.87	$85.00	33.2%	9.5%	11.7%	32.0%	0.0%	27.7%	-8.1%	6.0K	9.7K	-1.5K	0.00	167.89	N/A	N/A	0	0	63	40