VOX Options History — December 2015

In December 2015, VOX traded between $81.93 and $85.75. ATM implied volatility averaged 24.1%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 9.0% (HV 20d: 15.1%). Max pain ranged from $79.00 to $85.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.99.

Notable Days

2015-12-29: Highest Volume — 135 contracts
2015-12-29: Largest IV spike — 154.8% change
2015-12-03: Highest IV Rank — 38.6%
2015-12-01: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$84.30	$81.93	$85.75	$85.41	$84.16
Max Pain	$81.68	$79.00	$85.00	$85.00	$84.00
ATM IV	24.1%	11.1%	38.1%	37.8%	36.8%
Expected Move	6.1%	3.2%	10.8%	10.8%	10.5%
HV 20d	15.1%	11.3%	18.4%	11.5%	18.4%
HV 60d	17.5%	15.4%	19.0%	17.8%	15.4%
IV Rank	19.8%	2.4%	38.6%	38.1%	36.7%
IV Percentile	54.7%	2.4%	91.3%	90.1%	87.7%
Term Structure	-5.3%	-24.6%	9.7%	-12.6%	-14.5%
VWIV	22.9%	11.0%	42.3%	42.3%	40.7%
Skew 25d	2.4%	-15.8%	31.4%	3.2%	6.9%
Skew 10d	4.2%	-21.8%	34.2%	12.2%	34.2%
Call IV 25d	25.6%	12.1%	48.4%	48.4%	42.9%
Put IV 25d	28.0%	8.2%	51.7%	51.7%	49.8%
Bid-Ask Spread %	142.78	119.34	166.95	166.95	155.15
Gamma HHI	0.19	0.13	0.56	0.22	0.20
Net GEX	2.7K	-119.3K	26.2K	8.7K	10.8K
Net DEX	16.4K	-104.8K	191.0K	-57.5K	-23.6K
Net VEX	-1.6K	-1.9K	-1.3K	-1.5K	-1.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.52	1.28	0.98	0.52
Total Volume	101.591	3	135	6	135
Total OI	122.045	103	137	103	137

Daily Data (22 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
2015-12-01	$85.41	$85.00	37.8%	10.8%	11.5%	38.1%	42.3%	3.2%	-12.6%	8.7K	-57.5K	-1.5K	0.00	166.95	N/A	N/A	0	6	63	40
2015-12-02	$84.63	$83.00	25.6%	7.3%	11.4%	21.8%	20.2%	6.6%	-10.5%	12.2K	-15.6K	-1.4K	0.98	156.24	N/A	N/A	47	46	63	46
2015-12-03	$83.90	$79.00	38.1%	5.6%	11.3%	38.6%	27.0%	4.2%	-8.8%	8.0K	-98.9K	-1.6K	1.19	152.16	N/A	N/A	47	56	63	46
2015-12-04	$85.04	$79.00	29.5%	4.2%	12.4%	27.0%	16.4%	5.3%	0.9%	9.2K	9.1K	-1.7K	1.19	140.70	N/A	N/A	47	56	63	56
2015-12-07	$85.18	$79.00	24.6%	3.2%	12.3%	20.4%	11.0%	-1.4%	3.1%	11.3K	8.3K	-1.4K	0.00	138.19	N/A	N/A	0	3	63	56
2015-12-08	$85.09	$81.00	29.7%	4.7%	11.9%	27.3%	17.3%	-8.6%	-3.7%	4.0K	-4.5K	-1.7K	1.28	127.34	N/A	N/A	46	59	63	59
2015-12-09	$83.98	$81.00	21.2%	6.1%	12.7%	16.0%	28.0%	-1.7%	-11.1%	2.3K	-45.1K	-1.8K	1.28	147.34	N/A	N/A	46	59	64	59
2015-12-10	$83.98	$81.00	25.1%	7.2%	12.6%	21.1%	15.5%	9.9%	-17.6%	2.3K	-6.6K	-1.7K	1.28	139.51	N/A	N/A	46	59	64	59
2015-12-11	$81.93	$81.00	17.7%	5.1%	14.8%	11.3%	17.2%	2.4%	-0.1%	1.3K	191.0K	-1.4K	1.20	121.03	N/A	N/A	49	59	64	59
2015-12-14	$82.10	$81.00	20.2%	5.8%	14.4%	14.6%	19.6%	-4.1%	-6.1%	-7.3K	134.2K	-1.5K	1.20	119.34	N/A	N/A	49	59	67	59
2015-12-15	$82.90	$81.00	24.2%	6.9%	13.7%	20.0%	32.1%	6.3%	-16.7%	2.7K	35.1K	-1.6K	1.20	149.77	N/A	N/A	49	59	67	59
2015-12-16	$84.90	$81.00	27.7%	7.9%	16.2%	24.6%	29.7%	-15.8%	-13.1%	5.1K	-2.6K	-1.7K	1.20	145.29	N/A	N/A	49	59	67	59
2015-12-17	$84.23	$81.00	11.5%	3.3%	16.1%	2.9%	16.0%	-0.0%	3.2%	4.9K	35.0K	-1.6K	1.20	126.91	N/A	N/A	49	59	67	59
2015-12-18	$82.97	$81.00	15.9%	4.6%	16.9%	8.9%	19.4%	3.6%	-3.9%	-119.3K	161.4K	-1.4K	1.20	138.23	N/A	N/A	49	59	67	59
2015-12-21	$83.47	$81.00	11.1%	3.2%	17.1%	2.4%	20.1%	0.4%	7.6%	6.2K	115.6K	-1.3K	1.02	141.45	N/A	N/A	45	46	61	53
2015-12-22	$84.53	$81.00	17.5%	5.0%	17.7%	10.9%	32.0%	5.3%	2.7%	6.4K	36.6K	-1.5K	0.98	154.40	N/A	N/A	47	46	61	56
2015-12-23	$85.37	$81.00	18.4%	5.3%	18.0%	12.1%	21.0%	-4.0%	5.8%	19.0K	-25.0K	-1.5K	0.58	156.06	N/A	N/A	79	46	63	56
2015-12-24	$85.16	$84.00	15.1%	4.3%	18.1%	7.7%	14.3%	1.0%	6.4%	22.3K	24.1K	-1.7K	0.58	126.08	N/A	N/A	79	46	71	56
2015-12-28	$85.00	$84.00	13.6%	3.9%	18.0%	5.7%	11.2%	-1.0%	9.7%	26.2K	35.5K	-1.6K	0.58	123.81	N/A	N/A	79	46	71	56
2015-12-29	$85.75	$84.00	34.5%	9.9%	18.2%	33.7%	27.9%	2.5%	-24.6%	7.6K	-41.2K	-1.9K	0.52	158.00	N/A	N/A	89	46	71	56
2015-12-30	$84.92	$84.00	35.0%	10.0%	18.4%	34.4%	24.9%	31.4%	-12.8%	16.6K	-104.8K	-1.9K	0.52	157.15	N/A	N/A	89	46	81	56
2015-12-31	$84.16	$84.00	36.8%	10.5%	18.4%	36.7%	40.7%	6.9%	-14.5%	10.8K	-23.6K	-1.9K	0.52	155.15	N/A	N/A	89	46	81	56