VOX Options History — January 2016

In January 2016, VOX traded between $78.12 and $84.94. ATM implied volatility averaged 28.9%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 8.5% (HV 20d: 20.4%). Max pain ranged from $81.00 to $85.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.03.

Notable Days

2016-01-15: Highest Volume — 211 contracts
2016-01-06: Largest IV spike — 155.0% change
2016-01-08: Highest IV Rank — 63.4%
2016-01-27: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$81.34	$78.12	$84.94	$82.73	$84.94
Max Pain	$81.74	$81.00	$85.00	$85.00	$81.00
ATM IV	28.9%	16.9%	56.7%	42.2%	20.6%
Expected Move	6.6%	4.7%	10.6%	7.1%	5.9%
HV 20d	20.4%	17.8%	24.7%	19.1%	24.7%
HV 60d	17.0%	15.7%	18.6%	15.8%	18.6%
IV Rank	26.2%	10.1%	63.4%	43.9%	15.2%
IV Percentile	62.8%	31.0%	98.8%	94.4%	39.3%
Term Structure	-2.2%	-13.2%	6.8%	-2.6%	6.8%
VWIV	22.7%	14.6%	36.9%	29.8%	22.4%
Skew 25d	7.7%	-20.1%	35.0%	4.0%	35.0%
Skew 10d	8.2%	-16.4%	42.7%	2.4%	9.7%
Call IV 25d	22.4%	11.9%	42.1%	31.3%	11.9%
Put IV 25d	30.1%	18.1%	54.4%	35.3%	47.0%
Bid-Ask Spread %	126.82	83.14	161.96	149.63	156.62
Gamma HHI	0.17	0.13	0.22	0.19	0.13
Net GEX	-3.5K	-17.4K	12.2K	10.7K	-3.5K
Net DEX	238.1K	32.1K	494.4K	61.3K	67.5K
Net VEX	-1.8K	-2.4K	-1.2K	-1.7K	-2.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.00	1.68	0.62	0.00
Total Volume	160.526	14	211	144	14
Total OI	170.684	139	217	139	174

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
2016-01-04	$82.73	$85.00	42.2%	7.1%	19.1%	43.9%	29.8%	4.0%	-2.6%	10.7K	61.3K	-1.7K	0.62	149.63	N/A	N/A	89	55	83	56
2016-01-05	$83.59	$82.00	18.8%	4.8%	18.9%	12.7%	15.7%	4.6%	1.4%	12.2K	143.1K	-1.5K	0.58	83.14	N/A	N/A	99	57	83	65
2016-01-06	$83.21	$82.00	47.9%	6.4%	18.9%	51.6%	19.1%	17.9%	-4.2%	11.8K	32.1K	-1.9K	0.58	161.96	N/A	N/A	99	57	93	67
2016-01-07	$81.73	$82.00	22.7%	5.2%	19.8%	17.9%	14.6%	4.0%	0.3%	10.9K	173.6K	-1.4K	0.56	89.95	N/A	N/A	101	57	93	67
2016-01-08	$80.98	$82.00	56.7%	4.7%	19.6%	63.4%	15.0%	9.2%	1.1%	5.6K	203.1K	-1.4K	0.56	117.81	N/A	N/A	101	57	94	67
2016-01-11	$81.35	$82.00	35.5%	4.7%	19.7%	35.0%	15.6%	-4.4%	1.3%	4.5K	214.8K	-1.3K	0.54	128.74	N/A	N/A	106	57	94	67
2016-01-12	$80.79	$82.00	23.5%	5.9%	17.8%	19.1%	17.7%	4.0%	-3.6%	-8.8K	272.1K	-1.2K	0.82	107.88	N/A	N/A	111	91	99	67
2016-01-13	$79.16	$82.00	25.2%	7.2%	19.1%	21.3%	23.2%	3.9%	0.7%	-2.8K	242.1K	-2.0K	0.94	129.69	N/A	N/A	108	101	105	101
2016-01-14	$80.44	$82.00	26.1%	7.5%	19.7%	22.4%	30.1%	-20.1%	-0.7%	-8.8K	371.9K	-2.0K	0.94	128.35	N/A	N/A	108	101	106	111
2016-01-15	$78.76	$82.00	26.7%	7.7%	18.5%	23.3%	29.7%	4.0%	-4.1%	-11.0K	457.9K	-2.0K	0.95	149.39	N/A	N/A	108	103	106	111
2016-01-19	$79.50	$82.00	27.8%	8.0%	19.0%	24.7%	28.2%	14.0%	-5.1%	-13.2K	346.2K	-2.0K	1.68	151.65	N/A	N/A	57	96	58	96
2016-01-20	$78.12	$81.00	24.3%	7.0%	19.2%	20.1%	19.2%	2.0%	-1.3%	-15.5K	494.4K	-1.5K	1.68	111.92	N/A	N/A	57	96	66	96
2016-01-21	$78.84	$81.00	29.5%	8.5%	19.4%	27.0%	25.4%	25.7%	-8.4%	-10.7K	411.1K	-1.7K	1.68	145.86	N/A	N/A	57	96	66	96
2016-01-22	$81.44	$81.00	16.9%	4.8%	22.6%	10.1%	17.0%	2.2%	0.6%	-17.4K	316.9K	-1.9K	1.43	87.74	N/A	N/A	67	96	66	96
2016-01-25	$81.24	$81.00	20.0%	5.7%	22.1%	14.4%	18.3%	3.0%	1.0%	-10.0K	255.9K	-2.0K	1.49	102.25	N/A	N/A	65	97	76	96
2016-01-26	$82.87	$81.00	30.1%	8.6%	23.5%	27.8%	36.9%	8.1%	-11.4%	-7.6K	161.1K	-2.3K	1.49	157.22	N/A	N/A	65	97	77	97
2016-01-27	$82.86	$81.00	37.0%	10.6%	23.5%	37.1%	36.2%	26.1%	-13.2%	-5.9K	122.7K	-2.4K	1.49	152.35	N/A	N/A	65	97	77	97
2016-01-28	$82.96	$81.00	17.6%	5.1%	23.2%	11.2%	17.9%	3.2%	0.1%	-7.4K	175.8K	-2.1K	1.49	97.37	N/A	N/A	65	97	77	97
2016-01-29	$84.94	$81.00	20.6%	5.9%	24.7%	15.2%	22.4%	35.0%	6.8%	-3.5K	67.5K	-2.3K	0.00	156.62	N/A	N/A	14	0	77	97