VOX Options History — June 2016

In June 2016, VOX traded between $91.39 and $98.17. ATM implied volatility averaged 21.6%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 9.5% (HV 20d: 12.1%). Max pain ranged from $86.00 to $90.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.09.

Notable Days

2016-06-10: Highest Volume — 145 contracts
2016-06-30: Largest IV spike — 281.0% change
2016-06-30: Highest IV Rank — 35.6%
2016-06-30: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$93.88	$91.39	$98.17	$91.39	$98.17
Max Pain	$86.18	$86.00	$90.00	$90.00	$86.00
ATM IV	21.6%	9.5%	36.0%	34.7%	36.0%
Expected Move	6.0%	2.7%	10.3%	9.9%	10.3%
HV 20d	12.1%	9.3%	15.2%	13.0%	15.2%
HV 60d	13.3%	12.4%	14.3%	13.2%	14.3%
IV Rank	16.3%	0.0%	35.6%	34.0%	35.6%
IV Percentile	41.3%	0.0%	86.9%	81.7%	86.9%
Term Structure	-6.5%	-26.0%	3.6%	-9.9%	-17.3%
VWIV	24.3%	12.3%	36.2%	32.2%	36.2%
Skew 25d	7.7%	-14.0%	35.4%	3.5%	8.6%
Skew 10d	10.3%	-14.6%	32.3%	3.5%	13.2%
Call IV 25d	20.9%	9.2%	45.5%	45.5%	41.9%
Put IV 25d	28.6%	11.2%	50.5%	49.0%	50.5%
Bid-Ask Spread %	127.92	102.86	163.96	163.96	133.64
Gamma HHI	0.13	0.10	0.20	0.12	0.16
Net GEX	39.5K	26.5K	57.7K	28.6K	45.2K
Net DEX	-863.7K	-1.3M	-556.6K	-572.1K	-1.3M
Net VEX	-2.6K	-3.2K	-1.5K	-3.2K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.88	1.34	1.33	0.91
Total Volume	121.409	103	145	112	130
Total OI	248.364	226	268	233	268

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
2016-06-01	$91.39	$90.00	34.7%	9.9%	13.0%	34.0%	32.2%	3.5%	-9.9%	28.6K	-572.1K	-3.2K	1.33	163.96	N/A	N/A	48	64	139	94
2016-06-02	$92.07	$86.00	23.3%	3.0%	13.3%	18.7%	17.8%	3.9%	2.8%	32.8K	-634.3K	-3.1K	1.15	116.73	N/A	N/A	48	55	139	94
2016-06-03	$91.54	$86.00	25.4%	6.1%	12.1%	21.5%	24.5%	1.9%	-9.3%	29.2K	-556.6K	-3.2K	1.15	133.27	N/A	N/A	48	55	139	94
2016-06-06	$91.72	$86.00	15.4%	4.2%	12.1%	8.2%	19.3%	4.7%	0.4%	31.6K	-601.6K	-3.0K	1.06	104.60	N/A	N/A	52	55	139	94
2016-06-07	$93.03	$86.00	13.1%	5.4%	13.1%	5.1%	20.3%	5.0%	-11.5%	36.5K	-658.2K	-2.9K	0.89	123.89	N/A	N/A	62	55	143	94
2016-06-08	$93.11	$86.00	12.4%	3.6%	12.4%	4.2%	19.9%	-1.1%	2.4%	57.7K	-768.3K	-2.8K	0.89	123.25	N/A	N/A	62	55	152	94
2016-06-09	$93.10	$86.00	12.5%	3.6%	12.4%	4.3%	19.7%	-3.0%	-0.4%	54.6K	-736.3K	-2.9K	0.89	118.20	N/A	N/A	62	55	152	94
2016-06-10	$92.75	$86.00	28.4%	8.1%	12.4%	25.5%	24.1%	25.9%	-12.1%	47.1K	-790.3K	-2.4K	1.34	131.32	N/A	N/A	62	83	152	94
2016-06-13	$92.34	$86.00	20.8%	5.9%	12.4%	15.3%	21.9%	1.7%	-0.8%	50.6K	-661.4K	-2.9K	1.34	113.50	N/A	N/A	62	83	152	100
2016-06-14	$93.00	$86.00	25.7%	7.4%	12.4%	21.9%	30.0%	10.8%	-12.5%	36.5K	-622.4K	-2.9K	1.34	139.09	N/A	N/A	62	83	152	100
2016-06-15	$93.10	$86.00	26.9%	7.7%	12.4%	23.6%	32.1%	28.8%	-14.8%	39.2K	-716.4K	-2.8K	1.34	140.27	N/A	N/A	62	83	152	100
2016-06-16	$93.87	$86.00	16.8%	4.8%	9.8%	10.0%	30.9%	23.9%	1.5%	38.2K	-713.7K	-2.9K	1.34	137.30	N/A	N/A	62	83	152	100
2016-06-17	$94.30	$86.00	13.8%	4.0%	9.3%	6.1%	22.0%	3.7%	0.3%	31.6K	-956.5K	-2.3K	1.34	115.78	N/A	N/A	62	83	152	101
2016-06-20	$95.03	$86.00	10.5%	3.0%	9.4%	1.0%	23.3%	16.2%	3.6%	38.4K	-896.1K	-2.2K	1.02	124.88	N/A	N/A	51	52	136	90
2016-06-21	$95.29	$86.00	12.3%	3.5%	9.3%	3.4%	13.6%	0.5%	2.3%	26.5K	-1.1M	-2.0K	0.96	118.75	N/A	N/A	54	52	157	90
2016-06-22	$94.99	$86.00	23.9%	6.8%	9.3%	19.0%	22.7%	-14.0%	-8.3%	32.3K	-1.1M	-2.5K	0.88	136.71	N/A	N/A	59	52	162	90
2016-06-23	$96.50	$86.00	26.2%	7.5%	10.5%	22.1%	23.4%	5.4%	-11.5%	48.6K	-1.3M	-1.5K	0.88	132.54	N/A	N/A	59	52	169	90
2016-06-24	$94.97	$86.00	31.3%	9.0%	12.4%	29.0%	34.9%	-0.3%	-11.2%	41.1K	-1.0M	-2.7K	0.88	135.32	N/A	N/A	59	52	169	90
2016-06-27	$93.66	$86.00	30.5%	8.8%	13.6%	28.0%	25.6%	7.6%	-14.1%	37.1K	-990.7K	-2.6K	0.88	134.95	N/A	N/A	59	52	169	90
2016-06-28	$94.80	$86.00	26.2%	7.5%	14.1%	22.2%	26.9%	35.4%	-26.0%	51.5K	-1.0M	-2.6K	1.05	133.51	N/A	N/A	59	62	169	89
2016-06-29	$96.64	$86.00	9.5%	2.7%	14.6%	0.0%	12.3%	0.7%	2.8%	34.6K	-1.3M	-2.1K	1.05	102.86	N/A	N/A	59	62	169	99
2016-06-30	$98.17	$86.00	36.0%	10.3%	15.2%	35.6%	36.2%	8.6%	-17.3%	45.2K	-1.3M	-2.2K	0.91	133.64	N/A	N/A	68	62	169	99