VOX Options History — July 2016

In July 2016, VOX traded between $98.22 and $101.57. ATM implied volatility averaged 24.2%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 9.1% (HV 20d: 15.0%). Max pain ranged from $86.00 to $95.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.45.

Notable Days

2016-07-08: Highest Volume — 154 contracts
2016-07-12: Largest IV spike — 361.1% change
2016-07-12: Highest IV Rank — 78.9%
2016-07-01: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$100.32	$98.22	$101.57	$98.84	$101.11
Max Pain	$89.30	$86.00	$95.00	$86.00	$95.00
ATM IV	24.2%	9.6%	68.3%	34.1%	18.9%
Expected Move	5.2%	2.8%	9.8%	9.8%	5.4%
HV 20d	15.0%	12.4%	16.7%	14.9%	12.4%
HV 60d	14.0%	13.5%	14.5%	14.0%	13.6%
IV Rank	21.2%	0.3%	78.9%	33.1%	16.1%
IV Percentile	44.8%	0.4%	99.2%	81.3%	37.7%
Term Structure	-4.2%	-14.1%	8.6%	-13.1%	-7.3%
VWIV	19.0%	8.4%	38.4%	38.4%	24.2%
Skew 25d	3.0%	-3.5%	15.0%	8.2%	4.8%
Skew 10d	7.2%	-16.0%	27.1%	21.8%	3.2%
Call IV 25d	21.7%	7.0%	39.8%	39.8%	33.1%
Put IV 25d	24.7%	10.3%	48.0%	48.0%	38.0%
Bid-Ask Spread %	134.68	102.45	149.39	135.88	145.29
Gamma HHI	0.25	0.12	0.46	0.12	0.27
Net GEX	61.4K	27.9K	107.3K	48.3K	83.4K
Net DEX	-1.3M	-1.9M	-749.7K	-1.4M	-1.0M
Net VEX	-1.8K	-2.2K	-1.3K	-2.2K	-1.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.20	0.91	0.91	0.23
Total Volume	113.05	85	154	130	95
Total OI	247.2	188	316	278	215

Daily Data (20 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
2016-07-01	$98.84	$86.00	34.1%	9.8%	14.9%	33.1%	38.4%	8.2%	-13.1%	48.3K	-1.4M	-2.2K	0.91	135.88	N/A	N/A	68	62	179	99
2016-07-05	$98.55	$88.00	43.1%	6.3%	15.1%	45.0%	22.0%	-3.5%	-14.1%	43.1K	-1.3M	-2.2K	0.91	130.41	N/A	N/A	68	62	179	99
2016-07-06	$98.82	$88.00	42.5%	4.8%	14.5%	44.3%	17.5%	-1.2%	0.9%	52.9K	-1.5M	-1.3K	0.91	136.55	N/A	N/A	68	62	179	99
2016-07-07	$98.22	$88.00	30.7%	6.6%	14.9%	28.5%	23.5%	-1.1%	-4.8%	32.9K	-1.4M	-2.2K	0.91	132.20	N/A	N/A	68	62	179	99
2016-07-08	$100.01	$88.00	24.4%	2.9%	15.8%	20.1%	11.7%	2.2%	0.6%	27.9K	-1.6M	-1.6K	0.67	111.40	N/A	N/A	92	62	179	99
2016-07-11	$100.46	$88.00	14.8%	3.4%	15.6%	7.2%	8.4%	4.6%	5.3%	62.9K	-1.7M	-1.5K	0.46	114.25	N/A	N/A	94	43	203	99
2016-07-12	$100.69	$88.00	68.3%	6.2%	15.3%	78.9%	23.8%	5.7%	-9.7%	52.9K	-1.6M	-2.0K	0.50	144.83	N/A	N/A	86	43	205	99
2016-07-13	$101.46	$88.00	23.5%	6.8%	15.3%	18.9%	23.0%	5.5%	-7.1%	43.3K	-1.8M	-2.1K	0.54	136.16	N/A	N/A	80	43	216	99
2016-07-14	$101.46	$88.00	12.7%	3.7%	15.3%	4.4%	17.1%	3.1%	-1.4%	58.3K	-1.8M	-1.9K	0.47	144.34	N/A	N/A	92	43	215	99
2016-07-15	$101.57	$88.00	14.4%	4.1%	15.3%	6.6%	14.7%	5.7%	-0.0%	58.1K	-1.9M	-1.6K	0.46	145.06	N/A	N/A	94	43	217	99
2016-07-18	$101.17	$88.00	9.6%	2.8%	15.5%	0.3%	10.5%	-0.1%	8.6%	81.6K	-920.0K	-1.4K	0.23	138.55	N/A	N/A	69	16	124	64
2016-07-19	$100.43	$88.00	15.7%	4.5%	15.9%	10.6%	22.7%	15.0%	-5.7%	55.6K	-893.6K	-1.7K	0.23	135.29	N/A	N/A	69	16	124	64
2016-07-20	$100.43	$88.00	15.9%	4.6%	15.9%	10.9%	11.9%	0.5%	-6.5%	70.7K	-840.5K	-1.7K	0.23	130.40	N/A	N/A	69	16	124	64
2016-07-21	$99.46	$88.00	24.2%	6.9%	16.4%	25.1%	26.7%	2.5%	-7.3%	44.5K	-749.7K	-2.1K	0.20	144.81	N/A	N/A	79	16	124	64
2016-07-22	$101.26	$88.00	23.4%	6.7%	16.7%	23.7%	25.0%	-2.2%	-7.0%	68.7K	-998.3K	-1.6K	0.20	149.39	N/A	N/A	79	16	142	64
2016-07-25	$101.24	$88.00	18.2%	5.2%	15.2%	14.8%	16.2%	-0.4%	-7.0%	81.1K	-1.0M	-1.8K	0.23	129.81	N/A	N/A	79	18	142	64
2016-07-26	$100.60	$95.00	27.7%	7.9%	14.3%	31.0%	20.5%	3.5%	-10.3%	60.8K	-923.2K	-2.0K	0.23	146.54	N/A	N/A	79	18	142	66
2016-07-27	$100.66	$95.00	9.7%	2.8%	14.0%	0.4%	10.2%	2.5%	0.8%	107.3K	-973.0K	-1.7K	0.23	102.45	N/A	N/A	79	18	142	66
2016-07-28	$100.02	$95.00	11.5%	3.3%	13.0%	3.4%	12.8%	5.2%	1.0%	93.9K	-855.0K	-2.0K	0.23	139.99	N/A	N/A	77	18	142	66
2016-07-29	$101.11	$95.00	18.9%	5.4%	12.4%	16.1%	24.2%	4.8%	-7.3%	83.4K	-1.0M	-1.7K	0.23	145.29	N/A	N/A	77	18	149	66