VOX Options History — December 2016

In December 2016, VOX traded between $93.52 and $101.44. ATM implied volatility averaged 26.9%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 11.8% (HV 20d: 15.1%). Max pain ranged from $90.00 to $97.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.78.

Notable Days

2016-12-27: Highest Volume — 209 contracts
2016-12-05: Largest IV spike — 187.9% change
2016-12-13: Highest IV Rank — 71.4%
2016-12-28: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$98.47	$93.52	$101.44	$93.52	$99.89
Max Pain	$94.29	$90.00	$97.00	$90.00	$97.00
ATM IV	26.9%	9.9%	51.3%	22.6%	30.9%
Expected Move	5.7%	2.8%	9.6%	6.5%	8.9%
HV 20d	15.1%	13.7%	16.6%	15.4%	13.9%
HV 60d	15.3%	14.6%	17.3%	17.3%	15.1%
IV Rank	30.4%	1.9%	71.4%	23.2%	37.2%
IV Percentile	61.4%	1.6%	98.8%	54.8%	80.2%
Term Structure	-5.9%	-16.0%	12.6%	-4.1%	-7.1%
VWIV	21.2%	11.4%	37.3%	19.8%	37.3%
Skew 25d	5.1%	-7.2%	22.6%	-1.8%	2.2%
Skew 10d	5.0%	-12.3%	42.4%	-11.1%	41.8%
Call IV 25d	19.1%	7.0%	36.7%	33.2%	36.7%
Put IV 25d	24.2%	10.3%	38.9%	31.5%	38.9%
Bid-Ask Spread %	139.41	125.33	148.19	140.80	137.15
Gamma HHI	0.26	0.15	0.48	0.18	0.19
Net GEX	41.5K	12.3K	82.3K	36.8K	13.5K
Net DEX	-460.6K	-686.2K	-114.6K	-114.6K	-322.2K
Net VEX	-1.4K	-3.0K	-926	-1.2K	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.36	2.30	0.46	2.30
Total Volume	150.286	117	209	117	145
Total OI	169.524	134	224	135	222

Daily Data (21 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
2016-12-01	$93.52	$90.00	22.6%	6.5%	15.4%	23.2%	19.8%	-1.8%	-4.1%	36.8K	-114.6K	-1.2K	0.46	140.80	N/A	N/A	80	37	80	55
2016-12-02	$93.97	$90.00	13.6%	3.9%	15.3%	8.1%	27.7%	4.9%	-1.6%	32.9K	-127.9K	-1.2K	0.46	146.01	N/A	N/A	80	37	80	55
2016-12-05	$94.85	$93.00	39.2%	6.0%	15.4%	51.1%	24.7%	3.5%	-12.9%	18.0K	-226.3K	-1.3K	0.46	136.60	N/A	N/A	80	37	80	55
2016-12-06	$95.64	$93.00	40.6%	5.5%	15.4%	53.4%	24.0%	6.4%	-8.2%	26.6K	-249.0K	-1.3K	0.54	148.19	N/A	N/A	105	57	80	55
2016-12-07	$98.06	$93.00	24.6%	3.7%	16.6%	26.5%	11.4%	2.3%	1.9%	72.3K	-507.2K	-1.0K	0.55	140.51	N/A	N/A	103	57	105	75
2016-12-08	$98.10	$93.00	43.8%	4.4%	16.4%	58.7%	18.8%	4.5%	-2.8%	61.5K	-473.0K	-1.3K	0.55	137.49	N/A	N/A	103	57	103	75
2016-12-09	$98.16	$93.00	37.6%	3.8%	13.7%	48.4%	20.3%	17.8%	5.1%	36.1K	-508.5K	-1.3K	0.54	140.76	N/A	N/A	105	57	103	75
2016-12-12	$98.03	$93.00	24.8%	5.6%	13.9%	26.8%	16.1%	12.5%	-9.5%	38.4K	-561.4K	-1.3K	0.52	144.67	N/A	N/A	110	57	105	75
2016-12-13	$98.99	$93.00	51.3%	2.9%	13.8%	71.4%	13.3%	3.0%	3.4%	66.2K	-685.4K	-926	0.56	125.33	N/A	N/A	101	57	110	75
2016-12-14	$97.60	$97.00	21.7%	6.2%	15.2%	21.7%	22.7%	3.1%	-12.1%	33.3K	-420.9K	-1.4K	0.56	145.17	N/A	N/A	101	57	105	75
2016-12-15	$98.13	$97.00	22.2%	6.4%	15.2%	22.5%	24.3%	4.4%	-15.3%	35.0K	-425.8K	-1.3K	0.56	146.56	N/A	N/A	101	57	105	75
2016-12-16	$98.17	$92.00	23.7%	6.8%	15.2%	25.1%	22.0%	3.1%	-6.3%	29.2K	-556.4K	-1.5K	0.56	131.50	N/A	N/A	101	57	105	70
2016-12-19	$99.74	$92.00	9.9%	2.8%	15.9%	1.9%	11.4%	-7.2%	12.6%	73.9K	-560.1K	-942	0.36	143.41	N/A	N/A	91	33	88	46
2016-12-20	$100.29	$92.00	13.5%	3.9%	15.7%	7.9%	12.7%	2.8%	0.1%	55.6K	-600.9K	-1.0K	0.49	129.25	N/A	N/A	90	44	88	46
2016-12-21	$100.08	$97.00	26.9%	7.7%	15.2%	30.5%	25.0%	-3.8%	-11.4%	31.7K	-492.6K	-1.2K	0.44	143.66	N/A	N/A	100	44	88	57
2016-12-22	$100.77	$97.00	22.9%	6.6%	15.2%	23.8%	16.8%	2.0%	-16.0%	82.3K	-686.2K	-942	0.46	138.53	N/A	N/A	108	50	98	57
2016-12-23	$101.16	$97.00	22.3%	6.4%	15.1%	22.7%	18.2%	4.9%	-7.7%	42.7K	-639.7K	-1.5K	0.46	139.17	N/A	N/A	108	50	106	68
2016-12-27	$101.44	$97.00	24.1%	6.9%	15.1%	25.7%	27.0%	15.4%	-13.2%	40.9K	-624.8K	-1.4K	0.94	143.36	N/A	N/A	108	101	106	68
2016-12-28	$100.48	$97.00	33.5%	9.6%	15.6%	41.4%	31.7%	22.6%	-15.8%	12.3K	-376.3K	-3.0K	2.30	132.57	N/A	N/A	44	101	105	119
2016-12-29	$100.82	$97.00	14.8%	4.2%	13.7%	10.1%	19.4%	3.6%	-2.7%	33.5K	-512.7K	-2.5K	2.30	136.95	N/A	N/A	44	101	103	119
2016-12-30	$99.89	$97.00	30.9%	8.9%	13.9%	37.2%	37.3%	2.2%	-7.1%	13.5K	-322.2K	-3.0K	2.30	137.15	N/A	N/A	44	101	103	119