VOX Options History — April 2017

In April 2017, VOX traded between $94.69 and $98.91. ATM implied volatility averaged 19.7%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 8.3% (HV 20d: 11.4%). Max pain ranged from $92.00 to $95.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.72.

Notable Days

2017-04-21: Highest Volume — 231 contracts
2017-04-06: Largest IV spike — 194.8% change
2017-04-07: Highest IV Rank — 45.8%
2017-04-03: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$97.02	$94.69	$98.91	$94.69	$96.96
Max Pain	$94.21	$92.00	$95.00	$94.00	$92.00
ATM IV	19.7%	8.0%	36.0%	29.7%	27.2%
Expected Move	5.2%	2.9%	8.5%	8.5%	7.8%
HV 20d	11.4%	9.1%	13.1%	13.1%	10.9%
HV 60d	12.5%	12.1%	12.7%	12.3%	12.1%
IV Rank	19.1%	0.0%	45.8%	35.3%	31.8%
IV Percentile	41.5%	0.0%	91.7%	79.8%	72.6%
Term Structure	-3.6%	-17.5%	7.0%	-11.8%	-6.6%
VWIV	18.1%	8.7%	32.7%	32.7%	26.3%
Skew 25d	7.2%	-16.0%	32.3%	1.8%	32.3%
Skew 10d	7.9%	-25.1%	34.3%	19.1%	34.3%
Call IV 25d	13.8%	6.6%	38.7%	38.7%	8.2%
Put IV 25d	21.0%	11.1%	40.5%	40.4%	40.5%
Bid-Ask Spread %	139.30	103.44	168.66	149.93	168.66
Gamma HHI	0.28	0.19	0.39	0.21	0.35
Net GEX	-82.2K	-224.5K	-29.5K	-29.5K	-83.9K
Net DEX	605.8K	364.4K	788.0K	783.3K	378.0K
Net VEX	-6.3K	-7.2K	-5.3K	-7.2K	-5.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.33	1.95	0.39	1.48
Total Volume	162.105	55	231	195	57
Total OI	403.789	310	458	435	310

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
2017-04-03	$94.69	$94.00	29.7%	8.5%	13.1%	35.3%	32.7%	1.8%	-11.8%	-29.5K	783.3K	-7.2K	0.39	149.93	N/A	N/A	140	55	165	270
2017-04-04	$96.22	$94.00	11.8%	3.4%	13.1%	5.3%	22.1%	20.1%	3.9%	-49.8K	763.2K	-6.8K	0.36	144.87	N/A	N/A	140	50	165	265
2017-04-05	$96.02	$94.00	11.1%	3.2%	13.1%	4.1%	26.4%	16.5%	-3.1%	-83.4K	652.0K	-6.7K	0.36	144.40	N/A	N/A	140	50	165	260
2017-04-06	$95.79	$95.00	32.6%	3.9%	13.1%	40.2%	16.2%	6.1%	7.0%	-50.5K	694.3K	-6.8K	0.33	127.67	N/A	N/A	140	46	165	260
2017-04-07	$96.38	$95.00	36.0%	6.9%	13.1%	45.8%	16.3%	5.4%	-6.3%	-50.7K	570.3K	-7.1K	0.33	149.26	N/A	N/A	140	46	165	261
2017-04-10	$96.65	$95.00	22.5%	7.0%	13.0%	23.2%	16.2%	7.0%	-5.0%	-57.5K	625.9K	-6.5K	0.33	132.54	N/A	N/A	141	46	165	261
2017-04-11	$96.76	$95.00	8.0%	2.9%	12.6%	0.0%	12.0%	2.4%	1.8%	-89.7K	723.1K	-6.3K	0.37	106.08	N/A	N/A	141	52	166	261
2017-04-12	$97.33	$95.00	13.8%	4.0%	11.5%	9.5%	17.2%	4.5%	0.4%	-56.1K	515.9K	-6.8K	0.37	153.99	N/A	N/A	141	52	166	261
2017-04-13	$96.85	$95.00	11.8%	3.4%	11.6%	6.2%	14.4%	2.5%	2.5%	-71.4K	611.8K	-6.4K	0.37	148.80	N/A	N/A	141	52	166	261
2017-04-17	$97.15	$95.00	26.5%	7.6%	11.4%	30.5%	16.1%	18.4%	-11.2%	-78.2K	571.6K	-6.2K	0.37	117.37	N/A	N/A	141	52	166	262
2017-04-18	$97.79	$95.00	11.3%	3.2%	11.6%	5.4%	8.7%	0.6%	-0.8%	-224.5K	673.4K	-6.1K	0.51	114.42	N/A	N/A	141	72	166	292
2017-04-19	$98.06	$95.00	10.8%	3.1%	11.0%	4.6%	21.5%	3.5%	2.4%	-52.1K	398.0K	-6.4K	0.51	153.12	N/A	N/A	141	72	166	292
2017-04-20	$97.72	$95.00	11.8%	3.4%	9.1%	6.2%	15.0%	5.8%	5.6%	-203.6K	606.9K	-6.1K	0.60	127.68	N/A	N/A	141	85	166	292
2017-04-21	$96.79	$95.00	21.1%	6.0%	9.8%	21.6%	19.8%	3.9%	-7.6%	-91.2K	788.0K	-5.9K	0.58	152.00	N/A	N/A	146	85	166	288
2017-04-24	$97.22	$95.00	10.1%	2.9%	9.8%	3.3%	9.9%	3.1%	0.2%	-99.0K	651.4K	-5.7K	1.50	103.44	N/A	N/A	22	33	72	243
2017-04-25	$98.04	$92.00	27.4%	7.8%	9.2%	32.0%	24.7%	15.7%	-10.7%	-63.2K	636.1K	-5.9K	1.95	154.91	N/A	N/A	22	43	75	247
2017-04-26	$98.91	$92.00	26.4%	7.6%	9.4%	30.5%	12.4%	3.9%	-11.2%	-58.4K	502.8K	-5.6K	1.48	153.91	N/A	N/A	23	34	75	236
2017-04-27	$98.06	$92.00	24.8%	7.1%	10.2%	27.8%	15.7%	-16.0%	-17.5%	-68.7K	364.4K	-5.4K	1.48	143.62	N/A	N/A	23	34	76	234
2017-04-28	$96.96	$92.00	27.2%	7.8%	10.9%	31.8%	26.3%	32.3%	-6.6%	-83.9K	378.0K	-5.3K	1.48	168.66	N/A	N/A	23	34	76	234