VOO Options History — April 2011

Name: VOO Options Analytics - April 2011
Creator: Options Analysis Suite

In April 2011, VOO traded between $119.40 and $124.80. ATM implied volatility averaged 13.0%. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.4% (HV 20d: 10.5%). Max pain ranged from $120.00 to $120.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.00.

Notable Days

2011-04-01: Highest Volume — 4 contracts
2011-04-07: Largest IV spike — 88.6% change
2011-04-12: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$121.81	$119.40	$124.80	$121.80	$124.80
Max Pain	$120.00	$120.00	$120.00	$120.00	$120.00
ATM IV	13.0%	8.0%	16.3%	13.4%	12.2%
Expected Move	3.9%	3.3%	4.6%	3.8%	3.5%
HV 20d	10.5%	7.7%	15.0%	15.0%	8.8%
HV 60d	13.2%	13.1%	13.3%	13.3%	13.1%
Term Structure	1.8%	1.2%	4.4%	2.3%	1.3%
VWIV	13.3%	13.3%	13.3%	13.3%	13.3%
Skew 25d	4.6%	2.3%	6.9%	3.6%	2.3%
Skew 10d	5.6%	-0.5%	13.3%	4.9%	1.8%
Call IV 25d	11.5%	8.0%	14.3%	11.8%	11.3%
Put IV 25d	16.1%	13.3%	19.3%	15.4%	13.6%
Bid-Ask Spread %	62.12	11.32	119.24	87.38	84.44
Gamma HHI	0.69	0.50	1.00	1.00	0.50
Net GEX	4.9K	0	13.2K	2.1K	0
Net DEX	-11.2K	-33.8K	0	-12.7K	0
Net VEX	-11	-42	0	-13	0
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	0.2	0	4	4	0
Total OI	2.3	0	5	2	0

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	Spread %	Call Vol	Call OI
2011-04-01	$121.80	$120.00	13.4%	3.8%	15.0%	0.0%	13.3%	3.6%	2.3%	2.1K	-12.7K	-13	87.38	4	2
2011-04-04	$121.86	$0.00	14.1%	4.5%	14.7%	0.0%	0.0%	4.5%	1.5%	8.9K	-33.3K	-42	49.08	0	5
2011-04-05	$121.86	$0.00	12.7%	4.3%	14.3%	0.0%	0.0%	4.3%	1.9%	10.2K	-33.8K	-40	50.95	0	5
2011-04-06	$122.22	$0.00	8.0%	3.7%	14.3%	0.0%	0.0%	6.4%	0.0%	2.3K	-14.4K	-9	11.32	0	2
2011-04-07	$122.00	$0.00	15.1%	3.8%	12.5%	0.0%	0.0%	6.9%	0.0%	2.4K	-13.9K	-9	11.54	0	2
2011-04-08	$121.54	$0.00	13.1%	4.4%	12.5%	0.0%	0.0%	4.9%	2.0%	11.7K	-30.5K	-34	51.43	0	5
2011-04-11	$121.12	$120.00	13.9%	4.0%	12.3%	0.0%	0.0%	0.0%	0.0%	13.2K	-26.1K	-26	119.24	0	5
2011-04-12	$120.24	$0.00	16.3%	4.6%	11.9%	0.0%	0.0%	6.0%	1.5%	11.3K	-16.9K	-19	53.69	0	5
2011-04-13	$120.28	$0.00	14.7%	4.4%	9.2%	0.0%	0.0%	5.8%	1.9%	11.8K	-14.0K	-13	58.67	0	5
2011-04-14	$120.30	$120.00	11.8%	3.4%	8.3%	0.0%	0.0%	0.0%	0.0%	11.9K	-12.7K	-8	62.96	0	5
2011-04-15	$120.72	$120.00	11.5%	3.3%	8.3%	0.0%	0.0%	0.0%	0.0%	12.8K	-15.7K	-5	24.18	0	5
2011-04-18	$119.40	$0.00	14.3%	4.1%	7.7%	0.0%	0.0%	6.7%	1.3%	0	0	0	52.97	0	0
2011-04-19	$120.14	$0.00	12.0%	3.4%	7.9%	0.0%	0.0%	6.6%	4.4%	0	0	0	70.97	0	0
2011-04-20	$121.76	$0.00	14.8%	4.2%	9.1%	0.0%	0.0%	4.8%	0.0%	0	0	0	74.30	0	0
2011-04-21	$122.30	$0.00	12.5%	3.6%	8.7%	0.0%	0.0%	3.3%	1.5%	0	0	0	69.59	0	0
2011-04-25	$122.18	$0.00	12.8%	3.7%	8.6%	0.0%	0.0%	3.6%	1.3%	0	0	0	72.21	0	0
2011-04-26	$123.24	$0.00	12.1%	3.5%	9.0%	0.0%	0.0%	2.6%	1.5%	0	0	0	78.85	0	0
2011-04-27	$124.04	$0.00	12.4%	3.6%	9.0%	0.0%	0.0%	3.2%	1.2%	0	0	0	82.56	0	0
2011-04-28	$124.44	$0.00	11.8%	3.4%	8.8%	0.0%	0.0%	2.7%	1.4%	0	0	0	76.05	0	0
2011-04-29	$124.80	$0.00	12.2%	3.5%	8.8%	0.0%	0.0%	2.3%	1.3%	0	0	0	84.44	0	0