VOO Options History — August 2011

In August 2011, VOO traded between $102.68 and $117.78. ATM implied volatility averaged 38.9%, placing in the 55.9% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 0.7% (HV 20d: 38.2%). Max pain ranged from $108.00 to $128.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 0.02.

Notable Days

2011-08-26: Highest Volume — 29 contracts
2011-08-04: Largest IV spike — 152.2% change
2011-08-24: Highest IV Rank — 73.7%
2011-08-22: Largest Expected Move — 15.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$108.61	$102.68	$117.78	$117.78	$111.68
Max Pain	$118.43	$108.00	$128.00	$114.00	$128.00
ATM IV	38.9%	21.2%	65.8%	21.9%	27.5%
Expected Move	10.1%	6.1%	15.5%	6.3%	7.9%
HV 20d	38.2%	14.5%	49.1%	14.5%	48.4%
HV 60d	25.8%	15.1%	30.6%	15.1%	30.6%
IV Rank	55.9%	37.9%	73.7%	73.7%	37.9%
IV Percentile	87.2%	80.2%	94.4%	94.4%	80.2%
Term Structure	-5.3%	-21.2%	3.3%	-2.8%	-0.8%
VWIV	26.8%	17.2%	33.2%	24.4%	29.3%
Skew 25d	6.3%	-8.1%	16.5%	6.6%	7.8%
Skew 10d	11.0%	-21.3%	29.3%	15.1%	18.6%
Call IV 25d	35.0%	18.5%	73.1%	18.5%	24.5%
Put IV 25d	41.3%	24.2%	65.0%	25.1%	32.3%
Bid-Ask Spread %	115.09	45.25	200.00	46.58	51.06
Gamma HHI	0.55	0.31	1.00	0.44	0.88
Net GEX	556	-3.9K	11.8K	-1.3K	11.8K
Net DEX	5.6K	-137.2K	41.2K	13.7K	-135.4K
Net VEX	-114	-503	-18	-173	-470
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.02	0.00	0.10	0.00	0.00
Total Volume	2.13	0	29	0	2
Total OI	16.043	2	39	19	39

Daily Data (23 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 Vol	Put Vol	Call OI	Put OI
2011-08-01	$117.78	$114.00	21.9%	6.3%	14.5%	0.0%	0.0%	6.6%	-2.8%	-1.3K	13.7K	-173	0.00	46.58	0	0	12	7
2011-08-02	$114.84	$114.00	24.2%	6.9%	16.7%	0.0%	24.4%	5.5%	-2.6%	-3.9K	32.1K	-134	0.00	45.25	0	6	12	7
2011-08-03	$115.42	$114.00	21.2%	6.1%	16.9%	0.0%	24.2%	5.4%	-1.4%	-735	11.5K	-112	0.00	47.90	0	2	12	4
2011-08-04	$110.02	$114.00	53.4%	15.3%	22.5%	0.0%	0.0%	-8.1%	-21.2%	166	20.8K	-145	0.00	167.08	0	0	12	5
2011-08-05	$109.78	$128.00	55.2%	9.4%	22.5%	0.0%	0.0%	-5.9%	-5.7%	64	21.3K	-143	0.00	161.13	1	0	12	5
2011-08-08	$102.74	$128.00	51.0%	9.6%	30.9%	0.0%	0.0%	6.8%	-3.2%	-658	41.2K	-52	0.00	90.36	0	0	12	5
2011-08-09	$107.34	$128.00	65.8%	10.0%	36.0%	0.0%	0.0%	3.6%	-9.3%	-16	26.2K	-113	0.00	154.25	0	0	12	5
2011-08-10	$102.68	$128.00	50.3%	10.3%	38.3%	0.0%	17.2%	16.5%	-2.6%	-559	40.4K	-56	0.00	89.36	0	7	12	5
2011-08-11	$107.18	$112.00	35.9%	10.3%	42.4%	0.0%	0.0%	3.6%	-10.0%	574	13.7K	-117	0.00	153.71	0	0	12	4
2011-08-12	$108.04	$112.00	31.6%	9.1%	42.5%	0.0%	0.0%	12.3%	-2.8%	-409	22.7K	-73	0.00	57.27	0	0	12	4
2011-08-15	$110.26	$112.00	26.8%	7.7%	43.4%	0.0%	0.0%	9.5%	-1.4%	-527	20.7K	-73	0.00	64.83	0	0	12	4
2011-08-16	$109.32	$112.00	26.9%	7.7%	42.8%	0.0%	0.0%	10.1%	-1.4%	-676	23.0K	-69	0.00	63.64	0	0	12	4
2011-08-17	$109.44	$112.00	25.6%	7.3%	42.8%	0.0%	0.0%	9.1%	-0.4%	-882	23.9K	-63	0.00	68.27	0	0	12	4
2011-08-18	$104.90	$128.00	51.4%	14.8%	44.2%	0.0%	0.0%	0.0%	0.0%	192	-1.9K	-21	0.00	200.00	0	0	2	0
2011-08-19	$102.90	$112.00	38.5%	11.0%	44.2%	0.0%	0.0%	15.3%	-4.1%	-664	29.7K	-39	0.00	65.14	0	0	12	4
2011-08-22	$102.98	$128.00	53.9%	15.5%	44.3%	0.0%	0.0%	0.0%	0.0%	162	-1.5K	-18	0.00	200.00	0	0	2	0
2011-08-23	$106.54	$112.00	30.8%	8.8%	46.8%	0.0%	0.0%	12.1%	-1.2%	-1.2K	28.7K	-45	0.00	69.49	1	0	12	4
2011-08-24	$108.00	$128.00	49.5%	14.2%	47.1%	73.7%	0.0%	0.0%	0.0%	238	-2.5K	-26	0.00	200.00	0	0	2	0
2011-08-25	$106.38	$112.00	37.6%	10.8%	47.2%	54.4%	0.0%	3.4%	-12.7%	-186	21.3K	-73	0.00	149.40	0	0	12	4
2011-08-26	$107.78	$112.00	29.3%	8.4%	47.7%	41.0%	33.2%	3.2%	3.3%	-235	19.7K	-79	0.10	150.61	26	3	12	4
2011-08-29	$110.92	$108.00	39.7%	11.4%	49.1%	57.8%	32.3%	3.3%	-20.3%	11.3K	-137.2K	-503	0.00	151.75	1	0	38	1
2011-08-30	$111.12	$128.00	47.6%	13.6%	48.4%	70.6%	0.0%	0.0%	0.0%	288	-3.3K	-29	0.00	200.00	0	0	2	0
2011-08-31	$111.68	$128.00	27.5%	7.9%	48.4%	37.9%	29.3%	7.8%	-0.8%	11.8K	-135.4K	-470	0.00	51.06	2	0	38	1