VOO Options History — September 2011

In September 2011, VOO traded between $103.52 and $111.70. ATM implied volatility averaged 33.7%, placing in the 48.1% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 1.7% (HV 20d: 32.0%). Max pain ranged from $110.00 to $128.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.30.

Notable Days

2011-09-02: Highest Volume — 11 contracts
2011-09-13: Largest IV spike — 363.5% change
2011-09-09: Highest IV Rank — 97.1%
2011-09-12: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$107.65	$103.52	$111.70	$110.60	$103.52
Max Pain	$113.47	$110.00	$128.00	$110.00	$112.00
ATM IV	33.7%	11.6%	64.0%	43.4%	25.1%
Expected Move	9.6%	4.2%	15.6%	12.4%	7.2%
HV 20d	32.0%	27.0%	46.3%	45.4%	29.5%
HV 60d	32.1%	30.6%	33.5%	30.6%	33.5%
IV Rank	48.1%	12.2%	97.1%	63.8%	34.0%
IV Percentile	76.7%	7.2%	99.3%	90.9%	68.4%
Term Structure	-0.4%	-17.5%	37.2%	-17.5%	-7.7%
VWIV	33.6%	29.4%	42.0%	29.5%	29.4%
Skew 25d	7.5%	1.2%	12.9%	3.0%	2.5%
Skew 10d	13.9%	-4.2%	30.4%	10.2%	3.7%
Call IV 25d	34.5%	23.3%	59.4%	59.4%	52.3%
Put IV 25d	42.1%	31.8%	62.4%	62.4%	54.8%
Bid-Ask Spread %	106.73	26.34	200.00	152.74	200.00
Gamma HHI	0.70	0.40	1.00	0.66	0.79
Net GEX	11.2K	227	22.0K	12.4K	1.3K
Net DEX	-90.5K	-204.5K	-2.1K	-140.1K	-11.7K
Net VEX	-347	-555	-22	-504	-87
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.30	0.00	1.20	1.20	0.00
Total Volume	1.143	0	11	0	0
Total OI	36.19	2	51	40	6

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 Vol	Put Vol	Call OI	Put OI
2011-09-01	$110.60	$110.00	43.4%	12.4%	45.4%	63.8%	0.0%	3.0%	-17.5%	12.4K	-140.1K	-504	0.00	152.74	0	0	39	1
2011-09-02	$107.74	$110.00	29.2%	8.4%	46.3%	40.7%	29.5%	8.7%	-0.9%	12.2K	-91.0K	-418	1.20	85.58	5	6	39	1
2011-09-06	$107.00	$112.00	54.2%	9.4%	39.5%	81.2%	0.0%	2.2%	-7.6%	9.9K	-95.9K	-544	0.00	141.44	0	0	44	7
2011-09-07	$110.02	$112.00	28.2%	7.9%	37.7%	39.1%	0.0%	10.7%	-1.1%	15.4K	-128.0K	-555	0.00	58.81	0	0	44	7
2011-09-08	$108.86	$112.00	30.4%	8.4%	34.0%	42.6%	0.0%	10.7%	-1.6%	15.1K	-106.3K	-533	0.00	58.27	0	0	44	7
2011-09-09	$106.00	$112.00	64.0%	9.7%	32.0%	97.1%	0.0%	2.3%	-1.6%	9.6K	-80.8K	-511	0.00	139.88	0	0	44	7
2011-09-12	$106.76	$128.00	11.6%	15.6%	32.0%	12.2%	0.0%	0.0%	0.0%	1.4K	-3.5K	-23	0.00	200.00	0	0	3	0
2011-09-13	$107.64	$128.00	53.6%	15.4%	31.2%	80.4%	0.0%	0.0%	0.0%	227	-2.1K	-22	0.00	200.00	0	0	2	0
2011-09-14	$109.16	$112.00	26.3%	8.6%	31.5%	36.1%	0.0%	9.9%	-1.5%	22.0K	-143.7K	-398	0.00	35.10	0	0	44	1
2011-09-15	$111.04	$112.00	27.2%	7.8%	32.1%	37.5%	0.0%	9.0%	0.7%	20.1K	-187.7K	-402	0.00	34.84	0	0	44	1
2011-09-16	$111.70	$112.00	27.0%	7.7%	27.8%	37.2%	0.0%	8.1%	0.2%	15.2K	-204.5K	-394	0.00	38.30	5	0	44	1
2011-09-19	$110.66	$0.00	14.6%	4.2%	27.0%	17.1%	0.0%	0.0%	37.2%	281	-2.8K	-24	0.00	200.00	0	0	2	0
2011-09-20	$110.48	$112.00	29.0%	8.3%	27.0%	40.5%	0.0%	10.3%	-0.3%	16.9K	-123.7K	-411	0.00	31.10	0	0	38	1
2011-09-21	$107.14	$112.00	32.0%	9.2%	27.1%	45.2%	0.0%	9.9%	-8.8%	12.3K	-98.8K	-395	0.00	146.62	0	0	38	1
2011-09-22	$103.78	$112.00	33.7%	9.7%	28.9%	48.0%	42.0%	1.2%	5.2%	9.5K	-77.3K	-340	0.00	141.29	0	1	38	1
2011-09-23	$103.68	$112.00	36.6%	10.5%	28.5%	52.7%	0.0%	12.5%	-2.1%	9.6K	-45.4K	-243	0.00	26.40	0	0	38	2
2011-09-26	$106.20	$112.00	35.4%	10.2%	29.4%	50.9%	0.0%	2.3%	1.9%	11.6K	-92.1K	-343	0.00	146.62	0	0	38	2
2011-09-27	$107.42	$112.00	33.0%	9.5%	27.7%	46.9%	29.4%	11.7%	-1.3%	14.4K	-80.5K	-310	0.00	26.34	5	0	38	2
2011-09-28	$105.28	$112.00	35.9%	10.3%	28.5%	51.7%	0.0%	12.9%	-1.6%	12.8K	-69.5K	-356	0.00	29.28	2	0	43	2
2011-09-29	$106.04	$112.00	37.7%	10.8%	28.5%	54.6%	0.0%	2.5%	0.4%	13.2K	-115.0K	-466	0.00	148.74	0	0	44	2
2011-09-30	$103.52	$0.00	25.1%	7.2%	29.5%	34.0%	0.0%	0.0%	-7.7%	1.3K	-11.7K	-87	0.00	200.00	0	0	6	0