VOO Options History — October 2011

In October 2011, VOO traded between $100.34 and $117.66. ATM implied volatility averaged 33.3%, placing in the 47.3% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 3.0% (HV 20d: 30.3%). Max pain ranged from $102.00 to $112.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.08.

Notable Days

2011-10-24: Highest Volume — 16 contracts
2011-10-12: Largest IV spike — 106.1% change
2011-10-12: Highest IV Rank — 82.6%
2011-10-06: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.42	$100.34	$117.66	$100.34	$114.64
Max Pain	$104.48	$102.00	$112.00	$112.00	$104.00
ATM IV	33.3%	20.9%	55.0%	43.9%	26.3%
Expected Move	8.8%	5.8%	12.9%	12.6%	7.5%
HV 20d	30.3%	27.3%	32.9%	30.0%	27.3%
HV 60d	35.4%	34.0%	36.6%	34.0%	35.6%
IV Rank	47.3%	27.2%	82.6%	64.6%	36.1%
IV Percentile	75.1%	57.6%	98.1%	90.2%	63.6%
Term Structure	-0.6%	-17.2%	15.6%	-1.1%	-1.3%
VWIV	30.3%	21.2%	41.9%	41.9%	21.2%
Skew 25d	5.4%	0.6%	12.5%	0.6%	8.1%
Skew 10d	14.6%	-11.2%	24.7%	-11.2%	21.8%
Call IV 25d	35.8%	18.2%	62.2%	61.0%	22.0%
Put IV 25d	41.2%	24.9%	63.5%	61.6%	30.0%
Bid-Ask Spread %	97.45	23.31	157.71	144.46	48.64
Gamma HHI	0.44	0.21	0.93	0.55	0.23
Net GEX	23.6K	7.3K	69.6K	8.1K	18.9K
Net DEX	-236.4K	-329.6K	-52.1K	-52.1K	-256.0K
Net VEX	-629	-772	-70	-293	-760
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.08	0.00	0.33	0.00	0.00
Total Volume	2.333	0	16	5	0
Total OI	54.81	28	63	46	53

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
2011-10-03	$100.34	$112.00	43.9%	12.6%	30.0%	64.6%	0.0%	0.6%	-1.1%	8.1K	-52.1K	-293	0.00	144.46	5	0	44	2
2011-10-04	$102.54	$112.00	44.1%	12.7%	31.3%	65.0%	0.0%	2.2%	-1.3%	11.5K	-97.3K	-419	0.00	145.89	11	0	49	2
2011-10-05	$104.58	$112.00	44.5%	12.8%	30.4%	65.6%	0.0%	1.4%	-3.9%	15.3K	-183.2K	-755	0.00	148.74	0	0	59	2
2011-10-06	$106.60	$112.00	45.0%	12.9%	31.2%	66.4%	0.0%	1.0%	-17.2%	17.5K	-213.9K	-768	0.00	151.89	0	0	59	2
2011-10-07	$105.78	$102.00	32.0%	9.3%	29.8%	45.3%	0.0%	10.5%	-0.9%	17.7K	-147.2K	-639	0.00	23.31	0	0	59	2
2011-10-10	$109.36	$102.00	50.4%	5.8%	32.0%	75.1%	0.0%	1.4%	15.6%	22.4K	-256.7K	-744	0.00	154.38	0	0	59	2
2011-10-11	$109.32	$102.00	26.7%	8.3%	31.9%	36.7%	0.0%	10.0%	0.3%	29.5K	-210.1K	-674	0.00	23.87	0	0	59	2
2011-10-12	$110.32	$102.00	55.0%	8.1%	31.7%	82.6%	0.0%	1.5%	-2.1%	21.8K	-285.9K	-737	0.00	154.27	0	0	59	2
2011-10-13	$110.16	$102.00	28.6%	8.2%	31.1%	39.8%	0.0%	1.5%	0.6%	21.7K	-279.4K	-719	0.00	157.20	0	0	59	2
2011-10-14	$111.98	$102.00	28.5%	8.2%	31.6%	39.7%	0.0%	3.6%	-0.7%	22.8K	-324.4K	-713	0.00	155.57	0	0	59	2
2011-10-17	$109.88	$102.00	30.4%	8.7%	32.1%	42.6%	0.0%	1.3%	-1.0%	21.7K	-275.6K	-646	0.00	157.71	0	0	59	2
2011-10-18	$112.08	$102.00	30.3%	8.7%	32.9%	42.5%	41.9%	3.8%	-0.9%	22.9K	-325.2K	-631	0.33	156.34	2	1	59	2
2011-10-19	$110.68	$102.00	30.3%	8.7%	31.2%	42.6%	0.0%	12.5%	-1.5%	47.2K	-238.5K	-608	0.00	25.92	0	0	61	2
2011-10-20	$111.18	$102.00	28.7%	8.2%	28.6%	40.0%	0.0%	11.3%	-1.0%	69.6K	-238.1K	-583	0.00	27.48	0	0	61	2
2011-10-21	$113.32	$102.00	26.0%	7.5%	29.0%	35.6%	26.9%	10.3%	0.0%	50.0K	-319.9K	-70	0.20	35.22	3	1	42	2
2011-10-24	$114.76	$104.00	32.8%	9.4%	28.3%	46.6%	38.1%	1.4%	4.0%	7.3K	-197.0K	-507	0.00	154.95	16	0	27	1
2011-10-25	$112.54	$104.00	27.6%	7.9%	29.3%	38.2%	29.9%	10.8%	-0.8%	15.4K	-212.5K	-694	0.00	31.98	0	5	42	1
2011-10-26	$113.62	$104.00	25.2%	7.2%	28.2%	34.3%	23.6%	8.1%	-0.2%	14.1K	-216.9K	-739	0.00	44.11	1	0	42	6
2011-10-27	$117.54	$104.00	21.3%	6.1%	30.1%	27.9%	21.2%	5.4%	0.2%	18.5K	-304.1K	-737	0.00	53.94	4	0	43	6
2011-10-28	$117.66	$104.00	20.9%	6.0%	28.2%	27.2%	0.0%	6.7%	0.6%	21.3K	-329.6K	-772	0.00	50.69	0	0	47	6
2011-10-31	$114.64	$104.00	26.3%	7.5%	27.3%	36.1%	0.0%	8.1%	-1.3%	18.9K	-256.0K	-760	0.00	48.64	0	0	47	6