VOO Options History — November 2011

In November 2011, VOO traded between $106.30 and $116.84. ATM implied volatility averaged 33.7%, 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 4.9% (HV 20d: 28.8%). Max pain ranged from $104.00 to $112.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.09.

Notable Days

2011-11-03: Highest Volume — 38 contracts
2011-11-03: Largest IV spike — 82.2% change
2011-11-09: Highest IV Rank — 100.0%
2011-11-03: Largest Expected Move — 14.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$112.44	$106.30	$116.84	$111.60	$114.30
Max Pain	$110.86	$104.00	$112.00	$104.00	$112.00
ATM IV	33.7%	23.4%	67.5%	31.1%	23.4%
Expected Move	8.8%	6.7%	14.8%	8.9%	6.7%
HV 20d	28.8%	25.7%	30.5%	29.1%	29.4%
HV 60d	29.7%	28.2%	33.3%	33.3%	29.7%
IV Rank	47.3%	30.4%	100.0%	43.9%	30.4%
IV Percentile	72.6%	54.1%	100.0%	75.3%	54.1%
Term Structure	-3.8%	-20.3%	1.1%	-2.5%	1.1%
VWIV	30.4%	19.5%	63.3%	24.9%	23.5%
Skew 25d	9.3%	-0.7%	19.7%	10.7%	7.3%
Skew 10d	16.3%	-10.8%	31.2%	31.2%	19.4%
Call IV 25d	29.2%	19.3%	53.2%	27.3%	19.3%
Put IV 25d	38.6%	26.6%	62.0%	38.0%	26.6%
Bid-Ask Spread %	71.05	21.48	169.03	34.13	50.83
Gamma HHI	0.28	0.18	0.52	0.18	0.20
Net GEX	15.6K	-17.1K	72.7K	14.1K	-4.9K
Net DEX	-61.6K	-533.2K	382.7K	-189.4K	11.9K
Net VEX	-2.0K	-2.7K	-718	-718	-2.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.09	0.00	22.00	22.00	0.00
Total Volume	9.095	0	38	12	3
Total OI	136.048	53	192	53	159

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
2011-11-01	$111.60	$104.00	31.1%	8.9%	29.1%	43.9%	24.9%	10.7%	-2.5%	14.1K	-189.4K	-718	22.00	34.13	1	11	47	6
2011-11-02	$113.36	$104.00	28.4%	8.1%	28.9%	39.5%	0.0%	10.3%	-1.3%	14.8K	-185.5K	-998	0.00	49.30	0	6	48	17
2011-11-03	$115.46	$104.00	51.8%	14.8%	28.8%	77.3%	19.5%	19.7%	-20.3%	16.9K	-219.8K	-1.1K	0.00	156.53	38	0	48	23
2011-11-04	$114.80	$112.00	26.5%	7.5%	28.7%	36.4%	0.0%	10.3%	-0.2%	48.2K	-306.0K	-1.4K	0.00	21.48	9	0	85	23
2011-11-07	$115.46	$112.00	35.8%	9.4%	26.6%	51.5%	0.0%	7.4%	-9.2%	30.8K	-448.4K	-1.7K	0.00	167.12	12	0	94	23
2011-11-08	$116.84	$112.00	62.0%	9.4%	26.8%	93.9%	0.0%	8.9%	-15.0%	37.0K	-533.2K	-1.8K	1.40	164.90	5	7	106	23
2011-11-09	$112.62	$112.00	67.5%	9.9%	30.2%	100.0%	0.0%	4.7%	-10.0%	36.3K	-282.2K	-2.0K	0.00	168.63	0	5	106	30
2011-11-10	$113.64	$112.00	27.2%	7.8%	30.3%	36.4%	0.0%	12.3%	-0.2%	43.3K	-213.0K	-1.9K	0.00	22.04	0	7	106	35
2011-11-11	$115.86	$112.00	25.0%	7.2%	30.5%	33.0%	0.0%	9.3%	0.5%	72.7K	-317.3K	-2.2K	1.47	44.16	9	13	106	41
2011-11-14	$114.74	$112.00	36.4%	10.4%	29.8%	51.0%	0.0%	7.2%	-10.1%	29.4K	-325.3K	-2.6K	0.00	169.03	0	0	114	54
2011-11-15	$115.34	$112.00	25.7%	7.4%	29.1%	34.1%	0.0%	10.1%	0.7%	68.2K	-202.6K	-2.5K	0.00	44.55	0	0	114	54
2011-11-16	$113.48	$112.00	27.7%	8.0%	29.4%	37.3%	0.0%	11.7%	-0.1%	24.2K	-76.4K	-2.3K	0.00	24.59	0	0	114	54
2011-11-17	$111.66	$112.00	29.7%	8.5%	30.0%	40.4%	30.3%	12.5%	-0.2%	-3.7K	-2.5K	-2.2K	0.00	26.46	0	34	114	54
2011-11-18	$111.50	$112.00	28.0%	8.0%	29.2%	37.7%	0.0%	10.2%	0.8%	-12.7K	144.4K	-2.5K	0.00	30.87	5	0	114	78
2011-11-21	$109.50	$112.00	28.8%	8.3%	29.3%	39.0%	0.0%	9.7%	-0.2%	-15.2K	288.5K	-2.3K	0.20	27.54	10	2	57	77
2011-11-22	$108.92	$112.00	29.0%	8.3%	28.7%	39.4%	0.0%	9.0%	0.5%	-14.1K	294.7K	-2.4K	0.00	32.41	0	0	67	79
2011-11-23	$106.62	$112.00	31.1%	8.9%	29.1%	42.6%	25.9%	8.5%	-0.2%	-14.7K	382.7K	-2.1K	0.00	32.09	1	0	67	79
2011-11-25	$106.30	$112.00	38.4%	11.0%	25.7%	54.2%	63.3%	-0.7%	-14.7%	-9.1K	320.6K	-2.4K	0.00	163.81	1	0	68	79
2011-11-28	$109.48	$112.00	27.9%	8.0%	28.4%	37.6%	0.0%	9.2%	0.0%	-16.2K	289.7K	-2.3K	0.00	30.17	0	0	68	79
2011-11-29	$109.80	$112.00	27.2%	7.8%	27.2%	36.5%	25.5%	8.0%	0.3%	-17.1K	275.5K	-2.3K	0.00	31.34	12	0	68	79
2011-11-30	$114.30	$112.00	23.4%	6.7%	29.4%	30.4%	23.5%	7.3%	1.1%	-4.9K	11.9K	-2.7K	0.00	50.83	3	0	80	79