VOO Options History — December 2011

In December 2011, VOO traded between $110.66 and $115.88. ATM implied volatility averaged 28.9%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.6% (HV 20d: 25.3%). Max pain ranged from $102.00 to $112.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.70.

Notable Days

2011-12-23: Highest Volume — 10,007 contracts
2011-12-12: Largest IV spike — 319.9% change
2011-12-12: Highest IV Rank — 100.0%
2011-12-05: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$114.05	$110.66	$115.88	$114.22	$114.90
Max Pain	$107.43	$102.00	$112.00	$112.00	$112.00
ATM IV	28.9%	17.9%	93.9%	23.9%	20.0%
Expected Move	6.7%	5.1%	10.1%	6.9%	5.7%
HV 20d	25.3%	18.7%	28.9%	28.9%	18.7%
HV 60d	28.0%	25.7%	29.2%	29.2%	25.7%
IV Rank	32.5%	15.4%	100.0%	31.3%	17.8%
IV Percentile	57.0%	41.9%	100.0%	54.4%	47.9%
Term Structure	0.9%	-14.2%	3.6%	-0.9%	2.6%
VWIV	21.4%	9.0%	42.1%	42.1%	12.7%
Skew 25d	6.2%	1.8%	9.4%	6.3%	2.9%
Skew 10d	15.4%	5.9%	26.1%	19.2%	8.5%
Call IV 25d	22.2%	14.3%	44.2%	21.2%	19.2%
Put IV 25d	28.4%	21.0%	46.4%	27.4%	22.0%
Bid-Ask Spread %	64.07	33.02	149.68	51.24	75.17
Gamma HHI	0.29	0.13	0.59	0.19	0.51
Net GEX	628.5K	-81.3K	3.9M	-2.9K	3.6M
Net DEX	-1.4M	-9.1M	178.9K	2.0K	-9.1M
Net VEX	-9.1K	-44.3K	-2.0K	-2.7K	-43.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.00	5.00	0.00	0.04
Total Volume	491.095	0	10,007	0	156
Total OI	2,058.476	140	10,147	162	10,140

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
2011-12-01	$114.22	$112.00	23.9%	6.9%	28.9%	31.3%	0.0%	6.3%	-0.9%	-2.9K	2.0K	-2.7K	0.00	51.24	0	0	83	79
2011-12-02	$114.16	$112.00	24.7%	7.1%	28.1%	32.5%	0.0%	7.9%	0.3%	-2.8K	6.2K	-2.7K	0.00	54.69	0	0	83	79
2011-12-05	$115.40	$102.00	59.6%	10.1%	28.3%	87.6%	42.1%	2.4%	-14.2%	-2.7K	-116.0K	-2.8K	0.00	149.68	3	0	83	79
2011-12-06	$115.50	$102.00	24.4%	6.8%	28.3%	32.0%	27.0%	9.0%	1.8%	2.8K	-91.1K	-2.7K	1.25	34.01	4	5	85	79
2011-12-07	$115.88	$102.00	65.2%	7.7%	28.0%	96.4%	0.0%	1.8%	3.6%	9.7K	-125.2K	-2.7K	0.00	140.24	0	0	85	74
2011-12-08	$113.38	$102.00	28.4%	7.6%	25.8%	38.3%	0.0%	9.4%	1.5%	-3.8K	14.7K	-2.6K	0.00	34.42	0	0	85	74
2011-12-09	$115.30	$102.00	22.4%	6.8%	26.3%	28.9%	0.0%	8.5%	2.2%	897	-94.7K	-2.5K	0.00	38.76	0	0	85	74
2011-12-12	$113.64	$102.00	93.9%	9.6%	25.9%	100.0%	30.0%	2.2%	-7.8%	-10.7K	-32.0K	-2.6K	0.00	146.95	2	0	85	74
2011-12-13	$112.56	$102.00	23.2%	7.0%	25.8%	21.3%	0.0%	9.2%	2.3%	-23.4K	65.7K	-2.3K	0.00	35.91	0	0	87	74
2011-12-14	$111.30	$102.00	18.1%	6.8%	26.0%	15.7%	0.0%	8.5%	2.8%	-43.3K	162.0K	-2.2K	0.00	33.84	0	0	87	74
2011-12-15	$111.72	$102.00	22.7%	6.5%	25.5%	20.7%	23.5%	7.5%	3.6%	-81.3K	135.3K	-2.1K	5.00	38.18	1	5	87	74
2011-12-16	$111.80	$110.00	23.1%	6.6%	24.8%	21.1%	0.0%	8.0%	3.2%	-34.6K	178.9K	-2.2K	0.00	38.96	2	0	88	79
2011-12-19	$110.66	$110.00	23.4%	6.7%	25.1%	21.5%	0.0%	7.1%	1.7%	5.2K	60.6K	-2.0K	0.00	33.02	0	0	85	55
2011-12-20	$113.96	$110.00	20.5%	5.9%	26.3%	18.3%	21.5%	6.1%	1.6%	13.5K	-71.3K	-2.1K	0.00	41.21	0	5	85	55
2011-12-21	$114.30	$112.00	19.3%	5.5%	26.1%	16.9%	16.6%	5.1%	2.0%	12.3K	-66.4K	-2.1K	0.00	42.11	2	0	85	60
2011-12-22	$115.38	$112.00	17.9%	5.1%	24.7%	15.4%	0.0%	5.6%	2.1%	16.4K	-86.5K	-2.1K	0.00	48.53	0	0	83	60
2011-12-23	$115.60	$112.00	18.3%	5.2%	24.5%	15.8%	9.0%	6.0%	2.3%	18.6K	-114.6K	-2.1K	0.00	46.08	10,007	0	83	60
2011-12-27	$115.72	$112.00	18.7%	5.4%	22.7%	16.3%	0.0%	4.9%	2.2%	3.9M	-8.8M	-44.3K	0.00	89.04	0	0	10,087	60
2011-12-28	$114.30	$112.00	20.3%	5.8%	23.3%	18.0%	0.0%	5.3%	2.8%	2.6M	-5.6M	-29.5K	0.00	87.50	0	0	10,087	60
2011-12-29	$115.34	$112.00	18.6%	5.3%	18.7%	16.1%	9.7%	7.2%	2.1%	3.2M	-6.5M	-33.8K	0.00	86.00	121	0	10,087	60
2011-12-30	$114.90	$112.00	20.0%	5.7%	18.7%	17.8%	12.7%	2.9%	2.6%	3.6M	-9.1M	-43.1K	0.04	75.17	150	6	10,080	60