VOO Options History — January 2012

In January 2012, VOO traded between $116.60 and $121.28. ATM implied volatility averaged 15.1%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.6% (HV 20d: 13.5%). Max pain ranged from $114.00 to $116.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.25.

Notable Days

2012-01-20: Highest Volume — 10 contracts
2012-01-30: Largest IV spike — 38.7% change
2012-01-03: Highest IV Rank — 17.4%
2012-01-10: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$118.96	$116.60	$121.28	$116.60	$120.04
Max Pain	$115.57	$114.00	$116.00	$114.00	$116.00
ATM IV	15.1%	9.9%	19.7%	19.7%	15.9%
Expected Move	4.7%	2.8%	7.5%	5.6%	4.6%
HV 20d	13.5%	8.3%	19.4%	19.4%	8.3%
HV 60d	23.3%	20.2%	25.6%	25.6%	20.2%
IV Rank	12.2%	6.5%	17.4%	17.4%	13.2%
IV Percentile	26.6%	2.6%	46.8%	46.8%	34.0%
Term Structure	2.2%	-9.2%	6.7%	2.3%	1.1%
VWIV	19.9%	19.9%	19.9%	19.9%	19.9%
Skew 25d	6.1%	-1.1%	15.4%	6.1%	5.1%
Skew 10d	9.6%	1.3%	16.9%	4.4%	9.9%
Call IV 25d	15.9%	10.2%	31.6%	15.7%	12.8%
Put IV 25d	22.0%	11.2%	37.4%	21.9%	17.9%
Bid-Ask Spread %	61.45	19.51	164.57	116.91	44.76
Gamma HHI	0.56	0.14	0.97	0.57	0.15
Net GEX	2.2M	12.6K	7.1M	4.2M	14.3K
Net DEX	-3.0M	-23.0M	-161.9K	-7.3M	-195.3K
Net VEX	-10.4K	-55.0K	-732	-32.0K	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.00	2.00	0.00	0.00
Total Volume	2.3	0	10	3	0
Total OI	6,606.05	33	10,148	10,139	97

Daily Data (20 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
2012-01-03	$116.60	$114.00	19.7%	5.6%	19.4%	17.4%	19.9%	6.1%	2.3%	4.2M	-7.3M	-32.0K	0.00	116.91	3	0	10,073	66
2012-01-04	$116.80	$114.00	18.4%	5.3%	19.1%	16.0%	0.0%	7.6%	2.3%	3.7M	-5.8M	-25.8K	0.00	98.28	0	0	10,082	66
2012-01-05	$117.18	$114.00	14.8%	4.2%	19.1%	11.9%	0.0%	7.0%	4.9%	3.5M	-4.8M	-21.7K	0.00	100.41	0	0	10,082	66
2012-01-06	$116.94	$116.00	15.8%	7.2%	19.1%	13.0%	0.0%	4.3%	0.4%	2.5M	-3.0M	-15.5K	0.00	164.57	0	0	10,082	66
2012-01-09	$117.12	$116.00	15.4%	5.3%	17.2%	12.7%	0.0%	6.8%	-0.6%	2.3M	-2.4M	-10.9K	0.00	68.65	1	0	10,082	66
2012-01-10	$118.12	$116.00	16.7%	7.5%	16.5%	14.1%	0.0%	6.0%	-9.2%	7.1M	-23.0M	-55.0K	0.00	160.02	2	0	10,076	66
2012-01-11	$118.24	$116.00	15.0%	5.2%	15.4%	12.2%	0.0%	2.8%	2.2%	3.5M	-3.4M	-12.5K	0.00	20.00	8	0	10,077	61
2012-01-12	$118.50	$116.00	17.8%	5.1%	14.8%	15.3%	0.0%	-1.1%	2.5%	3.1M	-2.5M	-9.2K	1.00	19.51	1	1	10,073	47
2012-01-13	$118.00	$116.00	18.2%	5.2%	14.1%	15.8%	0.0%	4.6%	2.6%	1.7M	-1.4M	-4.8K	0.00	21.05	0	0	10,074	29
2012-01-17	$118.32	$116.00	18.6%	5.3%	14.1%	16.1%	0.0%	7.6%	1.7%	877.6K	-707.9K	-1.8K	0.00	20.51	1	0	10,074	29
2012-01-18	$119.64	$116.00	17.7%	5.1%	14.3%	15.2%	0.0%	6.6%	1.8%	3.5M	-1.9M	-4.3K	0.00	35.79	0	0	10,072	28
2012-01-19	$120.28	$116.00	15.8%	4.5%	13.4%	13.1%	0.0%	6.6%	3.3%	6.3M	-2.6M	-4.7K	0.00	33.01	2	0	10,068	28
2012-01-20	$120.28	$0.00	10.3%	2.9%	9.6%	6.9%	0.0%	15.4%	6.7%	1.6M	-723.0K	-1.3K	0.00	69.35	10	0	10,072	28
2012-01-23	$120.40	$0.00	9.9%	2.8%	9.6%	6.5%	0.0%	6.4%	5.4%	17.1K	-161.9K	-732	0.00	39.08	6	0	32	1
2012-01-24	$120.22	$0.00	10.3%	2.9%	9.4%	6.9%	0.0%	6.7%	4.5%	21.7K	-178.8K	-826	0.00	37.70	3	0	38	1
2012-01-25	$121.28	$0.00	12.5%	3.6%	9.7%	9.4%	0.0%	5.6%	2.7%	24.2K	-209.2K	-902	0.00	57.95	0	0	41	1
2012-01-26	$120.66	$0.00	10.7%	3.1%	10.0%	7.4%	0.0%	6.6%	4.3%	12.6K	-192.2K	-1.6K	2.00	30.90	1	1	51	38
2012-01-27	$120.50	$0.00	11.5%	3.3%	8.6%	8.3%	0.0%	5.9%	4.1%	13.0K	-176.8K	-1.6K	0.00	38.47	5	0	51	40
2012-01-30	$120.10	$116.00	16.0%	4.6%	8.5%	13.2%	0.0%	5.9%	1.0%	14.9K	-200.1K	-1.8K	0.00	52.14	0	1	57	40
2012-01-31	$120.04	$116.00	15.9%	4.6%	8.3%	13.2%	0.0%	5.1%	1.1%	14.3K	-195.3K	-1.8K	0.00	44.76	0	0	57	40