VOO Options History — February 2012

In February 2012, VOO traded between $121.18 and $125.86. ATM implied volatility averaged 15.3%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 6.8% (HV 20d: 8.5%). Max pain ranged from $116.00 to $124.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 3.07.

Notable Days

2012-02-10: Highest Volume — 13 contracts
2012-02-27: Largest IV drop — 18.2% change
2012-02-15: Highest IV Rank — 15.2%
2012-02-15: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$123.90	$121.18	$125.86	$121.18	$125.18
Max Pain	$122.60	$116.00	$124.00	$116.00	$122.00
ATM IV	15.3%	12.7%	17.7%	14.5%	13.7%
Expected Move	4.5%	3.9%	5.1%	4.2%	3.9%
HV 20d	8.5%	7.4%	9.1%	7.4%	8.5%
HV 60d	17.1%	12.6%	20.0%	19.9%	12.7%
IV Rank	12.5%	9.6%	15.2%	11.6%	10.7%
IV Percentile	29.9%	13.0%	45.5%	22.0%	17.5%
Term Structure	-0.1%	-4.0%	2.1%	0.6%	-2.7%
VWIV	14.6%	14.2%	15.0%	14.7%	15.0%
Skew 25d	5.7%	3.0%	7.9%	3.4%	7.7%
Skew 10d	12.5%	7.5%	18.9%	8.3%	11.8%
Call IV 25d	14.7%	12.5%	19.4%	13.6%	15.4%
Put IV 25d	20.4%	16.7%	23.6%	16.9%	23.1%
Bid-Ask Spread %	50.55	28.00	111.11	33.01	90.91
Gamma HHI	0.16	0.13	0.21	0.15	0.21
Net GEX	16.3K	11.9K	20.6K	16.5K	16.2K
Net DEX	-285.1K	-343.6K	-202.3K	-239.2K	-249.0K
Net VEX	-1.7K	-2.0K	-1.2K	-1.7K	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.07	0.00	21.00	0.00	0.00
Total Volume	2.45	0	13	1	0
Total OI	108.55	86	134	97	93

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
2012-02-01	$121.18	$116.00	14.5%	4.2%	7.4%	11.6%	14.7%	3.4%	0.6%	16.5K	-239.2K	-1.7K	0.00	33.01	1	0	57	40
2012-02-02	$121.42	$116.00	14.5%	4.2%	7.4%	11.6%	0.0%	3.3%	0.9%	16.9K	-250.0K	-1.7K	0.00	28.00	1	0	58	40
2012-02-03	$123.14	$124.00	12.7%	4.1%	8.5%	9.6%	14.2%	5.5%	1.3%	19.5K	-330.5K	-1.6K	21.00	31.90	1	11	58	40
2012-02-06	$122.96	$124.00	14.7%	4.5%	8.5%	11.8%	0.0%	5.0%	1.0%	16.2K	-288.2K	-1.8K	0.00	34.36	0	0	59	51
2012-02-07	$123.34	$124.00	13.2%	4.1%	8.5%	10.2%	0.0%	4.9%	1.3%	17.2K	-305.6K	-1.8K	0.00	34.74	0	0	59	51
2012-02-08	$123.60	$124.00	12.8%	4.3%	8.2%	9.7%	0.0%	5.0%	1.0%	17.6K	-320.4K	-1.8K	0.00	61.90	0	0	59	51
2012-02-09	$123.74	$124.00	15.0%	4.3%	8.2%	12.1%	0.0%	5.0%	1.7%	17.8K	-343.6K	-1.7K	0.50	65.72	4	2	59	51
2012-02-10	$122.90	$124.00	17.1%	4.9%	8.8%	14.5%	0.0%	5.9%	2.1%	17.8K	-294.9K	-2.0K	0.00	54.34	0	13	63	53
2012-02-13	$123.84	$124.00	17.1%	4.9%	8.7%	14.5%	0.0%	7.3%	-0.1%	16.0K	-319.6K	-2.0K	0.00	32.56	0	0	63	61
2012-02-14	$123.66	$124.00	16.9%	4.8%	8.8%	14.2%	0.0%	6.8%	-0.4%	15.7K	-312.6K	-2.0K	0.00	40.00	0	0	63	61
2012-02-15	$123.12	$124.00	17.7%	5.1%	8.5%	15.2%	0.0%	7.9%	0.2%	15.1K	-284.9K	-2.0K	0.00	37.84	0	10	63	61
2012-02-16	$124.46	$124.00	17.2%	4.9%	9.0%	14.6%	0.0%	7.2%	-1.4%	13.3K	-337.2K	-2.0K	0.00	38.30	0	0	63	71
2012-02-17	$124.76	$124.00	16.4%	4.7%	9.0%	13.8%	0.0%	7.3%	-0.9%	11.9K	-322.5K	-1.8K	0.00	38.30	0	0	57	71
2012-02-21	$124.84	$124.00	17.0%	4.9%	9.0%	14.4%	15.0%	6.8%	-4.0%	13.4K	-342.9K	-1.6K	0.00	36.85	0	1	55	71
2012-02-22	$124.42	$122.00	16.3%	4.7%	9.1%	13.6%	0.0%	7.7%	-1.4%	17.8K	-202.3K	-1.5K	0.00	53.08	2	0	46	52
2012-02-23	$125.02	$122.00	15.8%	4.5%	8.8%	13.0%	0.0%	6.6%	-1.9%	20.1K	-249.0K	-1.5K	0.00	41.28	0	0	47	52
2012-02-24	$125.20	$122.00	16.6%	4.8%	8.5%	13.9%	0.0%	3.5%	-2.7%	20.6K	-257.4K	-1.4K	0.00	55.85	2	0	47	52
2012-02-27	$125.42	$122.00	13.6%	3.9%	8.4%	10.6%	0.0%	3.4%	0.0%	12.9K	-221.5K	-1.2K	0.00	90.91	1	0	39	47
2012-02-28	$125.86	$122.00	13.8%	4.0%	8.1%	10.8%	0.0%	3.0%	0.0%	12.8K	-229.8K	-1.2K	0.00	111.11	0	0	40	47
2012-02-29	$125.18	$122.00	13.7%	3.9%	8.5%	10.7%	0.0%	7.7%	0.0%	16.2K	-249.0K	-1.4K	0.00	90.91	0	0	46	47