VOO Options History — April 2012

In April 2012, VOO traded between $124.26 and $129.78. ATM implied volatility averaged 14.6%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.8% (HV 20d: 12.8%). Max pain ranged from $122.00 to $132.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.31.

Notable Days

2012-04-23: Highest Volume — 14 contracts
2012-04-10: Largest IV spike — 19.9% change
2012-04-10: Highest IV Rank — 16.1%
2012-04-09: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$126.88	$124.26	$129.78	$129.78	$127.92
Max Pain	$124.70	$122.00	$132.00	$122.00	$122.00
ATM IV	14.6%	11.9%	18.5%	12.2%	14.8%
Expected Move	4.1%	2.6%	4.8%	3.5%	4.2%
HV 20d	12.8%	9.7%	14.8%	11.5%	14.8%
HV 60d	10.8%	9.2%	11.8%	9.2%	11.7%
IV Rank	11.7%	8.7%	16.1%	9.1%	11.9%
IV Percentile	28.7%	10.3%	51.6%	11.1%	29.0%
Term Structure	0.6%	-5.6%	12.2%	1.5%	0.3%
VWIV	16.2%	13.7%	19.6%	15.4%	14.2%
Skew 25d	5.3%	-3.3%	9.2%	3.7%	3.9%
Skew 10d	6.8%	-4.6%	13.2%	3.2%	7.9%
Call IV 25d	12.4%	7.8%	16.9%	10.2%	12.9%
Put IV 25d	17.7%	13.1%	23.9%	13.9%	16.8%
Bid-Ask Spread %	74.56	19.61	200.00	77.43	36.68
Gamma HHI	0.35	0.14	0.57	0.47	0.14
Net GEX	55.1K	11.8K	117.6K	51.2K	13.2K
Net DEX	-291.5K	-443.3K	-137.9K	-405.3K	-186.9K
Net VEX	-959	-1.2K	-765	-847	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.00	2.50	0.00	0.00
Total Volume	2.45	0	14	0	3
Total OI	96.25	37	142	105	63

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
2012-04-02	$129.78	$122.00	12.2%	3.5%	11.5%	9.1%	0.0%	3.7%	1.5%	51.2K	-405.3K	-847	0.00	77.43	0	0	48	57
2012-04-03	$129.28	$122.00	11.9%	3.4%	9.7%	8.7%	0.0%	4.8%	1.8%	55.6K	-383.8K	-862	0.00	73.36	1	0	48	57
2012-04-04	$127.92	$122.00	13.4%	3.8%	10.5%	10.3%	0.0%	6.9%	1.9%	69.0K	-377.1K	-1.2K	0.00	68.80	0	1	61	52
2012-04-05	$127.88	$122.00	13.1%	3.7%	10.0%	10.0%	0.0%	6.8%	2.1%	63.5K	-307.6K	-903	0.00	69.68	0	0	49	52
2012-04-09	$126.46	$132.00	15.4%	4.8%	10.9%	12.7%	0.0%	7.4%	1.5%	71.8K	-273.1K	-1.1K	0.00	63.96	0	0	61	52
2012-04-10	$124.26	$132.00	18.5%	2.6%	12.6%	16.1%	0.0%	4.9%	12.2%	43.7K	-137.9K	-1.0K	0.00	200.00	0	0	61	51
2012-04-11	$125.28	$132.00	15.8%	4.4%	11.1%	13.1%	15.4%	-3.3%	-1.3%	59.1K	-194.3K	-1.1K	0.00	152.38	1	0	61	51
2012-04-12	$127.00	$128.00	14.9%	4.3%	12.2%	12.0%	0.0%	4.3%	-0.9%	96.7K	-321.6K	-961	0.00	130.48	0	0	60	22
2012-04-13	$125.48	$128.00	15.7%	4.5%	12.7%	13.0%	0.0%	4.0%	-2.3%	67.9K	-313.8K	-875	0.00	154.02	5	0	67	64
2012-04-16	$125.34	$128.00	15.0%	4.3%	12.7%	12.2%	0.0%	9.2%	-5.6%	58.7K	-270.3K	-772	0.00	125.00	0	0	64	64
2012-04-17	$127.26	$128.00	15.8%	4.5%	13.9%	13.1%	19.6%	6.1%	1.5%	107.2K	-388.1K	-952	0.00	69.87	11	0	66	76
2012-04-18	$126.82	$122.00	15.4%	4.4%	13.9%	12.6%	0.0%	7.8%	-2.4%	117.6K	-443.3K	-941	0.00	28.47	0	0	74	49
2012-04-19	$126.00	$122.00	14.0%	4.0%	14.0%	11.1%	0.0%	8.3%	-4.7%	70.2K	-356.9K	-848	0.00	43.33	2	0	74	49
2012-04-20	$126.20	$122.00	13.7%	3.9%	13.8%	10.7%	13.7%	0.0%	2.0%	71.7K	-354.1K	-824	0.00	41.03	1	0	72	47
2012-04-23	$125.12	$122.00	14.5%	4.2%	14.0%	11.6%	18.8%	6.4%	2.0%	19.6K	-187.9K	-765	0.56	35.16	9	5	35	2
2012-04-24	$125.58	$122.00	16.4%	4.7%	13.6%	13.7%	15.3%	6.6%	0.2%	19.1K	-211.1K	-934	2.50	26.95	1	3	41	7
2012-04-25	$127.34	$122.00	14.2%	4.1%	14.7%	11.3%	14.2%	6.5%	0.4%	17.6K	-239.4K	-992	0.00	19.61	1	0	42	10
2012-04-26	$128.22	$122.00	13.8%	4.0%	14.8%	10.8%	0.0%	3.6%	0.2%	17.8K	-270.4K	-984	0.00	36.47	0	5	43	10
2012-04-27	$128.48	$122.00	13.8%	4.0%	14.8%	10.9%	0.0%	2.9%	0.9%	11.8K	-207.8K	-1.1K	0.00	38.52	0	0	43	20
2012-04-30	$127.92	$122.00	14.8%	4.2%	14.8%	11.9%	0.0%	3.9%	0.3%	13.2K	-186.9K	-1.1K	0.00	36.68	3	0	43	20