VOO Options History — May 2012

In May 2012, VOO traded between $118.72 and $128.76. ATM implied volatility averaged 18.2%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 5.2% (HV 20d: 13.0%). Max pain ranged from $120.00 to $134.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.90.

Notable Days

2012-05-31: Highest Volume — 12 contracts
2012-05-15: Largest IV spike — 36.0% change
2012-05-15: Highest IV Rank — 25.5%
2012-05-15: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$122.97	$118.72	$128.76	$128.76	$120.24
Max Pain	$125.45	$120.00	$134.00	$122.00	$120.00
ATM IV	18.2%	14.2%	26.9%	14.2%	18.6%
Expected Move	5.2%	4.1%	7.7%	4.1%	5.3%
HV 20d	13.0%	11.0%	15.6%	14.7%	13.0%
HV 60d	12.3%	11.5%	13.3%	11.5%	13.0%
IV Rank	15.7%	11.3%	25.5%	11.3%	16.2%
IV Percentile	46.1%	24.6%	67.5%	25.0%	49.6%
Term Structure	0.0%	-14.7%	2.2%	0.8%	1.2%
VWIV	18.6%	17.9%	19.1%	19.1%	18.9%
Skew 25d	7.8%	3.1%	13.3%	3.1%	5.9%
Skew 10d	12.8%	6.9%	21.5%	11.2%	8.1%
Call IV 25d	13.4%	9.5%	18.1%	12.5%	15.2%
Put IV 25d	21.2%	15.6%	25.1%	15.6%	21.0%
Bid-Ask Spread %	42.00	18.45	90.02	31.07	48.64
Gamma HHI	0.15	0.12	0.19	0.15	0.14
Net GEX	21.2K	13.0K	34.6K	13.0K	27.5K
Net DEX	-115.8K	-228.8K	-36.3K	-228.8K	-201.8K
Net VEX	-1.2K	-1.4K	-1.0K	-1.2K	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.00	10.00	0.00	0.47
Total Volume	3.636	0	12	0	12
Total OI	78.364	66	99	66	84

Daily Data (22 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
2012-05-01	$128.76	$122.00	14.2%	4.1%	14.7%	11.3%	0.0%	3.1%	0.8%	13.0K	-228.8K	-1.2K	0.00	31.07	0	0	46	20
2012-05-02	$128.36	$122.00	14.6%	4.2%	14.7%	11.7%	0.0%	3.7%	0.5%	13.6K	-216.3K	-1.2K	0.00	29.44	1	0	46	20
2012-05-03	$127.42	$122.00	14.3%	4.1%	14.5%	11.4%	0.0%	4.3%	0.5%	16.5K	-185.8K	-1.2K	0.00	40.81	0	0	47	20
2012-05-04	$125.34	$134.00	15.5%	4.6%	15.6%	12.7%	0.0%	6.2%	0.8%	19.0K	-111.6K	-1.1K	0.00	35.40	8	0	47	20
2012-05-07	$125.44	$134.00	16.3%	4.7%	15.1%	13.6%	0.0%	5.8%	0.6%	22.7K	-187.8K	-1.2K	0.00	35.89	7	0	54	20
2012-05-08	$124.90	$134.00	18.1%	5.1%	13.8%	15.6%	0.0%	5.4%	0.5%	28.4K	-184.4K	-1.2K	0.00	37.42	0	3	59	20
2012-05-09	$124.20	$134.00	18.9%	5.1%	13.6%	16.5%	19.1%	5.9%	0.8%	26.7K	-134.0K	-1.3K	0.00	33.15	0	6	59	23
2012-05-10	$124.42	$134.00	17.5%	5.0%	12.6%	15.0%	0.0%	6.0%	1.2%	17.3K	-52.2K	-1.2K	0.00	34.47	0	0	47	29
2012-05-11	$124.02	$134.00	17.7%	5.1%	11.9%	15.2%	17.9%	6.4%	0.5%	18.2K	-51.9K	-1.1K	0.00	33.36	9	0	46	27
2012-05-14	$122.70	$130.00	19.8%	5.7%	12.5%	17.5%	0.0%	6.9%	0.0%	24.6K	-99.8K	-1.1K	0.00	32.91	0	0	55	24
2012-05-15	$122.02	$130.00	26.9%	7.7%	11.0%	25.5%	0.0%	7.2%	-14.7%	24.8K	-76.0K	-1.1K	0.00	90.02	3	0	55	24
2012-05-16	$121.50	$130.00	18.7%	5.4%	11.0%	16.3%	0.0%	7.5%	-0.7%	34.6K	-105.8K	-1.3K	0.31	59.80	8	3	70	24
2012-05-17	$119.66	$120.00	20.1%	5.8%	11.9%	17.9%	0.0%	7.1%	0.3%	28.8K	-143.7K	-1.4K	0.00	19.43	0	0	78	21
2012-05-18	$118.72	$120.00	20.4%	5.8%	11.9%	18.2%	0.0%	6.6%	1.9%	16.5K	-36.3K	-1.1K	0.00	18.45	0	0	66	21
2012-05-21	$120.72	$120.00	19.0%	5.4%	13.6%	16.6%	18.9%	12.0%	0.3%	19.2K	-85.3K	-1.1K	0.00	35.39	4	0	54	20
2012-05-22	$120.98	$120.00	19.5%	5.6%	13.5%	17.2%	0.0%	13.3%	0.4%	20.5K	-107.1K	-1.1K	10.00	38.26	1	5	56	20
2012-05-23	$120.98	$120.00	18.3%	5.2%	12.2%	15.8%	0.0%	11.8%	1.8%	18.4K	-62.8K	-1.2K	0.00	52.97	1	0	55	25
2012-05-24	$121.20	$120.00	17.5%	5.0%	11.8%	14.9%	0.0%	11.7%	1.4%	18.6K	-71.6K	-1.2K	0.00	54.77	0	0	56	25
2012-05-25	$120.92	$120.00	18.1%	5.2%	11.7%	15.6%	0.0%	11.1%	2.2%	18.8K	-60.6K	-1.2K	0.00	59.92	0	0	56	25
2012-05-29	$122.30	$120.00	16.6%	4.8%	12.7%	13.9%	0.0%	11.6%	-1.2%	19.4K	-100.9K	-1.1K	0.00	47.33	1	0	56	25
2012-05-30	$120.54	$120.00	19.6%	5.6%	13.0%	17.3%	0.0%	11.3%	0.8%	18.7K	-43.7K	-1.0K	0.00	55.21	8	0	54	25
2012-05-31	$120.24	$120.00	18.6%	5.3%	13.0%	16.2%	0.0%	5.9%	1.2%	27.5K	-201.8K	-1.0K	0.47	48.64	8	4	67	17