VOO Options History — June 2012

In June 2012, VOO traded between $117.26 and $124.80. ATM implied volatility averaged 19.7%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 1.7% (HV 20d: 18.0%). Max pain ranged from $116.00 to $120.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.54.

Notable Days

2012-06-05: Highest Volume — 56 contracts
2012-06-29: Largest IV spike — 146.3% change
2012-06-29: Highest IV Rank — 40.7%
2012-06-29: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$121.45	$117.26	$124.80	$117.30	$124.56
Max Pain	$117.71	$116.00	$120.00	$120.00	$120.00
ATM IV	19.7%	13.8%	40.6%	21.6%	40.6%
Expected Move	5.9%	4.4%	11.6%	6.2%	11.6%
HV 20d	18.0%	14.3%	20.8%	15.0%	19.4%
HV 60d	14.9%	13.6%	16.8%	13.8%	16.8%
IV Rank	17.4%	10.9%	40.7%	19.5%	40.7%
IV Percentile	45.3%	18.7%	88.9%	57.9%	88.9%
Term Structure	0.2%	-14.9%	18.8%	0.6%	18.8%
VWIV	17.5%	11.8%	21.7%	21.1%	15.8%
Skew 25d	6.4%	-24.9%	39.4%	6.7%	39.4%
Skew 10d	12.9%	-27.5%	39.6%	12.7%	-27.5%
Call IV 25d	16.1%	8.0%	40.7%	18.7%	8.9%
Put IV 25d	22.5%	10.3%	48.3%	25.5%	48.3%
Bid-Ask Spread %	61.67	16.03	165.40	27.47	165.40
Gamma HHI	0.19	0.13	0.39	0.14	0.15
Net GEX	29.5K	-7.3K	99.9K	24.2K	12.8K
Net DEX	-228.0K	-746.8K	180.3K	-97.5K	-126.4K
Net VEX	-1.4K	-1.6K	-1.0K	-1.0K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.00	4.00	0.00	0.00
Total Volume	9.286	0	56	9	1
Total OI	125.333	89	154	89	132

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
2012-06-01	$117.30	$120.00	21.6%	6.2%	15.0%	19.5%	0.0%	6.7%	0.6%	24.2K	-97.5K	-1.0K	0.00	27.47	9	0	70	19
2012-06-04	$117.26	$116.00	20.2%	6.1%	14.3%	18.0%	0.0%	8.5%	-3.3%	28.7K	-133.5K	-1.1K	0.00	16.03	0	5	77	16
2012-06-05	$117.94	$116.00	19.9%	6.0%	14.6%	17.6%	21.1%	7.8%	1.2%	26.6K	-57.6K	-1.2K	0.10	24.00	51	5	80	31
2012-06-06	$120.76	$116.00	17.2%	5.6%	17.4%	14.6%	0.0%	6.1%	1.4%	94.4K	-730.3K	-1.5K	0.00	36.62	1	0	128	23
2012-06-07	$120.74	$116.00	16.1%	5.5%	17.4%	13.4%	15.9%	7.1%	1.4%	99.9K	-746.8K	-1.5K	0.24	37.49	34	8	131	23
2012-06-08	$121.74	$116.00	14.8%	5.1%	17.7%	12.0%	21.7%	6.4%	2.6%	65.9K	-622.3K	-1.4K	0.19	46.03	26	5	117	24
2012-06-11	$120.26	$116.00	18.6%	5.9%	18.1%	16.1%	0.0%	7.7%	0.6%	42.9K	-265.2K	-1.3K	2.00	38.61	1	1	92	29
2012-06-12	$121.66	$116.00	13.8%	5.5%	18.3%	10.9%	0.0%	6.5%	1.8%	41.3K	-339.1K	-1.3K	0.00	47.94	0	0	90	30
2012-06-13	$120.86	$116.00	18.3%	6.1%	18.4%	15.8%	0.0%	7.8%	1.9%	43.9K	-295.6K	-1.3K	0.00	41.86	0	0	90	30
2012-06-14	$122.20	$116.00	19.6%	5.6%	18.8%	17.3%	0.0%	6.1%	-0.9%	33.6K	-373.0K	-1.2K	0.00	51.82	1	0	90	30
2012-06-15	$123.28	$116.00	17.3%	5.0%	18.0%	14.7%	17.8%	6.1%	1.6%	31.4K	-383.2K	-1.5K	4.00	57.84	2	8	94	38
2012-06-18	$123.54	$116.00	16.1%	4.6%	17.7%	13.4%	18.4%	5.6%	0.4%	30.5K	-253.9K	-1.5K	0.00	44.90	0	7	82	40
2012-06-19	$124.80	$118.00	32.3%	9.3%	17.1%	31.5%	11.8%	1.1%	-8.7%	21.8K	-323.4K	-1.3K	0.00	151.96	4	0	69	46
2012-06-20	$124.60	$118.00	15.3%	4.4%	17.2%	12.5%	17.4%	4.6%	1.3%	24.3K	-294.4K	-1.5K	0.00	35.75	0	16	71	46
2012-06-21	$121.86	$120.00	25.1%	7.2%	19.1%	23.4%	0.0%	3.4%	-10.1%	6.3K	-102.8K	-1.5K	0.00	154.32	3	0	71	62
2012-06-22	$122.74	$120.00	15.8%	4.5%	19.3%	13.0%	0.0%	4.1%	1.6%	9.5K	-155.5K	-1.6K	0.00	54.08	0	0	73	62
2012-06-25	$120.16	$120.00	18.2%	5.2%	20.8%	15.8%	15.8%	-24.9%	-14.9%	-7.3K	180.3K	-1.4K	0.00	147.51	0	6	67	62
2012-06-26	$120.74	$120.00	19.9%	5.7%	20.4%	17.6%	0.0%	9.3%	5.2%	-4.3K	116.0K	-1.4K	0.00	30.68	1	0	67	67
2012-06-27	$121.82	$120.00	16.5%	4.7%	20.0%	13.8%	0.0%	4.7%	2.9%	-2.4K	98.0K	-1.4K	0.00	38.93	0	0	67	64
2012-06-28	$121.54	$120.00	16.5%	4.7%	20.0%	13.8%	0.0%	10.0%	-0.7%	-5.1K	117.8K	-1.4K	0.00	45.89	0	0	68	64
2012-06-29	$124.56	$120.00	40.6%	11.6%	19.4%	40.7%	0.0%	39.4%	18.8%	12.8K	-126.4K	-1.6K	0.00	165.40	1	0	68	64