VOO Options History — July 2012

In July 2012, VOO traded between $122.10 and $126.94. ATM implied volatility averaged 14.8%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 2.2% (HV 20d: 17.0%). Max pain ranged from $116.00 to $124.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.02.

Notable Days

2012-07-30: Highest Volume — 153 contracts
2012-07-26: Largest IV drop — 46.0% change
2012-07-25: Highest IV Rank — 16.0%
2012-07-25: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$124.47	$122.10	$126.94	$124.90	$126.06
Max Pain	$116.95	$116.00	$124.00	$120.00	$124.00
ATM IV	14.8%	11.5%	21.3%	14.2%	15.3%
Expected Move	4.4%	3.3%	6.1%	4.1%	4.4%
HV 20d	17.0%	14.2%	19.3%	19.3%	14.5%
HV 60d	16.3%	15.7%	16.8%	16.8%	16.5%
IV Rank	10.0%	4.6%	16.0%	11.3%	9.1%
IV Percentile	23.0%	4.8%	58.3%	18.3%	28.2%
Term Structure	1.2%	-6.9%	5.9%	2.9%	-0.3%
VWIV	13.6%	11.9%	16.1%	11.9%	16.1%
Skew 25d	4.2%	-22.8%	12.9%	4.1%	3.2%
Skew 10d	7.7%	-0.4%	14.4%	0.4%	7.4%
Call IV 25d	13.7%	9.4%	40.4%	11.4%	13.5%
Put IV 25d	17.9%	14.5%	22.3%	15.5%	16.7%
Bid-Ask Spread %	46.92	37.14	85.75	55.22	55.94
Gamma HHI	0.29	0.17	0.80	0.18	0.80
Net GEX	29.2K	168	145.8K	21.1K	145.8K
Net DEX	-144.3K	-805.9K	17.1K	-115.5K	-805.9K
Net VEX	-1.2K	-3.7K	-828	-1.3K	-3.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.02	0.00	0.20	0.00	0.00
Total Volume	9.667	0	153	1	3
Total OI	120.143	50	201	131	201

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
2012-07-02	$124.90	$120.00	14.2%	4.1%	19.3%	11.3%	11.9%	4.1%	2.9%	21.1K	-115.5K	-1.3K	0.00	55.22	1	0	67	64
2012-07-03	$125.72	$120.00	13.4%	3.8%	19.3%	10.4%	13.4%	3.4%	0.6%	30.0K	-203.8K	-1.3K	0.00	53.55	1	0	67	64
2012-07-05	$125.18	$120.00	13.0%	3.7%	17.9%	9.9%	0.0%	2.8%	1.0%	26.9K	-168.9K	-1.2K	0.00	55.34	3	0	67	64
2012-07-06	$124.02	$116.00	13.6%	4.3%	18.3%	10.6%	0.0%	5.0%	1.6%	15.9K	-94.4K	-1.2K	0.00	39.74	1	0	70	64
2012-07-09	$123.86	$116.00	14.8%	4.5%	18.2%	12.0%	0.0%	5.3%	0.6%	13.6K	-75.8K	-1.1K	0.00	42.07	0	0	69	64
2012-07-10	$122.72	$116.00	12.9%	4.7%	17.9%	9.9%	12.4%	5.9%	1.3%	3.7K	-17.0K	-1.0K	0.00	39.82	5	0	69	64
2012-07-11	$122.74	$116.00	12.7%	4.8%	17.5%	9.6%	0.0%	6.7%	0.9%	7.0K	-14.4K	-1.0K	0.00	41.87	0	0	75	64
2012-07-12	$122.10	$116.00	17.1%	4.9%	17.4%	14.5%	0.0%	6.9%	0.3%	168	17.1K	-986	0.00	40.60	0	0	75	64
2012-07-13	$124.18	$116.00	12.9%	3.7%	18.0%	9.8%	13.5%	4.2%	5.2%	21.6K	-123.3K	-942	0.00	40.02	5	0	75	67
2012-07-16	$123.90	$116.00	13.6%	3.9%	17.8%	7.1%	0.0%	4.9%	4.4%	27.9K	-117.7K	-862	0.00	39.94	0	0	80	67
2012-07-17	$124.78	$116.00	13.0%	3.7%	17.9%	6.4%	0.0%	-22.8%	4.9%	28.4K	-135.3K	-1.2K	0.00	57.40	5	0	80	67
2012-07-18	$125.68	$116.00	17.1%	4.9%	17.7%	11.1%	14.8%	5.9%	0.3%	32.9K	-205.4K	-1.2K	0.20	38.65	3	1	85	67
2012-07-19	$126.00	$116.00	17.4%	5.0%	17.7%	11.5%	0.0%	8.5%	0.4%	32.4K	-337.5K	-844	0.00	44.36	1	0	85	68
2012-07-20	$124.84	$116.00	13.6%	3.9%	16.0%	7.0%	0.0%	3.0%	5.9%	58.9K	-230.9K	-828	0.00	37.14	0	5	85	68
2012-07-23	$123.60	$116.00	15.4%	4.4%	16.3%	9.1%	0.0%	8.7%	2.2%	14.4K	-6.9K	-878	0.00	40.54	11	0	30	20
2012-07-24	$122.62	$116.00	20.9%	6.0%	14.6%	15.6%	0.0%	11.7%	-6.2%	21.6K	-32.4K	-994	0.00	44.28	0	2	40	20
2012-07-25	$122.54	$116.00	21.3%	6.1%	14.5%	16.0%	0.0%	12.9%	-6.9%	21.5K	-8.0K	-996	0.00	38.19	0	0	40	21
2012-07-26	$124.54	$116.00	11.5%	3.3%	15.3%	4.6%	0.0%	2.4%	4.7%	27.3K	-49.5K	-1.0K	0.00	46.92	0	0	40	21
2012-07-27	$126.94	$116.00	13.4%	3.8%	16.5%	6.8%	12.3%	3.5%	1.0%	29.7K	-146.5K	-1.2K	0.00	48.02	3	0	40	21
2012-07-30	$126.88	$116.00	14.2%	4.1%	14.2%	7.8%	14.7%	2.7%	0.8%	33.1K	-157.5K	-1.2K	0.04	85.75	147	6	43	21
2012-07-31	$126.06	$124.00	15.3%	4.4%	14.5%	9.1%	16.1%	3.2%	-0.3%	145.8K	-805.9K	-3.7K	0.00	55.94	3	0	174	27