VOO Options History — August 2012

In August 2012, VOO traded between $125.04 and $130.16. ATM implied volatility averaged 13.3%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 1.0% (HV 20d: 12.3%). Max pain ranged from $120.00 to $124.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.06.

Notable Days

2012-08-13: Highest Volume — 50 contracts
2012-08-10: Largest IV spike — 307.1% change
2012-08-10: Highest IV Rank — 39.8%
2012-08-10: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$128.76	$125.04	$130.16	$125.92	$129.22
Max Pain	$121.39	$120.00	$124.00	$124.00	$120.00
ATM IV	13.3%	8.8%	41.9%	14.7%	12.7%
Expected Move	3.7%	3.2%	5.6%	4.2%	3.6%
HV 20d	12.3%	6.0%	15.5%	14.3%	6.0%
HV 60d	15.9%	14.0%	17.0%	16.5%	14.1%
IV Rank	6.7%	1.5%	39.8%	8.4%	6.0%
IV Percentile	14.5%	1.2%	91.7%	24.6%	16.7%
Term Structure	0.7%	-15.6%	2.8%	0.6%	1.3%
VWIV	12.9%	11.0%	15.4%	12.9%	12.5%
Skew 25d	4.5%	2.2%	8.0%	4.2%	4.2%
Skew 10d	8.7%	1.0%	19.2%	8.9%	11.0%
Call IV 25d	12.3%	8.1%	14.4%	12.6%	11.3%
Put IV 25d	16.8%	10.4%	22.4%	16.8%	15.5%
Bid-Ask Spread %	53.42	17.37	92.78	51.05	49.17
Gamma HHI	0.70	0.12	0.83	0.79	0.76
Net GEX	155.9K	-2.4K	212.6K	140.3K	197.3K
Net DEX	-1.0M	-1.4M	-84.9K	-740.4K	-1.2M
Net VEX	-3.0K	-3.6K	-1.0K	-3.5K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.06	0.00	0.50	0.00	0.00
Total Volume	4.435	0	50	3	1
Total OI	188.435	67	217	198	213

Daily Data (23 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
2012-08-01	$125.92	$124.00	14.7%	4.2%	14.3%	8.4%	0.0%	4.2%	0.6%	140.3K	-740.4K	-3.5K	0.00	51.05	3	0	171	27
2012-08-02	$125.04	$124.00	12.8%	3.7%	14.4%	6.2%	0.0%	2.9%	1.2%	144.5K	-590.2K	-3.3K	0.00	53.33	3	0	173	27
2012-08-03	$127.48	$124.00	11.4%	3.3%	15.5%	4.5%	0.0%	2.3%	1.2%	173.2K	-964.7K	-3.6K	0.00	60.35	0	0	173	27
2012-08-06	$127.82	$122.00	11.5%	3.8%	15.5%	4.7%	12.9%	3.7%	0.7%	173.3K	-1.0M	-3.5K	0.08	60.94	12	1	171	27
2012-08-07	$128.40	$122.00	12.0%	3.8%	15.0%	5.2%	0.0%	3.9%	1.1%	179.5K	-1.1M	-3.6K	0.00	59.46	0	6	177	27
2012-08-08	$128.54	$122.00	10.9%	3.7%	15.0%	3.9%	15.4%	3.5%	1.1%	187.1K	-1.1M	-3.6K	0.00	52.48	1	0	177	33
2012-08-09	$128.68	$122.00	10.3%	3.6%	14.7%	3.2%	0.0%	3.5%	1.0%	189.3K	-1.2M	-3.5K	0.00	55.50	0	0	177	33
2012-08-10	$128.88	$122.00	41.9%	5.6%	13.7%	39.8%	0.0%	3.1%	-15.6%	190.9K	-1.2M	-3.4K	0.00	43.02	0	0	177	33
2012-08-13	$128.78	$122.00	11.0%	3.5%	13.7%	4.0%	0.0%	4.2%	1.0%	212.6K	-1.2M	-3.3K	0.00	25.03	0	50	177	33
2012-08-14	$128.84	$122.00	12.0%	3.7%	13.5%	5.2%	0.0%	4.5%	1.4%	201.2K	-1.2M	-3.5K	0.00	23.77	0	0	177	40
2012-08-15	$128.98	$122.00	8.8%	3.7%	13.4%	1.5%	0.0%	5.4%	1.2%	205.4K	-1.3M	-3.3K	0.00	38.15	0	0	177	32
2012-08-16	$129.86	$122.00	12.8%	3.7%	13.5%	6.1%	0.0%	5.5%	1.3%	176.4K	-1.4M	-3.1K	0.00	17.37	1	0	173	32
2012-08-17	$130.16	$122.00	11.7%	3.4%	12.9%	4.9%	11.0%	2.2%	1.8%	164.0K	-1.3M	-3.0K	0.00	63.54	0	13	164	32
2012-08-20	$130.12	$120.00	11.7%	3.4%	12.1%	4.9%	0.0%	2.3%	1.5%	166.1K	-1.3M	-2.9K	0.00	63.51	0	0	164	39
2012-08-21	$129.72	$120.00	11.3%	3.2%	11.7%	4.4%	0.0%	6.3%	2.2%	175.6K	-1.3M	-3.0K	0.00	63.10	0	3	164	39
2012-08-22	$129.74	$120.00	12.0%	3.5%	11.7%	5.3%	0.0%	6.4%	1.8%	165.2K	-1.2M	-3.2K	0.00	65.68	0	0	164	49
2012-08-23	$128.72	$120.00	12.2%	3.5%	11.1%	5.5%	0.0%	6.8%	2.8%	-2.4K	-84.9K	-1.1K	0.00	92.78	1	0	26	41
2012-08-24	$129.52	$120.00	11.5%	3.3%	9.2%	4.6%	0.0%	6.8%	2.3%	-509	-118.3K	-1.1K	0.00	76.09	0	0	27	41
2012-08-27	$129.52	$120.00	11.8%	3.4%	9.2%	4.9%	0.0%	8.0%	1.7%	-495	-118.7K	-1.0K	0.50	78.27	1	1	27	41
2012-08-28	$129.40	$120.00	12.6%	3.6%	8.8%	5.9%	12.5%	4.1%	1.5%	182.2K	-1.2M	-2.8K	0.00	43.69	4	0	165	41
2012-08-29	$129.52	$120.00	12.9%	3.7%	8.8%	6.2%	0.0%	5.0%	1.6%	178.7K	-1.2M	-2.8K	0.00	44.78	0	0	168	41
2012-08-30	$128.54	$120.00	14.9%	4.3%	8.9%	8.5%	0.0%	4.8%	1.7%	186.1K	-995.2K	-3.0K	0.00	47.59	1	0	168	49
2012-08-31	$129.22	$120.00	12.7%	3.6%	6.0%	6.0%	0.0%	4.2%	1.3%	197.3K	-1.2M	-2.8K	0.00	49.17	0	1	169	44