VOO Options History — September 2012

In September 2012, VOO traded between $128.88 and $134.76. ATM implied volatility averaged 12.0%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.7% (HV 20d: 10.2%). Max pain ranged from $120.00 to $134.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 3.06.

Notable Days

2012-09-21: Highest Volume — 244 contracts
2012-09-06: Largest IV drop — 24.5% change
2012-09-05: Highest IV Rank — 9.2%
2012-09-05: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$132.51	$128.88	$134.76	$128.88	$131.84
Max Pain	$128.32	$120.00	$134.00	$120.00	$134.00
ATM IV	12.0%	9.9%	15.4%	15.1%	12.0%
Expected Move	3.5%	2.8%	4.4%	4.3%	3.4%
HV 20d	10.2%	5.9%	12.2%	6.1%	11.9%
HV 60d	13.1%	11.6%	14.1%	14.0%	11.8%
IV Rank	5.2%	2.8%	9.2%	8.8%	5.2%
IV Percentile	13.5%	3.2%	38.9%	36.5%	15.1%
Term Structure	2.2%	0.2%	6.5%	1.8%	1.2%
VWIV	15.2%	10.1%	22.6%	12.0%	11.0%
Skew 25d	4.5%	2.9%	18.7%	5.1%	3.1%
Skew 10d	7.8%	3.3%	11.1%	11.1%	7.9%
Call IV 25d	10.6%	8.4%	13.0%	11.6%	10.4%
Put IV 25d	15.1%	12.3%	28.1%	16.7%	13.5%
Bid-Ask Spread %	50.90	35.19	76.97	44.15	68.98
Gamma HHI	0.42	0.14	0.76	0.76	0.40
Net GEX	77.4K	-792	206.9K	204.9K	32.4K
Net DEX	-1.5M	-2.2M	-688.7K	-1.1M	-747.8K
Net VEX	-3.1K	-6.3K	-1.5K	-2.6K	-6.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.06	0.00	30.00	30.00	0.00
Total Volume	16.526	0	244	0	0
Total OI	235.368	200	264	212	208

Daily Data (19 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
2012-09-04	$128.88	$120.00	15.1%	4.3%	6.1%	8.8%	0.0%	5.1%	1.8%	204.9K	-1.1M	-2.6K	0.00	44.15	0	0	168	44
2012-09-05	$128.88	$120.00	15.4%	4.4%	5.9%	9.2%	0.0%	3.9%	0.2%	206.9K	-1.1M	-2.6K	30.00	35.19	1	15	169	49
2012-09-06	$131.56	$120.00	11.7%	3.3%	9.3%	4.8%	12.0%	3.2%	1.2%	148.2K	-1.6M	-2.4K	0.00	38.31	8	0	169	64
2012-09-07	$132.10	$128.00	10.5%	3.5%	9.4%	3.5%	0.0%	4.1%	2.9%	133.2K	-1.8M	-2.2K	0.00	53.50	3	0	177	64
2012-09-10	$131.32	$128.00	12.5%	3.7%	9.7%	5.8%	0.0%	4.4%	2.1%	172.8K	-1.6M	-2.4K	0.00	50.90	0	1	179	64
2012-09-11	$131.68	$128.00	12.8%	3.7%	9.7%	6.1%	14.1%	4.2%	2.5%	154.9K	-1.7M	-2.3K	0.00	49.84	0	6	179	65
2012-09-12	$132.10	$128.00	12.6%	3.8%	9.8%	5.8%	0.0%	4.2%	2.1%	151.2K	-1.7M	-2.2K	0.00	44.85	0	0	179	70
2012-09-13	$134.20	$128.00	12.2%	3.5%	11.0%	5.4%	20.9%	3.5%	1.8%	30.3K	-2.1M	-1.5K	0.21	50.95	7	2	179	70
2012-09-14	$134.76	$128.00	12.1%	3.5%	10.9%	5.3%	22.6%	3.9%	2.4%	17.6K	-2.2M	-1.5K	0.00	44.23	2	0	185	71
2012-09-17	$134.36	$128.00	12.2%	3.5%	11.1%	5.4%	0.0%	3.9%	2.2%	4.0K	-2.2M	-1.5K	0.00	39.79	3	0	185	71
2012-09-18	$134.22	$128.00	11.2%	3.2%	11.1%	4.2%	11.2%	3.5%	3.0%	5.4K	-2.2M	-1.7K	0.00	39.29	0	1	188	71
2012-09-19	$134.32	$128.00	11.3%	3.3%	10.9%	4.5%	21.7%	3.0%	2.9%	-792	-2.2M	-1.7K	0.00	42.23	2	0	188	71
2012-09-20	$134.30	$128.00	10.2%	2.9%	11.0%	3.2%	15.5%	3.2%	3.1%	5.7K	-2.2M	-1.5K	3.50	44.13	1	4	189	71
2012-09-21	$134.22	$128.00	10.1%	2.9%	10.4%	3.0%	10.1%	18.7%	6.5%	74.6K	-1.7M	-1.9K	0.00	76.97	244	0	189	75
2012-09-24	$133.36	$134.00	9.9%	2.8%	10.7%	2.8%	0.0%	2.9%	2.1%	32.5K	-836.1K	-6.0K	0.00	59.89	6	0	138	62
2012-09-25	$132.00	$134.00	11.8%	3.4%	11.5%	5.0%	12.5%	3.6%	1.3%	33.2K	-772.3K	-6.3K	0.00	59.83	0	2	144	62
2012-09-26	$131.16	$134.00	12.2%	3.5%	11.8%	5.4%	11.0%	3.4%	1.0%	29.1K	-688.7K	-6.2K	0.00	58.16	6	0	144	63
2012-09-27	$132.44	$134.00	11.4%	3.3%	12.2%	4.5%	0.0%	4.3%	1.4%	34.3K	-806.3K	-6.2K	0.00	65.86	0	0	145	63
2012-09-28	$131.84	$134.00	12.0%	3.4%	11.9%	5.2%	0.0%	3.1%	1.2%	32.4K	-747.8K	-6.2K	0.00	68.98	0	0	145	63