VOO Options History — October 2012

In October 2012, VOO traded between $129.12 and $133.86. ATM implied volatility averaged 14.9%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 4.4% (HV 20d: 10.5%). Max pain ranged from $128.00 to $134.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.30.

Notable Days

2012-10-24: Highest Volume — 13 contracts
2012-10-31: Largest IV spike — 101.8% change
2012-10-01: Highest IV Rank — 39.5%
2012-10-01: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$131.67	$129.12	$133.86	$132.08	$129.26
Max Pain	$132.19	$128.00	$134.00	$134.00	$128.00
ATM IV	14.9%	10.3%	41.6%	41.6%	29.5%
Expected Move	4.3%	3.1%	11.9%	11.9%	8.5%
HV 20d	10.5%	8.3%	12.1%	11.8%	11.2%
HV 60d	11.0%	10.0%	11.6%	11.6%	10.0%
IV Rank	8.5%	3.2%	39.5%	39.5%	25.5%
IV Percentile	31.6%	4.4%	94.4%	94.4%	92.9%
Term Structure	-1.8%	-30.0%	1.9%	-28.2%	-30.0%
VWIV	13.5%	11.1%	16.8%	11.1%	14.3%
Skew 25d	5.7%	1.7%	34.3%	16.2%	34.3%
Skew 10d	6.7%	-0.5%	16.0%	-0.5%	16.0%
Call IV 25d	11.6%	9.5%	15.7%	10.0%	15.7%
Put IV 25d	17.3%	12.5%	50.0%	26.3%	50.0%
Bid-Ask Spread %	66.56	33.55	133.89	128.77	133.89
Gamma HHI	0.40	0.34	0.49	0.40	0.43
Net GEX	45.3K	32.2K	71.0K	33.0K	49.7K
Net DEX	-783.8K	-994.1K	-583.8K	-771.2K	-655.2K
Net VEX	-6.1K	-6.2K	-5.7K	-6.1K	-5.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.30	0.00	4.00	4.00	1.08
Total Volume	2.81	0	13	3	0
Total OI	220.095	203	242	208	205

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
2012-10-01	$132.08	$134.00	41.6%	11.9%	11.8%	39.5%	11.1%	16.2%	-28.2%	33.0K	-771.2K	-6.1K	4.00	128.77	1	2	145	63
2012-10-02	$132.26	$134.00	12.3%	3.5%	11.8%	5.6%	0.0%	3.0%	0.6%	35.2K	-782.0K	-6.2K	0.00	68.33	0	0	145	65
2012-10-03	$132.80	$134.00	11.6%	3.3%	11.8%	4.7%	11.1%	1.7%	1.7%	37.7K	-844.9K	-6.1K	0.00	85.30	5	0	145	65
2012-10-04	$133.82	$134.00	10.9%	3.1%	9.7%	3.9%	0.0%	2.5%	1.3%	50.9K	-959.9K	-6.1K	0.00	53.86	1	0	150	65
2012-10-05	$133.78	$134.00	10.3%	3.4%	9.7%	3.2%	0.0%	3.6%	1.9%	54.3K	-961.4K	-6.1K	1.00	43.45	5	5	151	65
2012-10-08	$133.38	$134.00	11.1%	3.5%	9.5%	4.1%	14.3%	3.8%	1.5%	53.4K	-966.8K	-6.2K	0.00	42.84	0	1	156	70
2012-10-09	$132.08	$134.00	12.5%	3.9%	10.1%	5.8%	0.0%	3.4%	1.1%	46.3K	-832.4K	-6.2K	0.00	44.76	0	0	156	71
2012-10-10	$131.18	$134.00	12.3%	3.8%	10.4%	5.6%	13.4%	3.6%	1.0%	41.3K	-734.7K	-6.2K	1.00	41.43	1	1	156	71
2012-10-11	$131.26	$132.00	12.9%	3.7%	8.4%	6.2%	12.9%	3.5%	1.4%	42.8K	-738.2K	-6.1K	0.00	47.64	0	5	156	71
2012-10-12	$130.80	$132.00	13.9%	4.0%	8.3%	7.4%	16.8%	3.6%	0.4%	32.7K	-656.8K	-6.2K	0.00	33.55	0	8	156	76
2012-10-15	$131.90	$132.00	12.9%	3.7%	8.9%	6.3%	0.0%	4.1%	0.9%	40.1K	-737.3K	-6.1K	0.00	57.10	0	0	156	84
2012-10-16	$133.24	$132.00	12.0%	3.4%	9.8%	5.2%	0.0%	3.7%	1.6%	56.9K	-902.7K	-6.1K	0.00	87.23	0	0	156	84
2012-10-17	$133.86	$132.00	12.0%	3.4%	9.9%	5.2%	0.0%	5.0%	1.6%	64.1K	-994.1K	-6.0K	3.00	71.44	1	2	156	84
2012-10-18	$133.52	$132.00	11.8%	3.4%	9.9%	5.0%	0.0%	4.1%	1.4%	71.0K	-949.7K	-5.9K	0.00	72.03	0	4	156	82
2012-10-19	$131.24	$132.00	12.5%	3.6%	11.6%	5.8%	13.7%	4.0%	1.5%	32.2K	-671.6K	-6.1K	0.33	83.12	2	1	156	86
2012-10-22	$131.32	$132.00	12.9%	3.7%	11.5%	6.2%	0.0%	5.0%	0.6%	39.3K	-759.5K	-6.0K	0.00	61.05	0	0	145	58
2012-10-23	$129.40	$132.00	15.2%	4.4%	12.1%	8.9%	0.0%	3.5%	0.1%	37.5K	-619.9K	-5.9K	0.00	89.71	0	0	145	58
2012-10-24	$129.12	$132.00	15.0%	4.3%	11.9%	8.7%	14.3%	4.3%	0.4%	36.3K	-583.8K	-5.9K	1.08	49.97	6	7	145	58
2012-10-25	$129.48	$128.00	14.7%	4.2%	11.3%	8.3%	0.0%	3.8%	0.4%	48.3K	-666.4K	-5.9K	0.00	52.74	0	1	150	55
2012-10-26	$129.38	$128.00	14.6%	4.2%	11.3%	8.2%	0.0%	4.0%	0.4%	48.1K	-672.3K	-5.9K	0.00	49.43	0	0	150	55
2012-10-31	$129.26	$128.00	29.5%	8.5%	11.2%	25.5%	0.0%	34.3%	-30.0%	49.7K	-655.2K	-5.7K	0.00	133.89	0	0	150	55