VOO Options History — November 2012

In November 2012, VOO traded between $124.14 and $130.86. ATM implied volatility averaged 15.2%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.8% (HV 20d: 14.4%). Max pain ranged from $128.00 to $128.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.16.

Notable Days

2012-11-07: Highest Volume — 25 contracts
2012-11-02: Largest IV drop — 55.8% change
2012-11-01: Highest IV Rank — 24.6%
2012-11-01: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$127.98	$124.14	$130.86	$130.78	$130.00
Max Pain	$128.00	$128.00	$128.00	$128.00	$128.00
ATM IV	15.2%	12.4%	28.7%	28.7%	13.1%
Expected Move	4.3%	3.6%	8.2%	8.2%	3.8%
HV 20d	14.4%	11.9%	16.2%	12.1%	15.0%
HV 60d	12.0%	10.2%	12.9%	10.2%	12.9%
IV Rank	8.9%	5.7%	24.6%	24.6%	6.5%
IV Percentile	46.6%	23.0%	91.7%	91.7%	36.5%
Term Structure	-1.1%	-27.4%	1.9%	-27.4%	0.4%
VWIV	14.1%	11.2%	18.4%	12.5%	12.8%
Skew 25d	5.1%	-0.1%	36.6%	36.6%	5.0%
Skew 10d	9.4%	1.7%	44.0%	44.0%	7.2%
Call IV 25d	12.5%	9.6%	14.5%	9.6%	10.2%
Put IV 25d	17.6%	12.4%	46.2%	46.2%	15.1%
Bid-Ask Spread %	55.92	31.23	133.36	133.36	60.77
Gamma HHI	0.48	0.36	0.60	0.44	0.59
Net GEX	59.6K	6.5K	86.2K	51.6K	86.2K
Net DEX	-584.3K	-914.7K	-174.6K	-764.7K	-860.2K
Net VEX	-5.4K	-5.8K	-5.1K	-5.7K	-5.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.00	16.00	0.00	0.00
Total Volume	5.667	0	25	0	0
Total OI	230.762	205	257	205	229

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
2012-11-01	$130.78	$128.00	28.7%	8.2%	12.1%	24.6%	0.0%	36.6%	-27.4%	51.6K	-764.7K	-5.7K	0.00	133.36	0	0	150	55
2012-11-02	$129.60	$128.00	12.7%	3.6%	12.3%	6.0%	12.5%	-0.1%	1.9%	51.9K	-727.7K	-5.6K	0.00	102.66	1	0	150	55
2012-11-05	$129.90	$128.00	17.0%	4.4%	11.9%	11.0%	0.0%	4.6%	-0.0%	52.0K	-713.6K	-5.6K	0.00	36.84	15	0	151	55
2012-11-06	$130.86	$128.00	16.7%	4.3%	12.3%	10.7%	0.0%	4.2%	-0.2%	81.5K	-914.7K	-5.7K	0.00	44.39	16	0	166	55
2012-11-07	$128.00	$128.00	16.5%	4.6%	14.4%	10.5%	18.4%	3.9%	-0.5%	85.3K	-670.7K	-5.8K	0.36	34.59	18	7	182	55
2012-11-08	$126.30	$128.00	15.6%	4.7%	14.7%	9.3%	16.3%	4.3%	0.1%	64.6K	-470.6K	-5.6K	0.00	36.89	0	2	183	62
2012-11-09	$126.44	$128.00	16.1%	4.7%	14.7%	9.9%	15.9%	3.7%	-0.0%	64.6K	-482.1K	-5.6K	16.00	31.23	1	8	183	63
2012-11-12	$126.62	$128.00	15.4%	4.4%	14.7%	9.1%	14.6%	3.7%	0.2%	57.2K	-436.7K	-5.6K	0.00	37.69	6	0	184	71
2012-11-13	$126.16	$128.00	15.5%	4.3%	14.7%	9.2%	0.0%	3.0%	0.3%	49.1K	-398.3K	-5.5K	0.00	38.60	3	0	185	71
2012-11-14	$124.62	$128.00	17.5%	4.7%	14.6%	11.6%	13.8%	3.6%	0.1%	18.7K	-199.3K	-5.1K	0.40	38.52	3	1	184	71
2012-11-15	$124.14	$128.00	16.1%	4.6%	13.8%	10.0%	14.6%	3.7%	0.3%	6.5K	-174.6K	-5.1K	2.50	41.93	1	3	185	72
2012-11-16	$124.78	$128.00	15.4%	4.4%	13.8%	9.1%	12.9%	4.1%	0.3%	14.3K	-231.7K	-5.1K	0.00	48.39	4	0	184	72
2012-11-19	$127.32	$128.00	12.9%	3.7%	16.2%	6.3%	11.2%	3.8%	0.3%	55.8K	-492.5K	-5.3K	0.00	58.51	5	0	157	62
2012-11-20	$127.46	$128.00	12.6%	3.6%	15.2%	5.9%	12.2%	3.7%	0.5%	62.6K	-498.6K	-5.3K	0.00	49.76	1	0	162	62
2012-11-21	$127.74	$128.00	13.1%	3.7%	15.3%	6.4%	0.0%	3.4%	0.4%	64.4K	-548.6K	-5.3K	0.00	53.11	0	0	162	62
2012-11-23	$129.36	$128.00	12.5%	3.6%	15.2%	5.8%	14.3%	3.6%	0.2%	73.9K	-712.5K	-5.5K	0.20	55.92	5	1	162	62
2012-11-26	$129.20	$128.00	12.4%	3.6%	15.2%	5.7%	0.0%	3.5%	-0.1%	73.3K	-722.3K	-5.1K	0.33	69.72	3	1	156	51
2012-11-27	$128.58	$128.00	13.7%	3.9%	15.2%	7.2%	12.8%	2.4%	0.4%	70.8K	-659.4K	-5.4K	0.00	50.11	4	0	162	61
2012-11-28	$129.54	$128.00	13.1%	3.7%	15.5%	6.4%	0.0%	3.9%	-0.1%	81.5K	-753.4K	-5.4K	0.00	97.31	1	0	165	61
2012-11-29	$130.12	$128.00	12.7%	3.6%	15.5%	6.0%	0.0%	3.1%	0.5%	84.8K	-838.8K	-5.4K	0.00	54.12	9	0	165	61
2012-11-30	$130.00	$128.00	13.1%	3.8%	15.0%	6.5%	0.0%	5.0%	0.4%	86.2K	-860.2K	-5.4K	0.00	60.77	0	0	168	61