VOO Options History — December 2012

In December 2012, VOO traded between $128.18 and $133.08. ATM implied volatility averaged 14.0%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.2% (HV 20d: 10.8%). Max pain ranged from $128.00 to $128.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.87.

Notable Days

2012-12-31: Highest Volume — 126 contracts
2012-12-28: Largest IV spike — 21.9% change
2012-12-28: Highest IV Rank — 22.1%
2012-12-28: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$130.63	$128.18	$133.08	$129.54	$130.38
Max Pain	$128.00	$128.00	$128.00	$128.00	$128.00
ATM IV	14.0%	12.0%	18.7%	13.5%	16.6%
Expected Move	4.1%	3.6%	5.4%	3.9%	4.8%
HV 20d	10.8%	8.5%	14.7%	14.7%	12.0%
HV 60d	12.2%	11.7%	12.9%	12.9%	12.9%
IV Rank	10.8%	5.2%	22.1%	6.9%	18.0%
IV Percentile	45.0%	16.7%	87.7%	38.5%	75.0%
Term Structure	0.9%	-1.0%	1.9%	0.4%	-0.7%
VWIV	15.3%	12.3%	21.3%	15.5%	15.3%
Skew 25d	3.4%	-2.9%	4.9%	3.3%	4.0%
Skew 10d	9.3%	3.5%	14.9%	7.2%	13.5%
Call IV 25d	12.8%	11.7%	16.5%	12.0%	14.2%
Put IV 25d	16.2%	9.8%	20.5%	15.3%	18.3%
Bid-Ask Spread %	48.51	27.98	81.45	34.16	48.48
Gamma HHI	0.47	0.40	0.59	0.59	0.44
Net GEX	89.7K	56.2K	129.5K	84.7K	76.7K
Net DEX	-920.7K	-1.3M	-596.9K	-804.2K	-832.1K
Net VEX	-5.3K	-5.6K	-4.9K	-5.3K	-4.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.87	0.00	12.75	0.67	0.00
Total Volume	11.2	0	126	5	126
Total OI	254.55	229	271	229	254

Daily Data (20 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
2012-12-03	$129.54	$128.00	13.5%	3.9%	14.7%	6.9%	15.5%	3.3%	0.4%	84.7K	-804.2K	-5.3K	0.67	34.16	3	2	168	61
2012-12-04	$129.30	$128.00	13.7%	3.9%	14.6%	7.2%	0.0%	2.5%	0.8%	81.8K	-782.2K	-5.4K	0.00	52.62	0	1	170	63
2012-12-05	$129.58	$128.00	13.1%	3.8%	14.4%	6.5%	15.5%	2.8%	0.8%	84.3K	-784.6K	-5.3K	4.50	39.28	4	18	170	64
2012-12-06	$129.98	$128.00	13.6%	3.9%	12.0%	7.0%	0.0%	4.0%	0.4%	74.1K	-772.1K	-5.6K	0.00	27.98	0	0	174	80
2012-12-07	$130.38	$128.00	12.7%	4.0%	10.7%	6.1%	0.0%	3.4%	1.0%	79.9K	-837.8K	-5.6K	0.00	59.72	0	0	174	80
2012-12-10	$130.46	$128.00	12.8%	4.1%	10.7%	6.1%	16.9%	3.2%	0.8%	84.4K	-874.1K	-5.5K	0.00	58.47	0	2	174	80
2012-12-11	$131.30	$128.00	12.2%	3.7%	10.9%	5.5%	14.8%	3.5%	1.7%	86.9K	-965.9K	-5.4K	2.00	45.24	3	6	174	82
2012-12-12	$131.40	$128.00	12.0%	3.8%	10.7%	5.2%	12.3%	3.3%	1.8%	88.8K	-1.0M	-5.4K	0.00	42.69	4	0	177	87
2012-12-13	$130.60	$128.00	14.0%	4.0%	9.8%	7.5%	12.7%	-2.9%	1.6%	97.3K	-936.5K	-5.5K	0.00	46.46	2	0	181	87
2012-12-14	$130.18	$128.00	14.3%	4.1%	9.7%	13.5%	0.0%	3.3%	1.2%	95.0K	-848.0K	-5.4K	0.00	49.41	2	0	182	87
2012-12-17	$131.74	$128.00	13.8%	4.0%	10.3%	12.4%	0.0%	4.2%	0.9%	123.8K	-1.1M	-5.2K	0.00	49.42	2	0	182	87
2012-12-18	$133.08	$128.00	12.5%	3.6%	8.5%	10.0%	12.6%	3.4%	1.3%	107.9K	-1.3M	-5.2K	0.00	43.40	2	0	183	87
2012-12-19	$132.10	$128.00	13.8%	4.0%	9.1%	12.4%	0.0%	3.2%	1.3%	116.9K	-1.2M	-5.1K	0.00	35.63	0	0	182	87
2012-12-20	$132.92	$128.00	14.0%	4.0%	9.3%	12.9%	13.7%	3.9%	0.4%	103.4K	-1.3M	-5.1K	2.00	81.45	2	4	182	87
2012-12-21	$131.68	$128.00	13.0%	3.7%	9.2%	10.9%	12.6%	4.9%	1.8%	129.5K	-1.1M	-5.1K	0.88	49.22	4	4	182	89
2012-12-24	$130.36	$128.00	15.2%	4.4%	10.0%	15.3%	0.0%	4.9%	1.9%	75.2K	-855.0K	-5.2K	0.00	65.59	0	1	169	71
2012-12-26	$129.74	$128.00	15.0%	4.3%	10.0%	14.8%	16.5%	4.8%	0.7%	74.4K	-798.8K	-5.0K	1.50	55.97	1	2	169	71
2012-12-27	$129.62	$128.00	15.3%	4.4%	9.6%	15.5%	21.3%	4.5%	1.0%	73.0K	-773.1K	-5.0K	12.75	43.30	2	26	169	72
2012-12-28	$128.18	$128.00	18.7%	5.4%	10.3%	22.1%	18.6%	4.0%	-1.0%	56.2K	-596.9K	-5.0K	0.00	41.76	0	1	171	82
2012-12-31	$130.38	$128.00	16.6%	4.8%	12.0%	18.0%	15.3%	4.0%	-0.7%	76.7K	-832.1K	-4.9K	0.00	48.48	125	1	171	83