VOO Options History — January 2013

In January 2013, VOO traded between $133.28 and $137.98. ATM implied volatility averaged 10.4%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 2.7% (HV 20d: 13.1%). Max pain ranged from $128.00 to $132.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.14.

Notable Days

2013-01-24: Highest Volume — 27 contracts
2013-01-04: Largest IV drop — 17.7% change
2013-01-10: Highest IV Rank — 8.7%
2013-01-04: Largest Expected Move — 3.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$135.43	$133.28	$137.98	$133.60	$137.12
Max Pain	$129.90	$128.00	$132.00	$128.00	$132.00
ATM IV	10.4%	8.8%	11.9%	11.0%	10.7%
Expected Move	3.1%	2.5%	3.5%	3.1%	3.1%
HV 20d	13.1%	5.2%	14.9%	14.7%	5.2%
HV 60d	13.1%	12.2%	13.8%	13.8%	12.2%
IV Rank	5.8%	2.6%	8.7%	6.9%	6.3%
IV Percentile	8.4%	1.6%	19.0%	8.3%	9.9%
Term Structure	1.8%	0.4%	3.5%	2.2%	1.0%
VWIV	10.9%	8.8%	13.7%	11.0%	10.5%
Skew 25d	3.8%	1.5%	6.1%	4.8%	1.5%
Skew 10d	3.9%	1.4%	7.0%	2.8%	2.0%
Call IV 25d	8.3%	6.6%	10.6%	8.4%	8.3%
Put IV 25d	12.1%	9.8%	14.1%	13.2%	9.8%
Bid-Ask Spread %	85.03	56.31	100.32	56.31	70.72
Gamma HHI	0.28	0.23	0.36	0.36	0.27
Net GEX	124.2K	85.5K	170.2K	94.5K	162.3K
Net DEX	-1.4M	-1.6M	-1.1M	-1.1M	-1.5M
Net VEX	-3.9K	-4.3K	-3.7K	-3.7K	-4.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.14	0.00	1.22	1.22	0.00
Total Volume	6.381	0	27	11	3
Total OI	236.476	187	275	232	216

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
2013-01-02	$133.60	$128.00	11.0%	3.1%	14.7%	6.9%	11.0%	4.8%	2.2%	94.5K	-1.1M	-3.7K	1.22	56.31	5	6	149	83
2013-01-03	$133.48	$128.00	11.8%	3.4%	14.7%	8.4%	11.7%	2.4%	0.6%	92.7K	-1.1M	-3.8K	0.00	64.40	6	0	149	88
2013-01-04	$134.04	$128.00	9.7%	3.5%	14.7%	4.3%	10.8%	3.5%	0.9%	100.1K	-1.2M	-3.8K	0.00	83.74	7	0	155	88
2013-01-07	$133.68	$128.00	9.1%	3.4%	14.8%	3.2%	0.0%	5.1%	1.9%	115.3K	-1.2M	-3.7K	0.00	90.14	1	0	158	88
2013-01-08	$133.28	$128.00	9.9%	3.3%	14.8%	4.8%	13.7%	3.9%	1.9%	119.8K	-1.1M	-3.7K	0.02	93.61	21	1	158	88
2013-01-09	$133.68	$128.00	10.3%	3.4%	14.9%	5.6%	0.0%	4.7%	1.5%	123.9K	-1.3M	-4.2K	0.00	86.89	18	0	173	88
2013-01-10	$134.66	$128.00	11.9%	3.4%	14.9%	8.7%	0.0%	6.1%	2.0%	124.2K	-1.5M	-4.3K	0.00	90.00	0	0	182	88
2013-01-11	$134.72	$128.00	11.8%	3.4%	14.9%	8.4%	0.0%	5.3%	2.2%	124.7K	-1.5M	-4.2K	0.00	92.45	1	0	182	88
2013-01-14	$134.60	$128.00	11.7%	3.4%	14.7%	8.3%	0.0%	2.7%	2.3%	119.7K	-1.5M	-4.1K	0.00	89.93	0	0	182	88
2013-01-15	$134.66	$128.00	11.7%	3.4%	14.6%	8.3%	10.3%	5.5%	1.9%	118.0K	-1.5M	-4.1K	0.00	97.17	3	0	182	88
2013-01-16	$134.66	$128.00	11.2%	3.2%	14.1%	7.3%	12.0%	4.7%	2.7%	119.4K	-1.5M	-4.0K	0.00	100.32	0	3	181	88
2013-01-17	$135.50	$132.00	10.2%	2.9%	13.8%	5.4%	0.0%	3.1%	3.3%	95.9K	-1.5M	-3.9K	0.00	98.58	8	0	176	91
2013-01-18	$135.88	$132.00	9.1%	2.6%	13.5%	3.2%	8.8%	2.5%	3.5%	85.5K	-1.6M	-4.0K	0.00	96.18	12	0	184	91
2013-01-22	$136.54	$132.00	10.1%	2.9%	13.4%	5.1%	0.0%	3.9%	1.2%	122.2K	-1.3M	-4.0K	0.00	83.94	0	0	158	29
2013-01-23	$136.74	$132.00	9.9%	2.8%	12.8%	4.8%	0.0%	3.8%	1.7%	119.4K	-1.4M	-3.8K	0.00	81.53	0	0	158	29
2013-01-24	$136.82	$132.00	10.1%	2.9%	12.0%	5.2%	9.5%	3.4%	1.6%	122.0K	-1.4M	-3.7K	0.02	82.79	26	1	158	29
2013-01-25	$137.58	$132.00	8.8%	2.5%	11.7%	2.6%	0.0%	3.8%	1.7%	166.8K	-1.6M	-3.8K	0.00	78.81	0	0	175	30
2013-01-28	$137.42	$132.00	9.0%	2.6%	11.8%	3.0%	0.0%	3.4%	2.1%	170.2K	-1.5M	-3.8K	0.00	99.78	0	4	175	30
2013-01-29	$137.98	$132.00	10.4%	3.0%	10.5%	5.8%	10.5%	3.8%	0.4%	155.8K	-1.6M	-3.8K	0.67	76.76	3	2	175	34
2013-01-30	$137.44	$132.00	10.8%	3.1%	9.6%	6.5%	0.0%	2.8%	0.6%	156.0K	-1.6M	-3.8K	0.00	71.62	3	0	178	36
2013-01-31	$137.12	$132.00	10.7%	3.1%	5.2%	6.3%	0.0%	1.5%	1.0%	162.3K	-1.5M	-4.0K	0.00	70.72	3	0	180	36