VOO Options History — February 2013

In February 2013, VOO traded between $136.46 and $140.28. ATM implied volatility averaged 11.1%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 2.3% (HV 20d: 8.8%). Max pain ranged from $132.00 to $138.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.91.

Notable Days

2013-02-27: Highest Volume — 78 contracts
2013-02-25: Largest IV spike — 81.4% change
2013-02-25: Highest IV Rank — 20.5%
2013-02-25: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$138.60	$136.46	$140.28	$138.44	$138.94
Max Pain	$134.53	$132.00	$138.00	$132.00	$138.00
ATM IV	11.1%	9.4%	17.8%	9.5%	12.8%
Expected Move	3.3%	2.7%	5.1%	3.2%	3.7%
HV 20d	8.8%	5.9%	12.8%	5.9%	12.7%
HV 60d	11.1%	10.2%	12.5%	12.3%	11.5%
IV Rank	7.2%	3.7%	20.5%	3.9%	10.4%
IV Percentile	20.1%	4.4%	85.7%	4.4%	42.9%
Term Structure	0.5%	-2.1%	2.2%	0.6%	0.5%
VWIV	11.9%	8.7%	21.3%	9.6%	16.0%
Skew 25d	4.2%	1.6%	6.8%	3.6%	4.3%
Skew 10d	5.9%	1.0%	13.8%	1.0%	8.5%
Call IV 25d	9.4%	6.0%	14.3%	9.1%	10.7%
Put IV 25d	13.6%	11.5%	21.0%	12.8%	15.0%
Bid-Ask Spread %	68.93	48.64	96.14	57.44	77.68
Gamma HHI	0.26	0.21	0.30	0.27	0.21
Net GEX	145.6K	91.1K	192.4K	164.5K	91.1K
Net DEX	-1.7M	-2.1M	-1.3M	-1.7M	-1.7M
Net VEX	-4.0K	-5.6K	-3.2K	-3.7K	-5.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.00	6.33	0.11	0.00
Total Volume	13.105	0	78	6	39
Total OI	238.632	208	332	216	332

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
2013-02-01	$138.44	$132.00	9.5%	3.2%	5.9%	3.9%	0.0%	3.6%	0.6%	164.5K	-1.7M	-3.7K	0.11	57.44	5	1	180	36
2013-02-04	$136.92	$132.00	11.6%	3.5%	7.4%	8.1%	0.0%	2.7%	0.6%	178.1K	-1.5M	-3.9K	0.00	48.64	0	0	184	36
2013-02-05	$138.32	$132.00	9.9%	3.2%	7.9%	4.8%	0.0%	3.6%	0.2%	174.5K	-1.8M	-3.5K	0.63	59.37	8	5	184	36
2013-02-06	$138.44	$132.00	9.7%	3.2%	7.7%	4.3%	9.6%	3.1%	0.9%	190.4K	-1.7M	-4.1K	0.00	61.54	1	0	192	41
2013-02-07	$138.26	$132.00	10.9%	3.1%	7.8%	6.8%	0.0%	5.3%	1.1%	192.4K	-1.8M	-3.9K	0.11	80.09	5	1	193	41
2013-02-08	$139.02	$132.00	9.6%	2.8%	7.7%	4.2%	10.9%	6.0%	1.0%	169.2K	-1.9M	-3.8K	0.00	88.18	4	0	196	41
2013-02-11	$138.96	$132.00	11.0%	3.2%	7.7%	7.0%	0.0%	3.7%	0.4%	177.5K	-2.0M	-3.7K	0.00	77.22	0	0	200	41
2013-02-12	$139.18	$132.00	10.0%	2.9%	7.6%	4.9%	0.0%	1.6%	0.8%	172.6K	-2.0M	-3.8K	0.00	81.85	0	0	200	41
2013-02-13	$139.30	$132.00	10.3%	3.0%	7.6%	5.6%	11.4%	2.6%	0.4%	166.7K	-2.0M	-3.7K	1.00	78.39	1	1	200	41
2013-02-14	$139.50	$132.00	9.9%	2.8%	7.6%	4.7%	10.8%	5.7%	0.8%	148.7K	-2.1M	-3.5K	0.50	86.73	3	2	200	42
2013-02-15	$139.32	$136.00	9.5%	2.7%	7.5%	3.9%	9.9%	5.3%	0.5%	164.0K	-2.1M	-3.5K	0.00	96.14	14	0	203	43
2013-02-19	$140.28	$136.00	9.4%	2.7%	7.7%	3.7%	8.7%	3.5%	0.8%	101.7K	-1.7M	-3.2K	0.00	88.88	13	0	169	39
2013-02-20	$138.54	$136.00	12.2%	3.5%	9.1%	9.4%	11.5%	4.3%	-0.1%	109.5K	-1.6M	-4.2K	0.86	56.61	7	6	182	39
2013-02-21	$137.88	$138.00	12.2%	3.5%	9.3%	9.4%	11.3%	4.2%	0.4%	109.2K	-1.5M	-4.5K	0.00	49.89	8	0	188	40
2013-02-22	$139.08	$138.00	9.8%	2.8%	9.7%	4.6%	9.6%	4.4%	2.2%	110.5K	-1.6M	-4.2K	0.00	60.65	16	0	185	40
2013-02-25	$136.46	$138.00	17.8%	5.1%	11.8%	20.5%	21.3%	6.8%	-2.1%	112.4K	-1.3M	-4.6K	6.33	52.33	3	19	194	40
2013-02-26	$137.38	$138.00	14.1%	4.0%	12.1%	13.1%	0.0%	4.3%	-0.5%	109.1K	-1.4M	-4.7K	0.00	50.63	9	0	194	59
2013-02-27	$139.10	$138.00	11.5%	3.3%	12.8%	7.9%	16.0%	4.1%	0.2%	124.7K	-1.7M	-4.8K	5.00	57.32	13	65	203	59
2013-02-28	$138.94	$138.00	12.8%	3.7%	12.7%	10.4%	0.0%	4.3%	0.5%	91.1K	-1.7M	-5.6K	0.00	77.68	39	0	214	118