VOO Options History — March 2013

In March 2013, VOO traded between $139.30 and $143.52. ATM implied volatility averaged 10.1%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 0.6% (HV 20d: 10.7%). Max pain ranged from $130.00 to $138.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.57.

Notable Days

2013-03-04: Highest Volume — 29 contracts
2013-03-14: Largest IV spike — 25.2% change
2013-03-25: Highest IV Rank — 12.8%
2013-03-25: Largest Expected Move — 3.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$142.25	$139.30	$143.52	$139.30	$143.28
Max Pain	$132.40	$130.00	$138.00	$138.00	$138.00
ATM IV	10.1%	7.7%	12.0%	11.4%	10.1%
Expected Move	3.1%	2.6%	3.5%	3.3%	2.9%
HV 20d	10.7%	6.9%	12.7%	12.7%	6.9%
HV 60d	11.1%	9.9%	11.5%	11.4%	9.9%
IV Rank	6.5%	0.0%	12.8%	7.7%	7.0%
IV Percentile	12.2%	0.0%	34.1%	19.4%	11.1%
Term Structure	1.3%	-0.3%	2.6%	0.5%	1.0%
VWIV	11.4%	9.6%	13.6%	10.1%	11.7%
Skew 25d	4.0%	2.4%	6.2%	5.8%	6.2%
Skew 10d	8.4%	5.9%	11.2%	11.2%	6.4%
Call IV 25d	9.0%	6.0%	10.8%	8.5%	6.0%
Put IV 25d	13.0%	11.7%	14.7%	14.3%	12.1%
Bid-Ask Spread %	82.41	69.92	97.98	69.92	71.46
Gamma HHI	0.23	0.19	0.28	0.20	0.28
Net GEX	131.4K	110.8K	184.8K	124.4K	114.9K
Net DEX	-2.3M	-3.0M	-1.1M	-2.0M	-1.3M
Net VEX	-4.5K	-6.0K	-3.9K	-6.0K	-4.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.57	0.00	10.00	0.00	0.00
Total Volume	7	0	29	1	5
Total OI	339.25	215	418	368	233

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
2013-03-01	$139.30	$138.00	11.4%	3.3%	12.7%	7.7%	0.0%	5.8%	0.5%	124.4K	-2.0M	-6.0K	0.00	69.92	1	0	250	118
2013-03-04	$140.08	$130.00	10.4%	3.4%	12.4%	5.7%	0.0%	4.1%	1.5%	184.8K	-2.2M	-5.3K	0.00	78.00	0	29	250	118
2013-03-05	$141.28	$130.00	9.4%	3.2%	11.9%	3.8%	10.1%	3.4%	1.8%	124.9K	-2.4M	-5.1K	0.00	76.12	4	0	250	145
2013-03-06	$141.54	$130.00	9.4%	3.2%	11.5%	3.7%	0.0%	3.7%	2.0%	129.2K	-2.5M	-5.1K	0.00	76.30	0	5	252	145
2013-03-07	$141.80	$130.00	8.8%	3.0%	11.5%	2.7%	0.0%	3.4%	2.4%	125.5K	-2.6M	-4.8K	0.00	82.97	0	1	252	150
2013-03-08	$142.36	$130.00	9.1%	3.1%	11.5%	3.1%	12.3%	3.6%	2.4%	144.8K	-2.7M	-4.4K	0.27	97.98	6	2	252	151
2013-03-11	$142.88	$130.00	8.8%	3.0%	11.4%	1.2%	9.6%	3.3%	2.1%	134.0K	-2.9M	-4.0K	0.05	83.45	10	1	252	151
2013-03-12	$142.56	$130.00	9.8%	3.1%	11.5%	4.6%	10.1%	2.6%	1.6%	160.4K	-2.9M	-4.2K	0.10	82.36	5	1	262	152
2013-03-13	$142.76	$130.00	7.7%	3.1%	11.5%	0.0%	0.0%	2.4%	1.8%	147.2K	-2.9M	-4.1K	0.00	82.66	0	0	265	152
2013-03-14	$143.52	$130.00	9.6%	2.8%	11.5%	5.7%	0.0%	2.6%	2.6%	127.5K	-3.0M	-3.9K	0.00	86.78	0	1	265	152
2013-03-15	$143.32	$130.00	9.6%	2.8%	11.6%	5.7%	13.6%	2.4%	2.3%	132.9K	-3.0M	-3.9K	0.00	83.72	0	1	265	153
2013-03-18	$142.54	$130.00	10.9%	3.1%	11.8%	9.4%	13.3%	3.0%	0.8%	128.1K	-2.6M	-4.1K	0.47	78.68	15	7	243	54
2013-03-19	$142.20	$130.00	12.0%	3.4%	11.7%	12.6%	12.6%	2.7%	0.2%	134.8K	-2.6M	-4.7K	2.08	90.96	7	14	257	61
2013-03-20	$143.18	$130.00	10.3%	3.0%	10.8%	7.8%	11.3%	5.6%	0.7%	130.4K	-2.8M	-4.4K	5.00	91.32	1	3	262	67
2013-03-21	$142.02	$130.00	11.5%	3.3%	11.1%	11.2%	0.0%	3.9%	0.3%	120.1K	-2.7M	-4.3K	0.00	87.30	1	0	262	69
2013-03-22	$142.38	$138.00	11.2%	3.2%	10.8%	10.3%	0.0%	5.2%	1.4%	113.9K	-1.1M	-4.2K	0.50	86.08	2	1	146	69
2013-03-25	$141.98	$138.00	12.0%	3.5%	7.9%	12.8%	0.0%	4.8%	-0.3%	110.8K	-1.1M	-4.3K	1.00	84.61	1	1	148	70
2013-03-26	$143.04	$138.00	9.2%	2.6%	7.9%	4.4%	11.1%	5.5%	0.8%	122.7K	-1.2M	-4.1K	2.50	73.37	1	3	149	71
2013-03-27	$142.96	$138.00	11.1%	3.2%	7.0%	9.9%	10.1%	5.9%	0.4%	117.0K	-1.2M	-4.1K	10.00	84.21	1	10	149	73
2013-03-28	$143.28	$138.00	10.1%	2.9%	6.9%	7.0%	11.7%	6.2%	1.0%	114.9K	-1.3M	-4.1K	0.00	71.46	5	0	150	83