VOO Options History — April 2013

In April 2013, VOO traded between $140.86 and $146.28. ATM implied volatility averaged 11.8%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 0.3% (HV 20d: 11.4%). Max pain ranged from $138.00 to $146.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.13.

Notable Days

2013-04-17: Highest Volume — 50 contracts
2013-04-15: Largest IV spike — 39.0% change
2013-04-18: Highest IV Rank — 22.4%
2013-04-18: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$143.74	$140.86	$146.28	$142.88	$146.28
Max Pain	$143.18	$138.00	$146.00	$138.00	$144.00
ATM IV	11.8%	9.4%	15.3%	11.3%	11.3%
Expected Move	3.4%	2.9%	4.4%	3.2%	3.2%
HV 20d	11.4%	7.0%	14.9%	7.1%	14.9%
HV 60d	10.4%	8.8%	11.8%	8.8%	11.7%
IV Rank	12.0%	5.1%	22.4%	10.5%	10.7%
IV Percentile	33.1%	4.8%	74.2%	22.2%	26.2%
Term Structure	0.8%	-0.2%	1.7%	1.0%	0.5%
VWIV	11.8%	10.0%	15.9%	12.5%	11.2%
Skew 25d	3.9%	2.5%	5.1%	4.4%	3.5%
Skew 10d	6.4%	3.1%	10.5%	5.5%	5.9%
Call IV 25d	9.9%	6.3%	12.5%	8.1%	9.8%
Put IV 25d	13.9%	11.5%	16.9%	12.4%	13.2%
Bid-Ask Spread %	45.99	27.51	102.12	73.86	51.39
Gamma HHI	0.29	0.19	0.44	0.27	0.44
Net GEX	123.0K	78.7K	196.7K	126.4K	196.7K
Net DEX	-1.2M	-1.8M	-748.9K	-1.3M	-1.6M
Net VEX	-5.0K	-6.1K	-3.8K	-4.0K	-6.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.13	0.00	11.00	0.14	0.10
Total Volume	15.182	1	50	7	34
Total OI	282.364	238	377	238	299

Daily Data (22 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
2013-04-01	$142.88	$138.00	11.3%	3.2%	7.1%	10.5%	0.0%	4.4%	1.0%	126.4K	-1.3M	-4.0K	0.00	73.86	0	7	155	83
2013-04-02	$143.58	$138.00	10.2%	2.9%	7.0%	7.5%	0.0%	5.1%	1.0%	125.0K	-1.4M	-4.0K	0.00	73.14	0	6	154	89
2013-04-03	$142.14	$138.00	12.0%	3.4%	7.5%	12.8%	12.5%	4.4%	0.4%	107.9K	-1.1M	-4.4K	0.14	102.12	11	2	154	95
2013-04-04	$142.70	$138.00	12.4%	3.6%	7.6%	13.9%	0.0%	4.5%	0.0%	112.0K	-1.1M	-4.2K	0.86	88.61	4	3	152	97
2013-04-05	$142.14	$144.00	11.7%	3.5%	7.8%	11.8%	12.7%	3.7%	0.9%	109.1K	-1.0M	-4.4K	7.00	34.85	1	7	156	100
2013-04-08	$143.02	$144.00	10.3%	3.2%	7.9%	7.7%	13.0%	3.5%	1.2%	117.3K	-1.2M	-4.3K	0.00	27.51	0	3	157	104
2013-04-09	$143.54	$144.00	10.6%	3.1%	7.9%	8.7%	0.0%	4.3%	1.1%	107.8K	-1.3M	-4.1K	0.00	32.45	1	0	157	106
2013-04-10	$145.30	$144.00	9.4%	2.9%	8.9%	5.1%	10.2%	3.3%	1.7%	94.4K	-1.5M	-3.8K	0.00	28.00	27	0	156	106
2013-04-11	$145.78	$144.00	10.5%	3.0%	9.0%	8.1%	10.5%	2.5%	1.5%	131.0K	-1.8M	-4.3K	11.00	31.12	2	17	181	106
2013-04-12	$145.46	$146.00	10.3%	3.0%	8.9%	7.8%	10.3%	2.9%	1.6%	119.7K	-1.6M	-4.6K	0.62	32.56	11	7	180	122
2013-04-15	$142.14	$146.00	14.3%	4.1%	12.3%	19.5%	12.5%	4.3%	-0.2%	120.6K	-956.4K	-5.2K	0.32	29.71	22	7	190	129
2013-04-16	$144.14	$146.00	11.7%	3.4%	13.1%	11.8%	10.7%	3.6%	1.2%	152.4K	-1.4M	-5.0K	0.09	31.30	23	2	188	134
2013-04-17	$142.02	$144.00	14.1%	4.0%	14.2%	18.7%	11.6%	4.5%	0.1%	138.0K	-1.0M	-5.3K	0.13	34.96	44	6	211	135
2013-04-18	$140.86	$144.00	15.3%	4.4%	14.2%	22.4%	15.9%	4.4%	0.1%	122.0K	-909.9K	-5.6K	0.69	49.12	7	5	231	135
2013-04-19	$142.36	$144.00	13.2%	3.8%	14.5%	16.3%	13.3%	4.5%	0.6%	78.7K	-1.2M	-5.8K	0.00	38.38	3	0	237	140
2013-04-22	$143.00	$144.00	12.8%	3.7%	14.5%	14.9%	11.6%	4.6%	0.7%	93.5K	-748.9K	-5.6K	0.03	39.76	18	1	171	80
2013-04-23	$144.52	$144.00	11.9%	3.4%	14.9%	12.3%	0.0%	3.8%	0.2%	125.5K	-1.1M	-5.9K	0.55	41.23	6	3	184	80
2013-04-24	$144.56	$144.00	12.0%	3.5%	14.7%	12.8%	0.0%	5.1%	0.6%	124.8K	-1.1M	-5.8K	0.00	64.80	1	0	179	83
2013-04-25	$145.20	$144.00	10.8%	3.1%	14.8%	9.2%	10.0%	3.3%	1.0%	124.8K	-1.2M	-5.8K	0.00	30.73	4	0	180	83
2013-04-26	$144.88	$144.00	11.7%	3.4%	14.8%	11.9%	11.8%	3.4%	0.8%	136.2K	-1.1M	-5.8K	0.00	39.24	5	0	183	83
2013-04-29	$145.82	$144.00	11.1%	3.2%	14.9%	9.9%	11.2%	2.9%	1.0%	142.4K	-1.3M	-5.5K	0.02	36.91	33	1	184	83
2013-04-30	$146.28	$144.00	11.3%	3.2%	14.9%	10.7%	11.2%	3.5%	0.5%	196.7K	-1.6M	-6.1K	0.10	51.39	31	3	216	83