VOO Options History — May 2013

In May 2013, VOO traded between $144.96 and $153.08. ATM implied volatility averaged 11.2%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 0.1% (HV 20d: 11.3%). Max pain ranged from $144.00 to $144.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 4.14.

Notable Days

2013-05-20: Highest Volume — 263 contracts
2013-05-16: Largest IV spike — 43.8% change
2013-05-31: Highest IV Rank — 19.3%
2013-05-31: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$150.36	$144.96	$153.08	$144.96	$149.68
Max Pain	$144.00	$144.00	$144.00	$144.00	$144.00
ATM IV	11.2%	8.2%	14.3%	12.9%	14.3%
Expected Move	3.4%	2.9%	4.1%	3.7%	4.1%
HV 20d	11.3%	8.1%	15.1%	14.8%	10.3%
HV 60d	11.4%	10.6%	11.9%	11.6%	11.2%
IV Rank	10.4%	1.6%	19.3%	15.4%	19.3%
IV Percentile	32.4%	0.4%	75.4%	56.0%	75.4%
Term Structure	0.7%	-0.3%	1.7%	0.3%	-0.3%
VWIV	12.3%	9.8%	18.0%	10.1%	14.1%
Skew 25d	3.0%	1.6%	4.5%	3.2%	4.5%
Skew 10d	7.2%	1.0%	10.4%	6.3%	10.2%
Call IV 25d	10.6%	9.9%	12.4%	11.2%	12.4%
Put IV 25d	13.6%	11.6%	16.8%	14.4%	16.8%
Bid-Ask Spread %	64.83	36.34	95.19	36.34	61.19
Gamma HHI	0.24	0.15	0.38	0.37	0.17
Net GEX	106.4K	-114.9K	284.1K	215.5K	-46.5K
Net DEX	-2.4M	-4.6M	64.1K	-1.6M	64.1K
Net VEX	-9.7K	-14.4K	-6.6K	-6.9K	-13.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.14	0.00	42.83	1.00	0.71
Total Volume	33	1	263	2	7
Total OI	562	333	764	333	764

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
2013-05-01	$144.96	$144.00	12.9%	3.7%	14.8%	15.4%	0.0%	3.2%	0.3%	215.5K	-1.6M	-6.9K	1.00	36.34	1	1	247	86
2013-05-02	$146.26	$144.00	11.2%	3.2%	15.0%	10.4%	0.0%	2.9%	0.7%	229.3K	-1.9M	-6.6K	0.31	52.69	68	21	246	87
2013-05-03	$147.64	$144.00	10.0%	2.9%	15.1%	6.7%	10.1%	1.6%	1.1%	284.1K	-2.9M	-7.7K	0.23	75.78	7	2	309	106
2013-05-06	$148.10	$144.00	10.2%	3.2%	15.1%	7.5%	11.1%	3.1%	0.5%	275.8K	-3.0M	-7.6K	5.33	55.53	2	8	314	108
2013-05-07	$148.86	$144.00	10.2%	3.3%	15.1%	7.3%	11.6%	3.5%	0.5%	250.9K	-3.2M	-7.3K	0.38	55.23	59	22	315	110
2013-05-08	$149.64	$144.00	9.1%	3.2%	14.7%	4.3%	11.9%	3.4%	0.8%	251.7K	-3.4M	-7.4K	17.67	58.29	2	27	328	124
2013-05-09	$149.20	$144.00	9.1%	3.2%	14.7%	4.2%	11.1%	3.2%	1.1%	251.2K	-3.1M	-8.1K	1.45	53.87	6	8	327	148
2013-05-10	$149.72	$144.00	8.8%	3.2%	14.7%	3.3%	18.0%	3.1%	0.8%	212.2K	-3.3M	-7.4K	0.10	60.67	5	1	324	154
2013-05-13	$149.70	$144.00	10.9%	3.2%	11.5%	9.6%	9.8%	3.1%	0.7%	206.7K	-3.3M	-7.2K	0.43	57.56	19	8	324	151
2013-05-14	$151.28	$144.00	11.6%	3.4%	11.1%	11.6%	12.5%	3.1%	0.2%	146.3K	-3.8M	-7.1K	0.12	62.23	50	6	338	159
2013-05-15	$152.14	$144.00	8.2%	3.0%	9.1%	1.6%	12.0%	2.9%	1.7%	172.3K	-4.3M	-7.5K	0.17	65.28	30	5	376	159
2013-05-16	$151.44	$144.00	11.8%	3.4%	8.6%	12.1%	0.0%	2.9%	0.1%	186.7K	-4.2M	-7.8K	0.00	80.50	4	0	382	159
2013-05-17	$152.88	$144.00	11.3%	3.2%	8.5%	10.5%	12.3%	2.4%	1.1%	169.3K	-4.6M	-7.1K	0.06	66.50	18	1	386	159
2013-05-20	$152.88	$144.00	11.7%	3.4%	8.6%	11.9%	10.3%	2.8%	1.0%	175.1K	-3.6M	-7.3K	42.83	77.18	6	257	330	136
2013-05-21	$153.08	$144.00	11.5%	3.3%	8.1%	11.3%	11.5%	2.4%	1.1%	-114.9K	-1.5M	-14.0K	0.07	53.19	7	1	334	392
2013-05-22	$152.06	$144.00	12.4%	3.5%	8.8%	13.7%	11.6%	2.4%	0.6%	-77.8K	-1.1M	-14.3K	0.00	74.79	11	0	340	393
2013-05-23	$151.52	$144.00	12.2%	3.5%	9.0%	13.1%	13.6%	3.1%	0.7%	-73.3K	-884.6K	-14.2K	3.71	95.19	4	13	341	393
2013-05-24	$151.32	$144.00	12.1%	3.5%	9.0%	13.0%	12.7%	3.3%	0.9%	-75.1K	-715.9K	-14.4K	0.44	89.53	5	2	344	405
2013-05-28	$152.40	$144.00	12.8%	3.7%	9.0%	15.1%	12.7%	3.5%	0.3%	-108.3K	-1.3M	-13.7K	0.00	64.10	1	0	347	407
2013-05-29	$151.24	$144.00	12.4%	3.6%	9.6%	13.9%	14.4%	3.5%	0.2%	-82.2K	-801.2K	-13.6K	5.00	60.89	4	20	347	407
2013-05-30	$151.90	$144.00	12.5%	3.6%	8.8%	14.0%	13.4%	3.2%	0.2%	-107.5K	-1.1M	-13.5K	11.00	69.72	1	6	346	412
2013-05-31	$149.68	$144.00	14.3%	4.1%	10.3%	19.3%	14.1%	4.5%	-0.3%	-46.5K	64.1K	-13.7K	0.71	61.19	4	3	347	417