VOO Options History — June 2013

In June 2013, VOO traded between $145.26 and $151.76. ATM implied volatility averaged 15.0%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 1.5% (HV 20d: 13.5%). Max pain ranged from $144.00 to $154.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.04.

Notable Days

2013-06-03: Highest Volume — 54 contracts
2013-06-20: Largest IV spike — 27.6% change
2013-06-20: Highest IV Rank — 29.9%
2013-06-20: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$148.73	$145.26	$151.76	$150.46	$146.68
Max Pain	$152.00	$144.00	$154.00	$144.00	$154.00
ATM IV	15.0%	13.6%	17.9%	14.4%	15.3%
Expected Move	4.3%	3.9%	5.1%	4.1%	4.4%
HV 20d	13.5%	10.0%	16.4%	10.0%	15.8%
HV 60d	12.6%	11.3%	13.8%	11.3%	13.8%
IV Rank	21.4%	17.4%	29.9%	19.6%	22.2%
IV Percentile	81.3%	70.6%	95.2%	76.6%	84.9%
Term Structure	0.3%	-1.3%	1.1%	-0.2%	0.6%
VWIV	15.3%	12.3%	17.5%	15.1%	13.8%
Skew 25d	4.7%	3.6%	6.0%	4.8%	3.8%
Skew 10d	9.9%	5.9%	13.9%	10.2%	8.0%
Call IV 25d	13.1%	11.8%	15.2%	12.2%	13.0%
Put IV 25d	17.8%	16.2%	21.2%	16.9%	16.8%
Bid-Ask Spread %	54.83	37.45	76.44	62.45	46.64
Gamma HHI	0.17	0.14	0.30	0.18	0.17
Net GEX	42.4K	-100.8K	464.4K	-73.1K	-52.9K
Net DEX	384.6K	-1.8M	2.8M	-185.4K	2.0M
Net VEX	-11.8K	-14.0K	-7.9K	-13.3K	-9.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.00	6.67	0.00	1.00
Total Volume	14.9	0	54	54	8
Total OI	801.35	625	884	766	684

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
2013-06-03	$150.46	$144.00	14.4%	4.1%	10.0%	19.6%	15.1%	4.8%	-0.2%	-73.1K	-185.4K	-13.3K	0.00	62.45	54	0	346	420
2013-06-04	$150.00	$144.00	14.4%	4.1%	10.0%	19.8%	12.3%	4.5%	-0.3%	10.3K	-422.6K	-14.0K	6.67	55.73	2	10	396	420
2013-06-05	$147.70	$144.00	15.8%	4.5%	11.4%	23.9%	16.4%	3.9%	-1.3%	84.7K	728.4K	-13.5K	0.11	53.14	14	2	397	427
2013-06-06	$148.86	$144.00	15.9%	4.5%	11.6%	24.0%	0.0%	4.1%	-1.0%	61.3K	125.5K	-14.0K	0.20	56.64	3	1	407	428
2013-06-07	$150.94	$154.00	13.6%	3.9%	12.6%	17.4%	14.8%	4.4%	1.1%	-25.7K	-1.1M	-13.7K	0.50	63.34	1	1	408	429
2013-06-10	$150.88	$154.00	13.7%	4.0%	12.5%	17.6%	16.0%	4.6%	1.0%	-19.2K	-1.0M	-13.1K	1.57	70.54	4	6	409	429
2013-06-11	$149.34	$154.00	14.9%	4.1%	13.1%	21.2%	17.5%	5.1%	0.8%	50.7K	-142.5K	-13.3K	0.20	43.55	13	3	410	435
2013-06-12	$149.78	$154.00	14.4%	4.2%	12.5%	19.8%	0.0%	3.6%	0.6%	219.7K	-358.7K	-11.5K	0.00	49.33	0	0	421	436
2013-06-13	$150.32	$154.00	14.4%	4.1%	12.4%	19.6%	15.6%	5.1%	1.1%	11.0K	-878.6K	-13.0K	4.00	59.17	2	6	421	436
2013-06-14	$149.40	$154.00	14.4%	4.1%	12.5%	19.6%	14.2%	5.0%	1.0%	73.1K	-339.5K	-12.7K	0.00	37.45	8	0	421	440
2013-06-17	$150.60	$154.00	14.8%	4.2%	12.4%	20.9%	14.8%	5.2%	0.6%	9.0K	-1.1M	-12.3K	1.45	68.57	6	8	427	440
2013-06-18	$151.76	$154.00	13.9%	4.0%	12.7%	18.1%	0.0%	5.0%	0.4%	-97.6K	-1.8M	-12.3K	0.81	76.44	8	7	428	446
2013-06-19	$149.74	$154.00	14.0%	4.0%	13.5%	18.6%	14.1%	4.2%	0.7%	55.9K	-759.6K	-11.7K	0.67	54.74	5	3	434	450
2013-06-20	$145.94	$154.00	17.9%	5.1%	16.0%	29.9%	15.9%	6.0%	-1.1%	330.5K	1.8M	-10.6K	1.00	48.89	9	9	427	449
2013-06-21	$146.40	$154.00	16.2%	4.6%	16.1%	24.8%	17.0%	4.9%	-0.0%	464.4K	1.5M	-10.0K	0.42	54.40	18	8	431	451
2013-06-24	$146.40	$154.00	15.6%	4.5%	16.1%	23.1%	17.0%	4.7%	1.1%	-40.2K	2.8M	-7.9K	0.55	51.77	26	14	216	409
2013-06-25	$145.26	$154.00	16.3%	4.7%	15.9%	25.3%	16.0%	5.5%	0.2%	-51.9K	2.7M	-9.5K	0.42	55.64	12	5	238	422
2013-06-26	$146.62	$154.00	15.6%	4.5%	16.3%	23.1%	13.6%	4.5%	0.4%	-61.5K	2.2M	-9.7K	0.25	47.22	2	1	250	419
2013-06-27	$147.60	$154.00	14.3%	4.1%	16.4%	19.4%	15.3%	4.2%	0.9%	-100.8K	1.9M	-9.9K	0.00	40.96	19	0	251	419
2013-06-28	$146.68	$154.00	15.3%	4.4%	15.8%	22.2%	13.8%	3.8%	0.6%	-52.9K	2.0M	-9.8K	1.00	46.64	4	4	265	419