VOO Options History — July 2013

In July 2013, VOO traded between $147.56 and $155.28. ATM implied volatility averaged 12.1%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.0% (HV 20d: 12.1%). Max pain ranged from $140.00 to $154.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.69.

Notable Days

2013-07-01: Highest Volume — 45 contracts
2013-07-05: Largest IV drop — 17.0% change
2013-07-01: Highest IV Rank — 19.3%
2013-07-01: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$152.75	$147.56	$155.28	$147.78	$154.46
Max Pain	$141.91	$140.00	$154.00	$154.00	$140.00
ATM IV	12.1%	10.5%	14.3%	14.3%	11.8%
Expected Move	3.5%	3.0%	4.1%	4.1%	3.4%
HV 20d	12.1%	7.3%	15.9%	15.9%	7.3%
HV 60d	12.6%	11.6%	13.8%	13.8%	11.6%
IV Rank	13.0%	8.2%	19.3%	19.3%	12.0%
IV Percentile	46.5%	21.0%	76.6%	76.6%	44.0%
Term Structure	1.6%	0.6%	3.2%	0.7%	0.8%
VWIV	11.9%	8.0%	17.0%	17.0%	10.3%
Skew 25d	3.3%	2.5%	4.5%	3.7%	3.1%
Skew 10d	7.1%	4.8%	9.8%	8.5%	7.2%
Call IV 25d	10.9%	9.4%	12.7%	12.7%	10.3%
Put IV 25d	14.2%	12.5%	16.4%	16.3%	13.4%
Bid-Ask Spread %	42.06	24.70	73.71	42.64	73.71
Gamma HHI	0.35	0.17	0.81	0.19	0.18
Net GEX	-270.5K	-1.2M	144.2K	-80.1K	136.8K
Net DEX	-888.1K	-2.7M	1.9M	1.8M	-1.7M
Net VEX	-8.2K	-9.8K	-6.6K	-9.7K	-7.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.00	3.19	3.19	0.36
Total Volume	12.045	3	45	45	8
Total OI	596.955	288	796	690	327

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
2013-07-01	$147.78	$154.00	14.3%	4.1%	15.9%	19.3%	17.0%	3.7%	0.7%	-80.1K	1.8M	-9.7K	3.19	42.64	11	34	267	423
2013-07-02	$147.56	$154.00	13.9%	4.0%	15.9%	18.1%	8.0%	4.0%	1.1%	-61.0K	1.9M	-9.8K	0.77	34.61	7	5	277	451
2013-07-03	$147.70	$154.00	14.1%	4.0%	14.9%	18.8%	0.0%	3.5%	0.8%	-70.4K	1.8M	-9.6K	0.00	41.47	0	5	282	456
2013-07-05	$149.34	$140.00	11.7%	3.9%	15.2%	11.8%	0.0%	4.5%	1.0%	-117.3K	1.2M	-9.0K	0.00	72.36	3	0	282	452
2013-07-08	$150.12	$140.00	13.1%	3.9%	14.5%	15.9%	12.5%	3.6%	1.0%	-191.2K	776.7K	-8.8K	0.00	58.73	42	0	285	452
2013-07-09	$151.26	$140.00	11.3%	3.6%	14.7%	10.5%	0.0%	3.7%	1.9%	-286.6K	-26.9K	-9.4K	0.60	55.42	3	2	322	452
2013-07-10	$151.30	$140.00	11.5%	3.6%	14.2%	11.3%	0.0%	3.9%	1.5%	-278.5K	-37.9K	-9.2K	0.00	41.92	8	0	325	454
2013-07-11	$153.44	$140.00	12.3%	3.5%	15.0%	13.6%	12.4%	3.1%	2.3%	-576.1K	-1.5M	-9.2K	0.65	43.83	9	6	323	454
2013-07-12	$153.48	$140.00	12.2%	3.5%	14.9%	13.1%	0.0%	3.3%	2.6%	-662.4K	-1.7M	-9.1K	0.50	36.99	2	1	326	452
2013-07-15	$154.04	$140.00	12.4%	3.6%	14.7%	14.0%	0.0%	3.1%	2.3%	-829.5K	-2.1M	-8.3K	1.33	37.33	6	8	326	453
2013-07-16	$153.46	$140.00	12.8%	3.7%	14.6%	15.1%	0.0%	3.0%	2.3%	-840.7K	-1.5M	-8.5K	0.00	31.65	0	12	324	461
2013-07-17	$153.84	$140.00	12.3%	3.5%	14.4%	13.4%	0.0%	3.3%	2.5%	-1.2M	-1.8M	-8.2K	1.00	32.86	3	3	324	472
2013-07-18	$154.72	$140.00	12.2%	3.5%	13.5%	13.3%	14.6%	2.6%	2.7%	-987.5K	-2.5M	-7.7K	1.57	36.04	4	6	311	469
2013-07-19	$155.00	$140.00	11.6%	3.3%	8.9%	11.5%	11.9%	3.0%	3.2%	-821.6K	-2.7M	-7.3K	0.00	35.55	16	0	313	474
2013-07-22	$155.28	$140.00	10.5%	3.0%	8.9%	8.2%	0.0%	3.1%	1.5%	114.9K	-1.6M	-6.6K	0.00	38.12	6	0	188	100
2013-07-23	$154.96	$140.00	11.5%	3.3%	9.0%	11.2%	11.1%	2.5%	0.8%	117.9K	-1.7M	-6.8K	0.78	38.75	5	4	194	100
2013-07-24	$154.38	$140.00	11.4%	3.3%	8.5%	10.8%	11.5%	3.2%	1.2%	128.3K	-1.6M	-7.0K	1.57	32.83	4	6	199	102
2013-07-25	$154.66	$140.00	11.3%	3.3%	8.1%	10.7%	11.3%	3.4%	1.3%	125.0K	-1.6M	-7.0K	0.00	40.29	7	0	200	105
2013-07-26	$154.86	$140.00	11.3%	3.3%	8.0%	10.8%	11.3%	2.9%	1.0%	133.5K	-1.7M	-7.1K	0.23	32.19	11	3	206	105
2013-07-29	$154.42	$140.00	11.3%	3.2%	7.6%	10.7%	11.0%	2.8%	1.3%	144.2K	-1.6M	-7.2K	1.30	43.45	5	7	210	108
2013-07-30	$154.42	$140.00	11.8%	3.4%	7.4%	12.1%	12.1%	2.8%	0.6%	135.8K	-1.6M	-7.3K	0.00	24.70	3	0	213	114
2013-07-31	$154.46	$140.00	11.8%	3.4%	7.3%	12.0%	10.3%	3.1%	0.8%	136.8K	-1.7M	-7.2K	0.36	73.71	6	2	213	114