VOO Options History — September 2013

In September 2013, VOO traded between $150.58 and $158.60. ATM implied volatility averaged 12.3%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.9% (HV 20d: 10.4%). Max pain ranged from $144.00 to $150.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.59.

Notable Days

2013-09-30: Highest Volume — 56 contracts
2013-09-12: Largest IV spike — 38.0% change
2013-09-03: Highest IV Rank — 22.5%
2013-09-03: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$154.85	$150.58	$158.60	$150.58	$154.00
Max Pain	$148.00	$144.00	$150.00	$150.00	$150.00
ATM IV	12.3%	10.0%	15.3%	15.3%	14.7%
Expected Move	3.6%	2.9%	4.4%	4.4%	4.2%
HV 20d	10.4%	8.9%	11.6%	10.2%	9.3%
HV 60d	10.2%	9.3%	11.4%	11.2%	9.3%
IV Rank	13.6%	6.9%	22.5%	22.5%	20.8%
IV Percentile	52.0%	15.9%	89.7%	89.7%	85.7%
Term Structure	1.3%	-0.8%	4.0%	-0.2%	-0.3%
VWIV	13.9%	10.6%	18.1%	14.6%	15.3%
Skew 25d	4.1%	2.2%	6.9%	4.4%	5.0%
Skew 10d	8.1%	4.1%	12.2%	8.3%	12.2%
Call IV 25d	11.0%	9.3%	12.8%	12.8%	12.6%
Put IV 25d	15.1%	12.7%	17.6%	17.2%	17.6%
Bid-Ask Spread %	46.78	31.24	82.96	82.96	35.73
Gamma HHI	0.16	0.11	0.26	0.19	0.11
Net GEX	46.4K	-46.7K	119.4K	37.9K	-46.7K
Net DEX	-886.1K	-2.5M	515.7K	-320.8K	515.7K
Net VEX	-6.5K	-8.0K	-5.2K	-8.0K	-6.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.59	0.00	5.00	0.90	1.64
Total Volume	17.25	1	56	10	56
Total OI	393.5	276	491	396	339

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
2013-09-03	$150.58	$150.00	15.3%	4.4%	10.2%	22.5%	14.6%	4.4%	-0.2%	37.9K	-320.8K	-8.0K	0.90	82.96	5	5	206	190
2013-09-04	$151.84	$150.00	13.3%	3.8%	10.7%	16.6%	0.0%	4.0%	1.6%	40.8K	-585.0K	-7.6K	2.80	44.19	3	7	203	192
2013-09-05	$151.80	$150.00	13.1%	3.8%	10.7%	16.1%	13.0%	3.1%	2.0%	43.9K	-662.0K	-7.7K	0.00	43.45	4	0	205	194
2013-09-06	$152.06	$144.00	13.4%	4.3%	10.6%	16.9%	0.0%	6.7%	0.2%	51.6K	-698.0K	-7.7K	0.00	53.95	1	0	209	194
2013-09-09	$153.56	$144.00	12.7%	4.4%	11.3%	14.7%	16.3%	6.9%	-0.4%	62.9K	-1.0M	-7.2K	2.50	57.47	2	5	207	194
2013-09-10	$154.72	$144.00	12.4%	4.3%	11.6%	13.8%	0.0%	5.0%	-0.8%	79.5K	-1.2M	-7.2K	3.57	48.40	4	13	207	198
2013-09-11	$155.20	$144.00	10.6%	3.1%	11.6%	8.6%	12.0%	3.7%	3.9%	60.1K	-1.3M	-6.5K	3.00	49.67	1	3	208	211
2013-09-12	$154.82	$146.00	14.6%	4.2%	11.4%	20.4%	14.8%	4.3%	-0.2%	58.8K	-1.2M	-7.0K	0.00	54.10	0	10	209	214
2013-09-13	$155.14	$148.00	10.5%	3.0%	10.0%	8.5%	0.0%	4.7%	4.0%	56.0K	-1.3M	-6.9K	0.00	55.22	15	0	209	219
2013-09-16	$156.08	$148.00	10.0%	2.9%	10.1%	6.9%	14.5%	4.4%	3.2%	118.7K	-1.6M	-6.6K	1.76	40.21	17	30	224	219
2013-09-17	$156.72	$148.00	11.2%	3.2%	9.7%	10.5%	0.0%	3.9%	3.1%	86.4K	-1.9M	-6.5K	0.00	40.78	2	0	236	249
2013-09-18	$158.60	$148.00	11.9%	3.4%	10.3%	12.5%	14.4%	3.0%	1.4%	107.8K	-2.5M	-5.9K	0.17	50.69	18	3	238	249
2013-09-19	$158.34	$148.00	11.5%	3.3%	10.1%	11.4%	16.1%	2.9%	2.1%	119.4K	-2.4M	-5.5K	5.00	37.33	5	25	226	246
2013-09-20	$157.10	$148.00	10.6%	3.0%	10.4%	8.6%	10.9%	2.2%	2.7%	79.6K	-2.0M	-5.4K	0.07	72.14	7	1	220	271
2013-09-23	$155.74	$150.00	12.0%	3.4%	11.0%	12.7%	11.9%	3.0%	1.1%	-15.3K	37.1K	-5.2K	0.00	36.73	9	0	80	196
2013-09-24	$155.40	$150.00	11.5%	3.3%	11.0%	11.4%	10.6%	3.2%	1.1%	-4.4K	4.5K	-5.3K	2.48	34.24	12	29	88	196
2013-09-25	$154.90	$150.00	12.1%	3.5%	8.9%	13.1%	18.1%	3.4%	1.3%	463	34.5K	-5.3K	0.50	31.24	7	4	95	197
2013-09-26	$155.52	$150.00	11.1%	3.2%	9.0%	10.1%	0.0%	3.6%	0.9%	10.8K	-34.4K	-5.4K	0.00	33.63	0	28	102	201
2013-09-27	$154.86	$150.00	13.4%	3.8%	9.2%	16.8%	12.4%	4.7%	-0.0%	-21.2K	308.7K	-6.3K	4.20	33.42	3	11	102	227
2013-09-30	$154.00	$150.00	14.7%	4.2%	9.3%	20.8%	15.3%	5.0%	-0.3%	-46.7K	515.7K	-6.5K	1.64	35.73	21	35	101	238