VOO Options History — November 2013

In November 2013, VOO traded between $160.25 and $165.94. ATM implied volatility averaged 10.6%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 0.2% (HV 20d: 10.4%). Max pain ranged from $155.00 to $162.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.59.

Notable Days

2013-11-13: Highest Volume — 129 contracts
2013-11-11: Largest IV drop — 11.7% change
2013-11-08: Highest IV Rank — 45.2%
2013-11-07: Largest Expected Move — 3.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$163.62	$160.25	$165.94	$161.34	$165.70
Max Pain	$158.90	$155.00	$162.00	$161.00	$162.00
ATM IV	10.6%	9.7%	12.6%	10.5%	10.8%
Expected Move	3.1%	2.8%	3.5%	3.0%	3.1%
HV 20d	10.4%	8.9%	12.8%	12.8%	8.9%
HV 60d	11.1%	10.5%	11.8%	11.2%	10.5%
IV Rank	25.9%	11.0%	45.2%	12.8%	28.5%
IV Percentile	27.2%	11.5%	61.9%	23.0%	32.5%
Term Structure	0.8%	0.5%	1.4%	1.4%	0.8%
VWIV	10.8%	9.6%	13.8%	10.7%	10.7%
Skew 25d	2.9%	0.9%	3.6%	2.5%	3.1%
Skew 10d	5.2%	3.8%	6.5%	4.9%	6.5%
Call IV 25d	9.8%	8.9%	12.1%	9.2%	9.8%
Put IV 25d	12.7%	11.4%	13.9%	11.7%	12.9%
Bid-Ask Spread %	20.64	11.27	46.99	34.61	25.51
Gamma HHI	0.25	0.17	0.36	0.24	0.24
Net GEX	164.2K	-6.9K	336.4K	-3.2K	336.4K
Net DEX	-912.8K	-2.1M	-91.3K	-130.0K	-1.5M
Net VEX	-4.4K	-8.3K	-855	-855	-8.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.00	4.00	0.00	0.88
Total Volume	27	0	129	10	0
Total OI	193.65	43	382	43	382

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
2013-11-01	$161.34	$161.00	10.5%	3.0%	12.8%	12.8%	0.0%	2.5%	1.4%	-3.2K	-130.0K	-855	0.00	34.61	10	0	24	19
2013-11-04	$162.07	$155.00	10.0%	3.3%	12.7%	11.0%	10.7%	3.4%	0.6%	5.5K	-256.7K	-1.1K	0.00	11.27	7	0	34	19
2013-11-05	$161.58	$155.00	10.1%	3.3%	12.2%	21.9%	0.0%	3.0%	0.5%	5.3K	-238.6K	-1.2K	0.00	12.29	0	0	35	19
2013-11-06	$162.33	$155.00	10.4%	3.2%	10.9%	25.1%	13.8%	3.2%	0.9%	7.8K	-280.2K	-1.1K	0.00	20.21	12	0	35	19
2013-11-07	$160.25	$155.00	11.4%	3.5%	12.3%	34.0%	11.0%	3.1%	0.6%	-6.9K	-91.3K	-1.1K	4.00	12.45	1	4	29	19
2013-11-08	$162.45	$155.00	12.6%	3.2%	10.8%	45.2%	0.0%	3.0%	0.6%	-2.5K	-181.3K	-1.2K	0.00	12.12	23	0	30	23
2013-11-11	$162.42	$155.00	11.2%	3.3%	10.8%	31.7%	10.6%	3.0%	0.5%	23.6K	-324.5K	-1.8K	0.00	12.84	1	0	53	23
2013-11-12	$162.13	$155.00	10.8%	3.3%	10.8%	28.9%	11.1%	3.6%	0.6%	21.7K	-308.1K	-1.8K	0.67	12.87	6	4	54	23
2013-11-13	$163.38	$159.00	10.9%	3.2%	10.4%	29.2%	10.4%	3.4%	1.0%	42.4K	-417.4K	-1.9K	0.04	19.73	124	5	60	27
2013-11-14	$164.29	$159.00	10.9%	3.1%	9.7%	29.7%	10.1%	3.1%	0.9%	233.3K	-1.7M	-4.9K	0.00	12.90	41	0	184	32
2013-11-15	$165.00	$159.00	10.4%	3.0%	9.5%	24.4%	0.0%	3.2%	0.8%	308.2K	-2.1M	-5.6K	1.33	19.36	3	4	225	32
2013-11-18	$164.39	$159.00	10.9%	3.1%	9.6%	29.7%	10.8%	3.3%	0.7%	310.4K	-1.9M	-5.5K	1.77	23.26	13	23	221	22
2013-11-19	$164.07	$162.00	11.0%	3.2%	9.7%	30.4%	10.6%	0.9%	1.1%	292.6K	-1.7M	-6.2K	0.67	46.99	76	51	232	45
2013-11-20	$163.55	$162.00	10.6%	3.0%	9.7%	26.8%	10.4%	3.1%	0.6%	218.1K	-591.7K	-7.0K	0.25	17.96	4	1	200	96
2013-11-21	$164.83	$162.00	10.4%	3.0%	9.7%	24.5%	0.0%	2.9%	0.5%	246.1K	-932.7K	-7.3K	0.02	22.11	41	1	204	97
2013-11-22	$165.67	$162.00	9.7%	2.8%	9.5%	18.5%	9.9%	2.5%	0.8%	282.3K	-1.4M	-7.7K	0.17	19.43	12	2	222	98
2013-11-25	$165.57	$162.00	9.9%	2.8%	9.6%	20.0%	10.9%	2.5%	0.9%	305.7K	-1.4M	-7.7K	0.23	26.89	13	3	234	100
2013-11-26	$165.49	$162.00	10.4%	3.0%	9.4%	24.5%	9.6%	2.5%	0.9%	330.2K	-1.5M	-8.1K	0.67	25.20	15	10	246	103
2013-11-27	$165.94	$162.00	10.0%	2.9%	9.1%	21.1%	10.7%	2.5%	1.0%	326.6K	-1.5M	-8.1K	0.88	24.74	16	14	240	113
2013-11-29	$165.70	$162.00	10.8%	3.1%	8.9%	28.5%	0.0%	3.1%	0.8%	336.4K	-1.5M	-8.3K	0.00	25.51	0	0	255	127