VOO Options History — December 2013

In December 2013, VOO traded between $163.18 and $169.15. ATM implied volatility averaged 11.2%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 2.0% (HV 20d: 9.2%). Max pain ranged from $160.00 to $162.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.72.

Notable Days

2013-12-02: Highest Volume — 253 contracts
2013-12-11: Largest IV spike — 21.5% change
2013-12-11: Highest IV Rank — 55.6%
2013-12-16: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$165.98	$163.18	$169.15	$165.44	$169.15
Max Pain	$160.57	$160.00	$162.00	$162.00	$161.00
ATM IV	11.2%	8.2%	13.8%	11.6%	10.9%
Expected Move	3.2%	2.3%	3.7%	3.3%	3.1%
HV 20d	9.2%	7.1%	10.8%	9.0%	10.8%
HV 60d	10.8%	10.4%	11.2%	10.5%	10.8%
IV Rank	32.4%	4.4%	55.6%	35.5%	29.2%
IV Percentile	42.0%	0.4%	79.0%	48.8%	37.3%
Term Structure	1.3%	-0.5%	2.6%	0.5%	0.6%
VWIV	12.1%	8.5%	16.7%	10.2%	11.3%
Skew 25d	3.8%	2.4%	6.4%	3.5%	2.5%
Skew 10d	6.8%	5.3%	8.6%	6.0%	6.0%
Call IV 25d	10.1%	8.2%	11.6%	9.8%	10.3%
Put IV 25d	13.9%	11.0%	16.1%	13.4%	12.8%
Bid-Ask Spread %	30.50	16.61	50.71	41.05	42.21
Gamma HHI	0.32	0.23	0.65	0.24	0.37
Net GEX	824.5K	323.7K	1.3M	323.7K	797.4K
Net DEX	-2.9M	-5.0M	-1.2M	-1.3M	-5.0M
Net VEX	-15.1K	-25.5K	-7.8K	-7.8K	-25.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.00	3.90	0.00	0.24
Total Volume	55.667	2	253	253	97
Total OI	743.095	382	1,033	382	1,033

Daily Data (21 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
2013-12-02	$165.44	$162.00	11.6%	3.3%	9.0%	35.5%	0.0%	3.5%	0.5%	323.7K	-1.3M	-7.8K	0.00	41.05	253	0	255	127
2013-12-03	$164.80	$162.00	11.4%	3.3%	9.1%	34.3%	10.2%	4.2%	0.6%	690.8K	-2.2M	-12.6K	0.00	39.69	7	0	508	127
2013-12-04	$164.61	$162.00	11.8%	3.4%	9.0%	37.1%	11.8%	3.9%	-0.0%	685.6K	-2.1M	-12.5K	1.00	37.24	1	1	509	127
2013-12-05	$163.98	$162.00	12.8%	3.7%	9.0%	46.2%	0.0%	3.9%	-0.5%	636.6K	-1.7M	-11.9K	0.00	27.90	10	0	510	128
2013-12-06	$165.84	$160.00	10.7%	3.2%	8.3%	27.7%	12.2%	3.8%	1.8%	824.7K	-2.8M	-13.0K	0.44	21.75	25	11	520	128
2013-12-09	$166.22	$160.00	11.2%	3.2%	7.1%	31.9%	13.0%	3.9%	2.0%	944.3K	-3.2M	-13.4K	1.00	17.65	4	4	544	138
2013-12-10	$165.65	$160.00	11.3%	3.2%	7.2%	33.5%	15.6%	3.6%	1.8%	888.1K	-2.8M	-13.1K	0.00	16.61	0	8	548	138
2013-12-11	$163.77	$160.00	13.8%	3.6%	8.4%	55.6%	16.7%	4.5%	1.3%	676.3K	-1.6M	-11.9K	0.00	19.80	0	6	548	140
2013-12-12	$163.23	$160.00	12.9%	3.7%	8.1%	47.5%	14.2%	4.3%	1.2%	617.7K	-1.3M	-11.2K	0.17	19.70	30	5	548	145
2013-12-13	$163.18	$160.00	12.8%	3.7%	7.8%	46.9%	12.2%	4.4%	1.2%	604.9K	-1.2M	-11.1K	0.24	19.37	41	10	548	150
2013-12-16	$164.22	$160.00	13.0%	3.7%	8.0%	48.1%	13.0%	4.5%	1.1%	765.1K	-1.9M	-11.9K	0.17	19.55	6	1	564	150
2013-12-17	$163.64	$160.00	12.6%	3.6%	8.0%	44.6%	0.0%	4.4%	1.2%	708.1K	-1.6M	-11.3K	0.00	20.11	5	0	566	150
2013-12-18	$166.49	$160.00	11.0%	3.2%	10.1%	30.5%	12.4%	4.3%	2.1%	1.1M	-3.5M	-12.7K	1.32	27.00	19	25	571	150
2013-12-19	$166.34	$160.00	10.8%	3.1%	10.0%	28.7%	0.0%	3.9%	2.1%	1.3M	-3.2M	-12.2K	0.00	26.40	3	0	560	175
2013-12-20	$167.18	$160.00	10.1%	2.9%	9.8%	22.4%	9.9%	3.4%	2.6%	1.2M	-3.9M	-12.5K	3.90	34.22	40	156	563	175
2013-12-23	$168.95	$160.00	8.2%	2.3%	10.3%	4.4%	14.6%	6.4%	2.0%	1.3M	-3.2M	-16.2K	0.01	50.71	179	1	449	289
2013-12-24	$167.65	$160.00	9.4%	2.7%	10.7%	16.0%	11.5%	2.6%	1.7%	750.6K	-3.9M	-23.8K	0.40	35.57	70	28	598	290
2013-12-26	$168.43	$161.00	9.6%	2.7%	10.8%	17.5%	8.5%	2.5%	1.2%	802.9K	-4.6M	-23.8K	0.46	37.82	37	17	622	318
2013-12-27	$168.44	$161.00	9.7%	2.8%	10.8%	18.7%	8.9%	2.4%	1.2%	861.7K	-4.6M	-24.6K	2.14	41.02	14	30	641	335
2013-12-30	$168.37	$161.00	10.4%	3.0%	10.8%	24.8%	9.8%	2.5%	1.2%	845.9K	-4.4M	-25.5K	2.13	45.17	8	17	655	365
2013-12-31	$169.15	$161.00	10.9%	3.1%	10.8%	29.2%	11.3%	2.5%	0.6%	797.4K	-5.0M	-25.2K	0.24	42.21	78	19	663	370