VOO Options History — January 2014

In January 2014, VOO traded between $162.38 and $169.20. ATM implied volatility averaged 11.5%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 0.5% (HV 20d: 11.0%). Max pain ranged from $161.00 to $170.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 5.70.

Notable Days

2014-01-16: Highest Volume — 1,003 contracts
2014-01-13: Largest IV spike — 36.4% change
2014-01-31: Highest IV Rank — 78.7%
2014-01-31: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$166.78	$162.38	$169.20	$167.63	$163.18
Max Pain	$168.24	$161.00	$170.00	$161.00	$168.00
ATM IV	11.5%	8.4%	15.8%	11.1%	15.8%
Expected Move	3.4%	2.9%	4.5%	3.2%	4.5%
HV 20d	11.0%	9.1%	12.9%	11.3%	12.7%
HV 60d	10.1%	9.5%	11.1%	11.0%	11.1%
IV Rank	36.8%	6.7%	78.7%	33.0%	78.7%
IV Percentile	43.3%	1.2%	96.4%	42.5%	96.4%
Term Structure	0.7%	-4.5%	2.0%	0.7%	-0.2%
VWIV	12.2%	9.6%	15.6%	11.1%	15.0%
Skew 25d	3.5%	2.0%	5.1%	3.0%	5.1%
Skew 10d	5.6%	3.6%	10.0%	7.2%	6.3%
Call IV 25d	10.4%	8.8%	13.7%	10.2%	13.7%
Put IV 25d	13.9%	12.2%	18.7%	13.2%	18.7%
Bid-Ask Spread %	27.49	12.29	62.75	31.99	32.16
Gamma HHI	0.27	0.18	0.41	0.33	0.18
Net GEX	206.6K	-1.5M	1.8M	697.5K	-1.3M
Net DEX	732.3K	-6.7M	11.7M	-3.4M	11.2M
Net VEX	-40.2K	-73.4K	-20.7K	-25.8K	-73.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.70	0.00	75.78	0.76	0.26
Total Volume	137.619	6	1,003	30	58
Total OI	1,611.19	1,018	2,664	1,018	2,664

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
2014-01-02	$167.63	$161.00	11.1%	3.2%	11.3%	33.0%	11.1%	3.0%	0.7%	697.5K	-3.4M	-25.8K	0.76	31.99	17	13	634	384
2014-01-03	$167.48	$161.00	10.7%	3.1%	11.3%	29.4%	10.0%	2.5%	1.1%	816.0K	-3.3M	-25.8K	0.02	43.15	43	1	641	394
2014-01-06	$167.06	$170.00	10.3%	3.3%	11.2%	25.8%	11.4%	3.3%	1.2%	913.3K	-3.3M	-25.0K	0.02	14.80	119	2	681	395
2014-01-07	$168.10	$170.00	9.4%	3.2%	10.7%	17.1%	0.0%	3.4%	1.4%	1.5M	-5.8M	-25.7K	1.75	14.28	4	7	797	397
2014-01-08	$168.17	$170.00	9.6%	3.1%	10.7%	19.1%	0.0%	3.1%	1.3%	1.5M	-5.9M	-25.2K	0.00	16.59	18	0	801	395
2014-01-09	$168.27	$170.00	9.9%	3.1%	10.6%	21.7%	0.0%	3.1%	1.6%	1.5M	-6.0M	-24.7K	0.38	12.29	13	5	797	395
2014-01-10	$168.66	$170.00	8.4%	2.9%	9.6%	6.7%	0.0%	3.4%	2.0%	1.8M	-6.7M	-24.0K	0.05	24.89	200	10	806	400
2014-01-13	$166.52	$170.00	11.4%	3.3%	10.7%	36.2%	0.0%	3.8%	1.5%	987.7K	-2.8M	-22.5K	1.70	18.34	10	17	676	410
2014-01-14	$168.25	$170.00	9.9%	3.1%	11.2%	21.3%	11.1%	3.5%	1.4%	1.3M	-5.1M	-21.5K	2.00	17.56	11	22	670	417
2014-01-15	$169.20	$169.00	9.1%	3.0%	11.2%	13.8%	11.0%	3.3%	1.7%	893.3K	-5.8M	-20.7K	14.00	14.10	1	14	639	434
2014-01-16	$168.94	$169.00	10.5%	3.0%	11.1%	27.4%	0.0%	4.1%	1.7%	1.2M	-5.5M	-20.8K	0.00	22.79	0	1,003	640	447
2014-01-17	$168.21	$169.00	10.6%	3.0%	9.6%	28.5%	9.6%	3.8%	1.9%	618.2K	-872.4K	-46.8K	5.00	14.40	1	5	640	1,449
2014-01-21	$168.74	$169.00	10.2%	2.9%	9.6%	24.7%	10.5%	3.6%	1.3%	-640.0K	2.6M	-43.4K	0.33	18.76	36	12	312	1,344
2014-01-22	$168.84	$169.00	10.3%	3.0%	9.5%	25.5%	11.4%	3.8%	1.2%	-577.1K	2.3M	-43.5K	0.96	13.96	25	24	340	1,356
2014-01-23	$167.48	$168.00	11.4%	3.3%	9.1%	36.1%	12.8%	4.0%	0.7%	-629.2K	3.5M	-46.0K	3.80	31.45	5	19	365	1,368
2014-01-24	$163.88	$168.00	14.2%	4.1%	11.6%	63.5%	15.6%	2.0%	0.1%	-785.3K	6.3M	-49.3K	75.78	62.75	9	682	370	1,385
2014-01-27	$163.08	$168.00	15.0%	4.3%	11.5%	70.8%	13.9%	3.1%	-0.2%	-1.4M	11.7M	-68.6K	2.78	46.04	9	25	375	2,020
2014-01-28	$164.09	$168.00	13.6%	3.9%	11.8%	57.8%	12.3%	4.2%	0.4%	-1.5M	10.7M	-67.4K	0.50	32.38	132	66	382	2,045
2014-01-29	$162.38	$168.00	15.6%	4.5%	12.2%	77.1%	14.9%	4.5%	-0.5%	-1.4M	11.5M	-71.6K	2.82	35.06	22	62	514	2,030
2014-01-30	$164.20	$168.00	13.7%	3.9%	12.9%	58.9%	12.7%	3.7%	-4.5%	-1.3M	10.3M	-73.2K	1.00	59.45	84	84	535	2,091
2014-01-31	$163.18	$168.00	15.8%	4.5%	12.7%	78.7%	15.0%	5.1%	-0.2%	-1.3M	11.2M	-73.4K	0.26	32.16	46	12	551	2,113