VOO Options History — February 2014

In February 2014, VOO traded between $159.61 and $170.63. ATM implied volatility averaged 12.6%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 2.6% (HV 20d: 15.2%). Max pain ranged from $160.00 to $168.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 2.78.

Notable Days

2014-02-04: Highest Volume — 312 contracts
2014-02-13: Largest IV spike — 50.1% change
2014-02-03: Highest IV Rank — 100.0%
2014-02-03: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$166.61	$159.61	$170.63	$159.61	$170.63
Max Pain	$164.05	$160.00	$168.00	$168.00	$166.00
ATM IV	12.6%	8.0%	18.6%	18.6%	11.3%
Expected Move	3.7%	3.2%	5.3%	5.3%	3.2%
HV 20d	15.2%	12.4%	16.5%	14.7%	12.4%
HV 60d	12.0%	11.7%	12.1%	12.0%	12.1%
IV Rank	45.2%	2.9%	100.0%	100.0%	33.4%
IV Percentile	60.1%	0.4%	100.0%	100.0%	42.9%
Term Structure	0.2%	-2.0%	0.8%	0.0%	0.4%
VWIV	13.1%	10.6%	17.9%	17.4%	12.2%
Skew 25d	4.1%	2.5%	5.9%	2.5%	5.9%
Skew 10d	7.8%	5.9%	11.1%	6.2%	7.7%
Call IV 25d	11.5%	8.4%	18.4%	18.4%	8.4%
Put IV 25d	15.6%	13.7%	20.9%	20.9%	14.2%
Bid-Ask Spread %	37.33	18.22	67.83	67.83	65.23
Gamma HHI	0.14	0.12	0.19	0.19	0.12
Net GEX	-866.3K	-1.4M	-503.8K	-1.3M	-503.8K
Net DEX	4.3M	-1.4M	15.5M	15.5M	-1.4M
Net VEX	-58.1K	-70.8K	-46.6K	-70.8K	-46.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.78	0.09	13.86	1.08	4.00
Total Volume	68.842	6	312	52	35
Total OI	2,752.842	2,508	2,906	2,694	2,675

Daily Data (19 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
2014-02-03	$159.61	$168.00	18.6%	5.3%	14.7%	100.0%	17.4%	2.5%	0.0%	-1.3M	15.5M	-70.8K	1.08	67.83	25	27	579	2,115
2014-02-04	$160.69	$167.00	15.3%	4.4%	15.1%	70.0%	16.3%	4.7%	0.4%	-1.4M	14.6M	-70.5K	13.86	42.16	21	291	590	2,133
2014-02-05	$160.46	$167.00	17.2%	4.9%	14.7%	87.7%	17.9%	5.6%	0.0%	-1.1M	12.7M	-64.4K	5.08	55.24	38	193	598	1,910
2014-02-06	$162.57	$167.00	15.0%	4.3%	15.7%	66.9%	13.1%	4.7%	-0.2%	-1.4M	11.1M	-68.1K	2.05	29.13	21	43	620	2,103
2014-02-07	$164.67	$160.00	12.2%	3.7%	16.5%	41.4%	12.3%	4.5%	0.1%	-1.3M	7.6M	-66.5K	0.16	22.55	70	11	639	2,108
2014-02-10	$164.93	$161.00	12.0%	3.8%	16.5%	39.6%	14.9%	4.4%	-0.1%	-1.3M	6.7M	-66.2K	1.46	26.04	13	19	698	2,115
2014-02-11	$166.75	$163.00	10.8%	3.5%	16.4%	28.2%	14.8%	4.0%	0.3%	-983.9K	3.6M	-62.5K	1.37	22.14	19	26	685	2,124
2014-02-12	$166.90	$163.00	8.0%	3.6%	16.0%	2.9%	12.6%	3.9%	0.4%	-966.4K	2.9M	-59.3K	0.09	37.44	170	16	704	2,143
2014-02-13	$167.72	$163.00	12.0%	3.4%	16.0%	39.6%	0.0%	3.8%	0.3%	-768.5K	2.3M	-59.9K	0.00	18.22	0	8	720	2,154
2014-02-14	$168.61	$163.00	11.5%	3.3%	16.1%	34.8%	11.5%	3.7%	0.4%	-601.2K	994.4K	-57.0K	0.20	21.11	5	1	720	2,162
2014-02-18	$168.86	$163.00	11.7%	3.4%	16.0%	37.3%	11.5%	3.4%	0.3%	-548.4K	565.9K	-54.6K	0.96	21.59	26	25	722	2,161
2014-02-19	$167.70	$163.00	12.8%	3.7%	16.2%	47.4%	0.0%	4.3%	0.1%	-678.0K	2.4M	-57.1K	3.75	19.50	4	15	739	2,167
2014-02-20	$168.65	$163.00	12.0%	3.4%	16.3%	39.7%	12.0%	4.0%	0.3%	-524.6K	907.8K	-53.0K	2.30	21.05	10	23	714	2,166
2014-02-21	$168.57	$163.00	11.5%	3.3%	16.0%	34.6%	0.0%	4.0%	0.7%	-522.8K	1.2M	-53.0K	0.31	39.09	13	4	717	2,178
2014-02-24	$169.37	$163.00	11.3%	3.2%	13.8%	33.0%	10.6%	3.6%	0.8%	-675.1K	93.0K	-48.8K	0.38	49.74	40	15	634	1,923
2014-02-25	$169.31	$163.00	11.8%	3.4%	13.6%	38.3%	11.4%	3.4%	0.6%	-632.7K	454.9K	-49.7K	0.88	48.30	16	14	666	1,938
2014-02-26	$169.31	$165.00	11.8%	3.4%	13.5%	37.9%	11.0%	3.5%	0.5%	-623.8K	473.4K	-49.7K	12.00	52.80	2	24	682	1,952
2014-02-27	$170.25	$166.00	12.7%	3.6%	12.8%	45.7%	10.7%	3.8%	-2.0%	-568.8K	-694.5K	-47.0K	0.14	50.16	22	3	684	1,966
2014-02-28	$170.63	$166.00	11.3%	3.2%	12.4%	33.4%	12.2%	5.9%	0.4%	-503.8K	-1.4M	-46.6K	4.00	65.23	7	28	706	1,969