VOO Options History — April 2014

In April 2014, VOO traded between $166.26 and $173.09. ATM implied volatility averaged 12.1%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 0.5% (HV 20d: 12.6%). Max pain ranged from $166.00 to $170.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.73.

Notable Days

2014-04-15: Highest Volume — 250 contracts
2014-04-10: Largest IV spike — 35.4% change
2014-04-11: Highest IV Rank — 74.0%
2014-04-11: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$170.70	$166.26	$173.09	$172.50	$172.59
Max Pain	$168.24	$166.00	$170.00	$170.00	$169.00
ATM IV	12.1%	10.0%	15.8%	10.5%	11.1%
Expected Move	3.5%	2.9%	4.5%	3.0%	3.2%
HV 20d	12.6%	9.4%	14.2%	9.4%	13.3%
HV 60d	12.5%	11.0%	13.3%	12.0%	11.0%
IV Rank	38.9%	18.6%	74.0%	23.5%	29.5%
IV Percentile	51.6%	9.9%	96.0%	19.8%	31.0%
Term Structure	0.8%	-0.9%	2.2%	1.5%	1.1%
VWIV	12.7%	9.9%	17.3%	10.0%	9.9%
Skew 25d	3.9%	2.1%	5.0%	3.1%	3.8%
Skew 10d	7.2%	5.1%	8.8%	8.1%	6.8%
Call IV 25d	10.6%	9.0%	12.9%	9.0%	9.8%
Put IV 25d	14.5%	11.6%	17.3%	12.1%	13.6%
Bid-Ask Spread %	45.98	28.62	84.76	82.13	55.78
Gamma HHI	0.16	0.11	0.31	0.14	0.19
Net GEX	272.1K	-1.0M	2.1M	-114.7K	694.4K
Net DEX	-441.5K	-3.5M	6.5M	-2.7M	-3.5M
Net VEX	-24.7K	-28.2K	-17.2K	-25.6K	-25.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.73	0.00	10.31	1.19	0.03
Total Volume	93.429	7	250	35	72
Total OI	2,169.619	781	3,007	2,838	1,257

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
2014-04-01	$172.50	$170.00	10.5%	3.0%	9.4%	23.5%	10.0%	3.1%	1.5%	-114.7K	-2.7M	-25.6K	1.19	82.13	16	19	601	2,237
2014-04-02	$173.09	$170.00	10.0%	2.9%	9.5%	18.6%	10.9%	2.2%	2.2%	-6.6K	-3.0M	-23.0K	0.00	83.57	0	7	560	2,075
2014-04-03	$172.82	$170.00	10.3%	3.0%	9.5%	22.0%	10.9%	2.1%	1.4%	20.3K	-2.6M	-22.9K	1.12	84.76	51	57	560	2,082
2014-04-04	$170.74	$170.00	11.3%	3.6%	10.4%	30.9%	12.6%	4.4%	0.5%	15.7K	106.4K	-26.1K	10.31	28.87	13	134	610	2,085
2014-04-07	$168.90	$170.00	13.5%	3.9%	11.0%	51.8%	12.9%	4.4%	0.3%	-358.9K	3.6M	-28.2K	1.35	37.88	96	130	623	2,185
2014-04-08	$169.60	$170.00	12.1%	3.7%	11.1%	39.1%	13.5%	4.6%	0.7%	54.0K	1.3M	-28.1K	0.00	34.24	38	0	674	2,173
2014-04-09	$171.43	$166.00	10.5%	3.5%	11.8%	23.6%	0.0%	4.1%	0.8%	415.5K	-2.1M	-25.9K	0.02	28.62	43	1	692	2,173
2014-04-10	$167.77	$166.00	14.2%	4.1%	13.5%	58.7%	16.7%	4.9%	-0.2%	-420.5K	4.3M	-28.2K	0.41	48.01	29	12	711	2,173
2014-04-11	$166.26	$166.00	15.8%	4.5%	13.8%	74.0%	13.8%	3.7%	-0.9%	-1.0M	6.5M	-28.1K	4.90	50.81	21	103	719	2,178
2014-04-14	$167.60	$166.00	14.3%	4.1%	13.7%	59.5%	15.7%	5.0%	0.1%	-33.9K	3.3M	-23.8K	3.63	42.80	24	87	736	2,168
2014-04-15	$168.76	$166.00	13.8%	3.9%	13.7%	54.4%	15.0%	5.0%	0.5%	541.4K	1.8M	-25.3K	0.20	36.86	208	42	758	2,249
2014-04-16	$170.54	$168.00	12.3%	3.5%	14.2%	40.4%	13.9%	4.2%	1.0%	2.1M	-1.4M	-21.1K	0.72	38.90	74	53	696	2,200
2014-04-17	$170.74	$168.00	11.6%	3.3%	14.0%	33.6%	10.8%	3.9%	1.5%	1.3M	-1.1M	-20.0K	0.63	34.31	32	20	663	2,230
2014-04-21	$171.37	$168.00	11.8%	3.4%	14.1%	35.6%	11.6%	4.2%	0.9%	-45.4K	-85.5K	-17.2K	0.10	35.41	96	10	249	532
2014-04-22	$172.12	$168.00	11.5%	3.3%	13.7%	33.5%	10.6%	3.9%	0.9%	141.9K	-1.3M	-19.2K	0.06	43.61	224	13	345	532
2014-04-23	$171.71	$168.00	11.5%	3.3%	13.7%	33.0%	12.7%	3.3%	1.3%	452.3K	-2.5M	-25.0K	2.50	44.39	6	15	550	540
2014-04-24	$172.09	$168.00	11.7%	3.4%	13.4%	35.3%	10.6%	3.5%	1.0%	482.0K	-2.7M	-25.3K	0.01	34.08	70	1	556	555
2014-04-25	$170.71	$168.00	12.3%	3.5%	13.7%	41.2%	14.0%	3.9%	0.7%	445.5K	-2.0M	-26.9K	4.20	37.57	10	42	626	556
2014-04-28	$171.23	$169.00	12.4%	3.6%	13.7%	41.7%	17.3%	4.0%	0.5%	516.5K	-2.4M	-26.4K	2.61	39.52	18	47	636	587
2014-04-29	$172.05	$169.00	12.0%	3.4%	13.5%	37.5%	10.6%	3.4%	0.6%	596.9K	-2.9M	-25.4K	0.65	43.43	17	11	621	609
2014-04-30	$172.59	$169.00	11.1%	3.2%	13.3%	29.5%	9.9%	3.8%	1.1%	694.4K	-3.5M	-25.8K	0.03	55.78	70	2	637	620