VOO Options History — May 2014

In May 2014, VOO traded between $171.18 and $176.55. ATM implied volatility averaged 10.2%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 0.7% (HV 20d: 9.4%). Max pain ranged from $167.00 to $171.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.07.

Notable Days

2014-05-09: Highest Volume — 460 contracts
2014-05-02: Largest IV spike — 20.2% change
2014-05-15: Highest IV Rank — 36.0%
2014-05-06: Largest Expected Move — 3.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$173.35	$171.18	$176.55	$172.60	$176.55
Max Pain	$170.05	$167.00	$171.00	$170.00	$171.00
ATM IV	10.2%	8.5%	11.8%	8.5%	8.8%
Expected Move	3.1%	2.4%	3.5%	2.4%	2.5%
HV 20d	9.4%	7.7%	13.2%	13.2%	8.4%
HV 60d	10.7%	10.4%	11.0%	11.0%	10.4%
IV Rank	20.4%	4.6%	36.0%	4.6%	7.6%
IV Percentile	17.0%	1.6%	52.0%	1.6%	1.6%
Term Structure	0.6%	0.0%	1.7%	0.7%	1.1%
VWIV	10.7%	8.1%	15.7%	15.7%	10.0%
Skew 25d	3.6%	2.6%	4.3%	3.5%	3.0%
Skew 10d	6.4%	5.0%	9.4%	9.3%	7.0%
Call IV 25d	9.3%	8.0%	10.4%	9.4%	8.0%
Put IV 25d	12.9%	11.0%	14.5%	12.9%	11.0%
Bid-Ask Spread %	26.19	11.04	61.62	59.21	51.25
Gamma HHI	0.20	0.14	0.35	0.21	0.14
Net GEX	843.8K	156.2K	1.8M	707.5K	737.3K
Net DEX	-3.5M	-6.5M	-789.2K	-3.1M	-6.5M
Net VEX	-27.4K	-32.6K	-22.5K	-23.3K	-27.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.07	0.00	12.00	0.09	0.60
Total Volume	65.857	7	460	10	24
Total OI	1,548.286	1,215	1,887	1,215	1,691

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
2014-05-01	$172.60	$170.00	8.5%	2.4%	13.2%	4.6%	15.7%	3.5%	0.7%	707.5K	-3.1M	-23.3K	0.00	59.21	0	10	593	622
2014-05-02	$172.32	$170.00	10.2%	2.9%	13.2%	20.8%	8.1%	3.4%	1.7%	784.3K	-2.8M	-22.7K	0.09	61.62	65	6	593	632
2014-05-05	$172.68	$167.00	10.1%	3.3%	12.5%	20.1%	0.0%	4.3%	0.6%	968.2K	-3.6M	-23.3K	6.00	11.04	1	6	657	637
2014-05-06	$171.18	$167.00	11.6%	3.5%	12.2%	33.8%	13.5%	4.1%	0.5%	691.5K	-2.2M	-23.1K	5.57	15.51	7	39	658	643
2014-05-07	$172.19	$170.00	11.1%	3.5%	12.3%	29.0%	10.8%	4.3%	0.0%	912.7K	-2.9M	-23.2K	0.04	13.49	28	1	657	670
2014-05-08	$171.98	$170.00	10.9%	3.4%	11.7%	27.2%	9.7%	3.9%	0.2%	944.4K	-2.9M	-22.5K	3.00	13.47	7	21	675	671
2014-05-09	$172.28	$170.00	9.5%	3.3%	8.5%	14.4%	11.7%	4.0%	0.5%	1.2M	-3.0M	-22.9K	1.97	11.96	155	305	682	692
2014-05-12	$173.91	$171.00	9.5%	3.1%	8.0%	14.3%	12.7%	3.4%	0.5%	1.6M	-5.5M	-28.5K	3.57	11.83	30	107	835	880
2014-05-13	$174.07	$171.00	9.1%	3.1%	7.7%	10.2%	10.3%	3.3%	0.7%	1.8M	-5.6M	-30.4K	0.05	17.55	39	2	865	981
2014-05-14	$173.23	$171.00	9.8%	3.2%	7.8%	17.4%	9.5%	3.5%	0.5%	1.8M	-4.3M	-31.0K	0.25	15.29	8	2	891	977
2014-05-15	$171.67	$171.00	11.8%	3.4%	7.9%	36.0%	10.6%	4.3%	0.3%	895.3K	-1.4M	-28.8K	3.38	20.80	26	88	865	956
2014-05-16	$172.34	$171.00	11.1%	3.2%	8.0%	29.3%	11.8%	3.7%	0.7%	1.2M	-2.3M	-28.7K	0.14	20.12	22	3	853	1,034
2014-05-19	$172.93	$171.00	10.9%	3.1%	7.9%	27.4%	11.2%	4.2%	0.4%	165.0K	-1.3M	-27.1K	0.63	22.23	105	66	558	794
2014-05-20	$171.79	$170.00	11.1%	3.2%	8.2%	29.0%	0.0%	3.6%	0.4%	156.2K	-789.2K	-31.2K	0.00	28.23	0	13	657	859
2014-05-21	$173.28	$170.00	10.4%	3.0%	8.7%	22.8%	9.3%	3.6%	0.6%	331.3K	-2.3M	-30.7K	12.00	21.52	6	72	657	872
2014-05-22	$173.75	$170.00	10.1%	2.9%	8.7%	19.8%	9.2%	3.3%	0.5%	366.9K	-2.6M	-32.6K	0.00	20.34	17	0	663	944
2014-05-23	$174.47	$170.00	9.9%	2.8%	8.2%	18.1%	10.8%	3.3%	1.0%	475.4K	-3.6M	-31.7K	0.41	30.59	22	9	675	944
2014-05-27	$175.50	$170.00	9.8%	2.8%	8.3%	16.9%	9.0%	3.2%	0.7%	618.1K	-4.9M	-29.7K	0.09	30.19	23	2	692	948
2014-05-28	$175.32	$170.00	9.8%	2.8%	8.3%	17.0%	9.5%	2.6%	0.8%	650.1K	-5.0M	-30.0K	0.27	28.41	11	3	715	950
2014-05-29	$176.32	$170.00	9.4%	2.7%	8.4%	13.7%	9.9%	3.0%	1.2%	714.0K	-6.3M	-27.3K	1.29	45.34	14	18	723	953
2014-05-30	$176.55	$171.00	8.8%	2.5%	8.4%	7.6%	10.0%	3.0%	1.1%	737.3K	-6.5M	-27.4K	0.60	51.25	15	9	731	960