VOO Options History — June 2014

In June 2014, VOO traded between $176.68 and $180.45. ATM implied volatility averaged 9.0%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 2.2% (HV 20d: 6.8%). Max pain ranged from $170.00 to $180.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 17.05.

Notable Days

2014-06-09: Highest Volume — 360 contracts
2014-06-12: Largest IV spike — 23.3% change
2014-06-12: Highest IV Rank — 22.6%
2014-06-12: Largest Expected Move — 3.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$178.70	$176.68	$180.45	$176.79	$179.43
Max Pain	$176.95	$170.00	$180.00	$171.00	$180.00
ATM IV	9.0%	7.9%	10.4%	9.0%	8.9%
Expected Move	2.6%	2.3%	3.0%	2.6%	2.6%
HV 20d	6.8%	5.6%	8.3%	8.3%	6.2%
HV 60d	10.0%	9.6%	10.5%	10.4%	9.6%
IV Rank	9.6%	0.0%	22.6%	9.9%	9.5%
IV Percentile	6.2%	0.0%	22.6%	2.8%	6.0%
Term Structure	1.8%	0.2%	3.3%	1.1%	1.0%
VWIV	9.8%	7.1%	16.2%	7.7%	8.8%
Skew 25d	3.3%	2.4%	4.1%	2.7%	3.3%
Skew 10d	7.5%	4.9%	10.3%	5.9%	7.4%
Call IV 25d	8.1%	7.2%	9.1%	8.3%	7.4%
Put IV 25d	11.5%	9.9%	13.2%	11.0%	10.7%
Bid-Ask Spread %	61.13	43.38	75.01	43.38	74.33
Gamma HHI	0.18	0.12	0.32	0.13	0.19
Net GEX	612.4K	-574.5K	1.3M	791.8K	-574.5K
Net DEX	-5.3M	-10.1M	2.4M	-6.9M	2.4M
Net VEX	-31.1K	-38.8K	-20.8K	-26.2K	-35.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	17.05	0.00	276.00	0.45	1.70
Total Volume	81.857	5	360	16	157
Total OI	2,022.905	1,610	2,604	1,707	1,795

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
2014-06-02	$176.79	$171.00	9.0%	2.6%	8.3%	9.9%	7.7%	2.7%	1.1%	791.8K	-6.9M	-26.2K	0.45	43.38	11	5	744	963
2014-06-03	$176.68	$171.00	9.4%	2.7%	8.3%	13.4%	8.8%	2.9%	0.8%	810.4K	-6.9M	-26.0K	0.21	56.51	53	11	755	968
2014-06-04	$177.00	$171.00	9.9%	2.8%	7.5%	18.2%	11.1%	3.2%	0.2%	894.3K	-7.3M	-26.7K	0.13	55.96	15	2	804	979
2014-06-05	$178.20	$171.00	9.5%	2.7%	7.6%	13.9%	9.6%	2.4%	0.7%	896.1K	-8.8M	-24.2K	2.33	50.27	9	21	811	979
2014-06-06	$179.05	$170.00	8.4%	2.7%	7.6%	4.0%	10.8%	3.1%	2.2%	1.1M	-10.1M	-20.8K	5.41	57.19	22	119	815	988
2014-06-09	$179.23	$172.00	8.6%	2.8%	7.6%	6.1%	9.4%	3.4%	2.1%	982.8K	-10.0M	-22.0K	0.91	59.41	188	172	823	1,066
2014-06-10	$179.27	$179.00	8.2%	2.7%	7.0%	2.1%	9.7%	3.4%	2.6%	1.2M	-9.9M	-28.6K	0.93	61.18	14	13	1,011	1,238
2014-06-11	$178.69	$179.00	8.4%	2.7%	7.2%	4.1%	10.5%	3.3%	2.4%	1.3M	-9.0M	-29.4K	0.25	56.40	40	10	1,021	1,246
2014-06-12	$177.36	$179.00	10.4%	3.0%	7.6%	22.6%	16.2%	4.0%	2.1%	1.2M	-6.0M	-31.0K	19.00	46.37	1	19	993	1,254
2014-06-13	$177.92	$179.00	9.8%	2.8%	6.6%	17.4%	13.0%	4.0%	2.4%	1.3M	-6.9M	-30.2K	0.00	47.97	0	12	993	1,273
2014-06-16	$178.07	$179.00	10.1%	2.9%	6.5%	20.2%	0.0%	4.0%	2.1%	1.3M	-7.3M	-28.1K	276.00	56.83	1	276	993	1,283
2014-06-17	$178.54	$179.00	9.4%	2.7%	6.5%	13.2%	8.9%	4.1%	2.5%	983.3K	-5.8M	-38.8K	0.61	55.84	23	14	992	1,559
2014-06-18	$179.87	$179.00	8.3%	2.4%	6.1%	2.9%	9.1%	3.1%	3.0%	787.2K	-8.5M	-36.7K	0.29	72.69	35	10	1,012	1,573
2014-06-19	$180.09	$178.00	7.9%	2.3%	5.6%	0.0%	7.1%	3.0%	3.2%	842.9K	-9.4M	-36.3K	0.00	72.48	93	0	1,028	1,576
2014-06-20	$180.45	$179.00	7.9%	2.3%	5.6%	0.0%	10.0%	2.7%	3.3%	468.5K	-9.3M	-36.3K	0.01	73.10	73	1	1,022	1,576
2014-06-23	$179.56	$180.00	7.9%	2.3%	6.0%	0.4%	0.0%	3.0%	1.3%	-97.2K	409.4K	-34.6K	7.00	68.48	1	7	475	1,157
2014-06-24	$178.50	$180.00	9.7%	2.8%	6.3%	16.8%	8.8%	3.6%	0.9%	-208.7K	2.0M	-34.7K	1.77	61.95	22	39	446	1,164
2014-06-25	$179.26	$180.00	9.0%	2.6%	6.4%	10.1%	7.6%	3.7%	0.9%	-211.7K	1.4M	-35.4K	0.00	66.25	5	0	444	1,203
2014-06-26	$179.17	$180.00	8.9%	2.6%	6.2%	10.0%	9.5%	3.6%	0.9%	-227.8K	1.7M	-35.0K	6.92	72.07	25	173	449	1,203
2014-06-27	$179.48	$180.00	8.5%	2.4%	6.2%	6.1%	0.0%	3.1%	1.3%	-557.4K	2.2M	-37.0K	1.70	75.01	10	17	454	1,353
2014-06-30	$179.43	$180.00	8.9%	2.6%	6.2%	9.5%	8.8%	3.3%	1.0%	-574.5K	2.4M	-35.4K	0.00	74.33	0	157	449	1,346