VOO Options History — September 2014

In September 2014, VOO traded between $180.05 and $185.04. ATM implied volatility averaged 10.5%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 3.6% (HV 20d: 6.9%). Max pain ranged from $183.00 to $183.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.52.

Notable Days

2014-09-03: Highest Volume — 298 contracts
2014-09-22: Largest IV spike — 27.1% change
2014-09-25: Highest IV Rank — 55.1%
2014-09-30: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$183.00	$180.05	$185.04	$183.94	$180.59
Max Pain	$183.00	$183.00	$183.00	$183.00	$183.00
ATM IV	10.5%	8.3%	13.3%	9.2%	13.1%
Expected Move	3.9%	3.7%	4.3%	3.9%	4.3%
HV 20d	6.9%	5.0%	10.2%	7.6%	10.2%
HV 60d	8.8%	8.4%	9.7%	8.5%	9.7%
IV Rank	31.0%	12.8%	55.1%	19.9%	53.7%
IV Percentile	40.3%	4.8%	86.1%	14.3%	85.7%
Term Structure	1.5%	0.1%	3.1%	1.2%	0.6%
VWIV	13.7%	11.6%	18.3%	12.9%	18.3%
Skew 25d	4.5%	2.5%	5.5%	3.1%	5.5%
Skew 10d	10.0%	4.2%	13.3%	8.7%	9.9%
Call IV 25d	9.1%	7.6%	11.2%	8.1%	11.2%
Put IV 25d	13.6%	10.1%	16.7%	11.2%	16.7%
Bid-Ask Spread %	6.82	6.04	8.36	6.57	6.67
Gamma HHI	0.15	0.11	0.22	0.12	0.20
Net GEX	-84.8K	-572.1K	352.9K	-220.0K	-572.1K
Net DEX	-3.9M	-11.0M	3.2M	-4.2M	3.0M
Net VEX	-44.0K	-49.2K	-34.1K	-35.9K	-44.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.52	0.00	14.13	0.75	0.20
Total Volume	83.952	5	298	7	72
Total OI	2,335.667	1,816	2,861	2,119	2,040

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
2014-09-02	$183.94	$183.00	9.2%	3.9%	7.6%	19.9%	0.0%	3.1%	1.2%	-220.0K	-4.2M	-35.9K	0.75	6.57	4	3	691	1,428
2014-09-03	$183.86	$183.00	9.3%	3.9%	6.2%	21.4%	0.0%	3.3%	1.1%	-190.9K	-4.4M	-34.7K	0.03	6.06	288	10	694	1,430
2014-09-04	$183.56	$183.00	9.3%	3.9%	6.4%	21.4%	12.9%	3.6%	0.9%	17.0K	-6.5M	-48.1K	0.34	6.26	29	10	982	1,440
2014-09-05	$184.44	$183.00	8.8%	3.8%	5.8%	16.9%	0.0%	4.5%	2.4%	248.1K	-8.2M	-45.1K	8.63	6.90	8	69	1,004	1,447
2014-09-08	$183.97	$183.00	9.2%	3.9%	5.0%	20.1%	0.0%	4.6%	2.3%	197.7K	-6.9M	-47.2K	1.50	6.40	2	3	1,011	1,515
2014-09-09	$182.78	$183.00	10.1%	3.9%	5.8%	28.0%	15.2%	5.0%	1.9%	-65.0K	-4.9M	-49.2K	0.38	6.97	8	3	1,013	1,516
2014-09-10	$183.50	$183.00	10.4%	3.9%	5.8%	30.5%	12.3%	4.9%	1.9%	106.7K	-6.3M	-47.2K	1.08	8.05	12	13	1,019	1,519
2014-09-11	$183.67	$183.00	9.7%	3.8%	5.4%	24.7%	0.0%	4.9%	2.4%	216.8K	-6.8M	-45.8K	0.00	7.22	14	0	1,017	1,516
2014-09-12	$182.58	$183.00	10.6%	3.9%	5.9%	32.3%	14.3%	5.1%	1.9%	-14.9K	-4.9M	-47.7K	14.13	8.22	8	113	1,029	1,516
2014-09-15	$182.46	$183.00	11.6%	4.0%	5.9%	40.3%	0.0%	5.2%	1.3%	-295.8K	-4.2M	-47.9K	0.45	6.95	22	10	1,031	1,625
2014-09-16	$183.82	$183.00	10.0%	3.8%	5.8%	27.1%	0.0%	4.7%	2.2%	185.7K	-7.2M	-44.7K	0.20	6.70	5	1	1,042	1,634
2014-09-17	$184.08	$183.00	9.7%	3.8%	5.5%	24.0%	12.4%	4.2%	2.4%	352.9K	-8.4M	-42.0K	2.81	8.36	54	152	1,046	1,633
2014-09-18	$185.04	$183.00	8.9%	3.7%	5.7%	17.7%	0.0%	3.7%	2.6%	350.3K	-9.7M	-39.9K	0.88	6.47	41	36	1,051	1,752
2014-09-19	$184.86	$183.00	8.3%	3.7%	5.7%	12.8%	12.7%	2.5%	3.1%	321.0K	-11.0M	-34.1K	0.56	6.84	189	105	1,079	1,782
2014-09-22	$182.56	$183.00	10.6%	3.9%	7.3%	32.1%	11.6%	4.5%	0.8%	-259.7K	166.7K	-43.3K	5.87	6.04	15	88	648	1,168
2014-09-23	$181.53	$183.00	11.7%	4.0%	7.3%	41.1%	14.2%	4.8%	0.3%	-474.7K	1.9M	-45.0K	9.08	6.65	12	109	650	1,252
2014-09-24	$182.99	$183.00	10.6%	3.9%	7.9%	32.1%	11.7%	4.9%	0.8%	-308.9K	242.2K	-44.9K	0.71	6.45	28	20	659	1,245
2014-09-25	$180.05	$183.00	13.3%	4.2%	9.7%	55.1%	16.7%	5.4%	0.2%	-509.2K	3.2M	-44.8K	1.10	6.81	42	46	683	1,241
2014-09-26	$181.50	$183.00	12.4%	4.1%	10.2%	47.5%	13.0%	5.3%	0.4%	-332.8K	1.5M	-45.8K	3.29	6.44	21	69	711	1,265
2014-09-29	$181.14	$183.00	13.0%	4.2%	10.2%	52.7%	12.2%	5.2%	0.1%	-532.7K	2.5M	-45.3K	0.93	6.14	15	14	707	1,318
2014-09-30	$180.59	$183.00	13.1%	4.3%	10.2%	53.7%	18.3%	5.5%	0.6%	-572.1K	3.0M	-44.8K	0.20	6.67	60	12	715	1,325