VOO Options History — November 2014

In November 2014, VOO traded between $184.46 and $190.44. ATM implied volatility averaged 11.1%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.6% (HV 20d: 10.5%). Max pain ranged from $183.00 to $183.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.83.

Notable Days

2014-11-03: Highest Volume — 1,979 contracts
2014-11-13: Largest IV spike — 28.2% change
2014-11-04: Highest IV Rank — 35.3%
2014-11-04: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$187.66	$184.46	$190.44	$184.95	$190.03
Max Pain	$183.00	$183.00	$183.00	$183.00	$183.00
ATM IV	11.1%	9.2%	13.0%	12.5%	11.4%
Expected Move	4.0%	3.8%	4.3%	4.2%	3.9%
HV 20d	10.5%	5.4%	19.4%	19.4%	5.4%
HV 60d	13.3%	13.2%	13.4%	13.3%	13.2%
IV Rank	24.4%	13.8%	35.3%	32.7%	26.4%
IV Percentile	51.1%	16.3%	81.7%	77.4%	56.7%
Term Structure	0.4%	-0.1%	1.4%	1.1%	-0.1%
VWIV	15.9%	14.9%	18.0%	15.6%	17.9%
Skew 25d	3.7%	2.8%	4.1%	4.1%	3.6%
Skew 10d	7.6%	5.1%	9.6%	7.8%	9.0%
Call IV 25d	10.2%	8.6%	11.0%	11.0%	10.6%
Put IV 25d	13.9%	11.9%	15.1%	15.1%	14.2%
Bid-Ask Spread %	8.52	6.86	10.31	7.62	9.04
Gamma HHI	0.14	0.12	0.19	0.14	0.15
Net GEX	1.3M	869.5K	1.7M	975.6K	951.6K
Net DEX	-25.5M	-32.5M	-19.7M	-20.1M	-20.9M
Net VEX	-57.9K	-79.3K	-41.5K	-77.7K	-43.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.03	1.37	0.63	0.05
Total Volume	879.895	22	1,979	1,979	53
Total OI	3,461	2,515	3,816	3,566	2,664

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
2014-11-03	$184.95	$183.00	12.5%	4.2%	19.4%	32.7%	15.6%	4.1%	1.1%	975.6K	-20.1M	-77.7K	0.63	7.62	1,211	768	2,099	1,467
2014-11-04	$184.46	$183.00	13.0%	4.3%	18.4%	35.3%	15.7%	4.0%	1.0%	1.2M	-19.7M	-79.3K	0.62	6.86	1,150	711	2,194	1,469
2014-11-05	$185.58	$183.00	11.3%	4.2%	17.5%	25.8%	15.6%	3.7%	1.4%	1.2M	-22.3M	-75.6K	1.37	7.33	520	711	2,205	1,469
2014-11-06	$186.26	$183.00	11.6%	4.1%	15.4%	27.2%	15.6%	3.3%	1.3%	1.2M	-24.0M	-72.1K	1.28	7.52	526	674	2,208	1,469
2014-11-07	$186.33	$183.00	10.2%	4.1%	14.5%	19.2%	15.3%	4.0%	0.1%	1.3M	-24.7M	-69.6K	1.20	7.38	547	659	2,206	1,471
2014-11-10	$186.92	$183.00	9.2%	3.9%	12.5%	13.8%	15.0%	3.7%	0.3%	1.4M	-26.9M	-63.7K	1.18	7.23	561	661	2,230	1,471
2014-11-11	$187.09	$183.00	9.4%	3.9%	12.3%	15.0%	14.9%	3.9%	0.1%	1.6M	-23.6M	-56.1K	1.15	8.84	576	663	1,955	1,191
2014-11-12	$187.12	$183.00	9.3%	3.9%	9.9%	14.1%	15.1%	3.8%	0.2%	1.5M	-27.8M	-60.8K	1.16	8.31	580	673	2,258	1,473
2014-11-13	$187.11	$183.00	11.9%	3.9%	9.8%	29.1%	15.6%	3.9%	0.1%	1.6M	-27.6M	-61.1K	1.19	8.50	587	697	2,273	1,484
2014-11-14	$187.33	$183.00	11.7%	3.9%	9.4%	28.0%	0.0%	4.0%	0.1%	1.6M	-28.2M	-59.2K	0.03	9.30	32	1	2,267	1,505
2014-11-17	$187.36	$183.00	12.1%	3.9%	9.2%	30.3%	15.6%	4.1%	-0.0%	1.7M	-28.8M	-57.4K	1.26	8.34	553	698	2,295	1,521
2014-11-18	$188.49	$183.00	11.7%	3.8%	7.7%	28.2%	15.6%	3.7%	0.2%	1.6M	-31.3M	-52.5K	1.33	8.94	514	684	2,287	1,522
2014-11-19	$188.17	$183.00	11.8%	3.9%	7.3%	28.5%	0.0%	4.0%	0.1%	1.6M	-31.5M	-51.0K	0.37	9.31	99	37	2,287	1,518
2014-11-20	$188.44	$183.00	11.4%	3.9%	6.7%	26.3%	17.9%	3.8%	0.1%	1.5M	-30.8M	-48.1K	0.49	9.14	271	132	2,204	1,537
2014-11-21	$189.41	$183.00	10.9%	3.9%	6.5%	23.4%	18.0%	3.3%	0.2%	1.6M	-32.5M	-45.5K	0.55	8.89	258	142	2,214	1,543
2014-11-24	$190.06	$183.00	10.2%	3.8%	6.4%	19.6%	0.0%	3.8%	0.6%	869.5K	-21.1M	-41.5K	0.39	10.10	171	67	1,519	996
2014-11-25	$190.02	$183.00	10.3%	3.8%	5.6%	19.8%	17.9%	2.8%	0.6%	949.6K	-21.3M	-42.8K	0.60	8.97	318	191	1,586	1,047
2014-11-26	$190.44	$183.00	10.3%	3.8%	5.4%	20.2%	0.0%	3.1%	0.4%	958.7K	-21.5M	-43.4K	0.05	10.31	21	1	1,600	1,055
2014-11-28	$190.03	$183.00	11.4%	3.9%	5.4%	26.4%	0.0%	3.6%	-0.1%	951.6K	-20.9M	-43.3K	0.00	9.04	0	53	1,608	1,056