VOO Options History — January 2015

In January 2015, VOO traded between $182.53 and $188.90. ATM implied volatility averaged 16.1%, placing in the 53.6% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.5% (HV 20d: 15.7%). Max pain ranged from $182.00 to $190.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.63.

Notable Days

2015-01-08: Highest Volume — 1,774 contracts
2015-01-05: Largest IV spike — 23.1% change
2015-01-30: Highest IV Rank — 69.0%
2015-01-30: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$185.78	$182.53	$188.90	$188.62	$182.85
Max Pain	$183.20	$182.00	$190.00	$190.00	$183.00
ATM IV	16.1%	13.1%	18.8%	13.6%	18.8%
Expected Move	4.7%	3.9%	5.4%	4.0%	5.4%
HV 20d	15.7%	14.0%	17.6%	14.0%	16.5%
HV 60d	12.7%	12.0%	13.7%	13.6%	12.8%
IV Rank	53.6%	36.3%	69.0%	39.0%	69.0%
IV Percentile	89.9%	76.2%	98.0%	82.1%	98.0%
Term Structure	0.1%	-0.8%	0.9%	0.7%	-0.6%
VWIV	17.2%	14.1%	20.3%	16.7%	20.3%
Skew 25d	6.6%	5.2%	10.5%	6.4%	6.4%
Skew 10d	10.8%	7.2%	15.5%	12.0%	8.9%
Call IV 25d	13.2%	10.1%	15.9%	11.4%	15.9%
Put IV 25d	19.8%	16.3%	22.3%	17.8%	22.3%
Bid-Ask Spread %	37.52	20.52	75.91	20.52	45.55
Gamma HHI	0.13	0.06	0.21	0.07	0.11
Net GEX	871.0K	90.0K	2.9M	593.8K	172.3K
Net DEX	-4.0M	-21.2M	6.5M	-9.9M	6.5M
Net VEX	-77.9K	-86.2K	-62.8K	-62.8K	-82.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.24	1.46	0.41	0.76
Total Volume	951.1	84	1,774	1,369	1,163
Total OI	4,259.15	2,867	5,548	3,898	3,747

Daily Data (20 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
2015-01-02	$188.62	$190.00	13.6%	4.0%	14.0%	39.0%	16.7%	6.4%	0.7%	593.8K	-9.9M	-62.8K	0.41	20.52	973	396	1,905	1,993
2015-01-05	$185.09	$182.00	16.8%	5.2%	15.5%	57.1%	17.8%	10.5%	-0.5%	669.6K	-1.5M	-66.5K	0.59	75.91	798	472	1,853	1,991
2015-01-06	$183.27	$183.00	18.4%	5.0%	15.7%	66.8%	19.0%	7.0%	0.2%	772.6K	2.9M	-85.8K	0.62	38.58	274	170	2,487	2,419
2015-01-07	$185.56	$182.00	15.2%	4.5%	16.4%	48.2%	15.6%	6.5%	0.5%	1.2M	-6.1M	-86.2K	0.34	31.25	88	30	2,665	2,347
2015-01-08	$188.69	$182.00	13.1%	4.1%	17.6%	36.3%	16.7%	6.3%	0.9%	1.3M	-21.2M	-84.1K	0.67	22.95	1,060	714	2,912	2,384
2015-01-09	$187.41	$183.00	14.0%	4.3%	16.7%	41.4%	16.5%	6.0%	0.6%	941.6K	-16.2M	-81.2K	0.51	26.59	1,046	530	2,767	2,427
2015-01-12	$185.95	$183.00	16.4%	4.7%	16.9%	55.0%	17.3%	7.5%	0.2%	937.4K	-11.5M	-75.8K	0.50	30.31	1,081	542	2,772	2,440
2015-01-13	$185.08	$183.00	18.4%	4.9%	16.2%	66.6%	19.3%	7.1%	0.4%	964.6K	-8.8M	-74.8K	0.62	33.90	874	541	2,791	2,457
2015-01-14	$184.23	$183.00	18.0%	5.2%	16.1%	64.5%	19.7%	7.6%	-0.3%	1.4M	-6.5M	-74.8K	0.63	34.22	822	516	2,931	2,499
2015-01-15	$182.53	$183.00	18.5%	5.3%	16.2%	67.2%	20.2%	6.6%	-0.6%	1.4M	-923.1K	-73.0K	0.66	45.14	883	586	2,938	2,610
2015-01-16	$184.80	$183.00	17.2%	4.9%	15.3%	59.5%	14.5%	7.4%	-0.1%	2.9M	-3.9M	-74.2K	1.46	40.24	114	167	2,758	2,623
2015-01-20	$185.26	$183.00	17.3%	5.0%	14.0%	60.1%	15.5%	6.9%	0.0%	90.0K	2.9M	-75.3K	0.24	36.59	107	26	1,294	1,573
2015-01-21	$186.23	$183.00	16.2%	4.6%	14.0%	53.8%	16.2%	6.6%	-0.0%	259.3K	967.5K	-76.9K	0.39	34.44	167	65	1,384	1,597
2015-01-22	$188.90	$183.00	13.7%	3.9%	14.9%	39.5%	16.0%	5.5%	0.4%	590.8K	-5.3M	-78.8K	0.57	32.12	668	382	1,521	1,597
2015-01-23	$188.02	$183.00	14.1%	4.1%	14.9%	42.0%	15.2%	5.7%	0.6%	651.2K	-3.7M	-80.5K	0.51	33.93	882	452	1,570	1,633
2015-01-26	$188.41	$183.00	13.4%	3.9%	15.0%	38.1%	14.1%	5.2%	0.7%	1.1M	-5.1M	-81.6K	1.18	33.70	49	58	1,788	1,699
2015-01-27	$185.94	$183.00	15.4%	4.4%	15.5%	49.5%	15.3%	5.3%	0.2%	647.7K	370.6K	-81.7K	0.62	40.59	52	32	1,820	1,746
2015-01-28	$183.64	$183.00	17.7%	5.1%	16.0%	62.4%	19.0%	6.2%	-0.8%	266.2K	4.9M	-80.0K	0.61	46.52	689	420	1,822	1,774
2015-01-29	$185.18	$183.00	16.6%	4.8%	16.3%	56.2%	18.7%	5.8%	-0.0%	520.6K	2.2M	-82.2K	0.67	47.44	679	454	1,844	1,805
2015-01-30	$182.85	$183.00	18.8%	5.4%	16.5%	69.0%	20.3%	6.4%	-0.6%	172.3K	6.5M	-82.0K	0.76	45.55	662	501	1,882	1,865