VOO Options History — February 2015

In February 2015, VOO traded between $185.09 and $194.22. ATM implied volatility averaged 13.2%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 1.0% (HV 20d: 14.3%). Max pain ranged from $182.00 to $186.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.66.

Notable Days

2015-02-04: Highest Volume — 1,534 contracts
2015-02-03: Largest IV drop — 14.9% change
2015-02-02: Highest IV Rank — 57.9%
2015-02-02: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$190.99	$185.09	$194.22	$185.09	$193.35
Max Pain	$183.84	$182.00	$186.00	$183.00	$186.00
ATM IV	13.2%	10.8%	16.9%	16.9%	11.4%
Expected Move	3.8%	3.1%	4.8%	4.8%	3.3%
HV 20d	14.3%	10.8%	17.2%	17.2%	10.8%
HV 60d	13.7%	13.0%	13.9%	13.0%	13.8%
IV Rank	36.9%	22.7%	57.9%	57.9%	26.2%
IV Percentile	67.9%	36.9%	92.1%	92.1%	46.4%
Term Structure	0.4%	-0.1%	0.9%	0.2%	0.5%
VWIV	15.3%	12.8%	17.9%	16.5%	13.3%
Skew 25d	5.2%	3.9%	6.8%	5.8%	4.1%
Skew 10d	10.2%	6.8%	15.3%	15.3%	6.8%
Call IV 25d	11.4%	9.2%	14.2%	14.2%	9.5%
Put IV 25d	16.5%	13.2%	20.0%	20.0%	13.5%
Bid-Ask Spread %	29.32	10.63	52.07	52.07	43.91
Gamma HHI	0.19	0.11	0.38	0.14	0.22
Net GEX	2.0M	524.3K	4.9M	524.3K	1.4M
Net DEX	-10.3M	-27.7M	2.2M	2.2M	-8.4M
Net VEX	-71.7K	-80.6K	-64.0K	-78.9K	-65.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.12	1.24	0.12	0.87
Total Volume	988.474	46	1,534	46	898
Total OI	3,843.842	3,047	4,668	3,717	3,378

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
2015-02-02	$185.09	$183.00	16.9%	4.8%	17.2%	57.9%	16.5%	5.8%	0.2%	524.3K	2.2M	-78.9K	0.12	52.07	41	5	1,895	1,822
2015-02-03	$187.74	$183.00	14.4%	4.1%	16.6%	43.5%	15.9%	4.9%	0.3%	1.1M	-3.4M	-78.6K	0.79	47.70	655	515	1,893	1,832
2015-02-04	$186.93	$183.00	15.3%	4.4%	16.3%	48.9%	14.8%	4.7%	0.2%	972.1K	-1.7M	-80.6K	0.46	51.14	1,049	485	1,978	1,888
2015-02-05	$188.98	$182.00	14.1%	4.3%	16.1%	41.6%	17.1%	6.3%	0.3%	1.1M	-6.1M	-77.8K	0.83	10.63	653	539	1,839	1,890
2015-02-06	$188.35	$183.00	15.1%	4.6%	15.1%	47.5%	17.9%	6.2%	0.1%	945.4K	-3.8M	-80.6K	0.83	13.84	659	550	1,885	1,978
2015-02-09	$187.72	$183.00	15.5%	4.6%	14.9%	50.0%	17.4%	6.8%	-0.1%	964.5K	-2.6M	-77.0K	0.74	11.75	680	500	1,943	2,004
2015-02-10	$189.75	$183.00	13.7%	4.2%	15.1%	39.6%	17.0%	6.3%	0.2%	1.8M	-8.6M	-76.1K	0.71	14.57	675	482	1,975	2,014
2015-02-11	$189.66	$183.00	14.7%	4.2%	14.9%	45.1%	17.1%	6.1%	0.1%	1.8M	-8.7M	-74.2K	0.60	17.28	670	405	1,995	2,005
2015-02-12	$191.59	$183.00	13.2%	3.8%	15.1%	36.4%	16.0%	5.6%	0.4%	2.5M	-13.6M	-69.8K	0.59	18.36	696	414	1,991	2,009
2015-02-13	$192.37	$183.00	13.1%	3.8%	14.5%	36.2%	15.2%	4.9%	0.3%	2.8M	-17.7M	-65.2K	0.46	22.15	870	404	2,052	2,025
2015-02-17	$192.54	$183.00	12.9%	3.7%	14.0%	35.1%	15.8%	5.0%	0.4%	3.6M	-19.7M	-64.0K	0.42	24.69	961	401	2,180	2,070
2015-02-18	$192.58	$185.00	12.8%	3.7%	14.0%	34.4%	15.8%	5.4%	0.6%	4.3M	-21.0M	-69.5K	0.42	24.05	954	396	2,380	2,111
2015-02-19	$192.61	$185.00	12.4%	3.6%	14.0%	32.2%	14.5%	4.9%	0.7%	4.4M	-21.8M	-67.4K	0.39	29.14	114	44	2,415	2,128
2015-02-20	$193.78	$185.00	11.7%	3.3%	13.3%	27.8%	12.8%	4.7%	0.7%	4.9M	-27.7M	-66.5K	1.24	31.76	221	275	2,498	2,170
2015-02-23	$193.56	$185.00	11.6%	3.3%	13.2%	27.4%	14.0%	4.8%	0.7%	975.0K	-7.4M	-66.4K	0.68	25.66	556	378	1,427	1,620
2015-02-24	$194.22	$185.00	11.1%	3.2%	13.2%	24.3%	13.6%	4.0%	0.9%	1.1M	-8.4M	-68.3K	0.78	36.38	486	377	1,454	1,689
2015-02-25	$194.13	$185.00	10.8%	3.1%	12.0%	22.7%	13.7%	4.0%	0.8%	1.3M	-9.3M	-65.2K	0.80	41.13	492	396	1,522	1,733
2015-02-26	$193.95	$185.00	10.9%	3.1%	10.8%	23.7%	13.2%	3.9%	0.9%	1.4M	-8.4M	-70.0K	0.82	40.92	485	400	1,565	1,780
2015-02-27	$193.35	$186.00	11.4%	3.3%	10.8%	26.2%	13.3%	4.1%	0.5%	1.4M	-8.4M	-65.5K	0.87	43.91	480	418	1,568	1,810