VOO Options History — May 2015

In May 2015, VOO traded between $190.38 and $195.66. ATM implied volatility averaged 12.1%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.5% (HV 20d: 10.6%). Max pain ranged from $190.00 to $193.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.78.

Notable Days

2015-05-06: Highest Volume — 936 contracts
2015-05-08: Largest IV drop — 34.7% change
2015-05-06: Highest IV Rank — 51.5%
2015-05-06: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$193.75	$190.38	$195.66	$193.04	$193.78
Max Pain	$191.90	$190.00	$193.00	$190.00	$192.00
ATM IV	12.1%	10.1%	15.8%	11.3%	12.2%
Expected Move	3.5%	3.0%	4.1%	3.2%	3.5%
HV 20d	10.6%	9.2%	11.7%	9.4%	10.7%
HV 60d	11.4%	11.0%	11.7%	11.2%	11.7%
IV Rank	30.3%	19.0%	51.5%	25.9%	30.7%
IV Percentile	52.1%	28.6%	88.9%	44.4%	56.3%
Term Structure	0.1%	-1.1%	1.6%	1.0%	-0.8%
VWIV	11.8%	9.5%	14.6%	12.0%	12.1%
Skew 25d	4.9%	3.8%	8.4%	4.0%	4.6%
Skew 10d	9.0%	5.5%	10.6%	7.7%	9.0%
Call IV 25d	9.9%	8.9%	11.4%	9.8%	10.2%
Put IV 25d	14.8%	12.7%	18.4%	13.8%	14.8%
Bid-Ask Spread %	38.37	14.67	94.05	32.25	20.48
Gamma HHI	0.15	0.10	0.27	0.14	0.11
Net GEX	1.8M	248.7K	3.9M	2.3M	1.0M
Net DEX	-1.7M	-10.9M	3.2M	-4.0M	2.8M
Net VEX	-44.4K	-52.7K	-35.8K	-52.7K	-49.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.01	4.11	0.48	0.83
Total Volume	637.3	74	936	847	723
Total OI	2,725.55	1,611	3,326	2,933	2,607

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
2015-05-01	$193.04	$190.00	11.3%	3.2%	9.4%	25.9%	12.0%	4.0%	1.0%	2.3M	-4.0M	-52.7K	0.48	32.25	571	276	1,674	1,259
2015-05-04	$193.70	$193.00	10.8%	3.6%	9.2%	23.1%	10.2%	4.9%	-0.4%	2.7M	-6.7M	-50.6K	4.11	45.93	28	115	1,676	1,271
2015-05-05	$191.52	$193.00	13.6%	3.8%	10.1%	38.9%	12.2%	5.3%	0.2%	1.7M	282.7K	-50.4K	0.61	58.34	567	347	1,691	1,380
2015-05-06	$190.38	$192.00	15.8%	4.1%	10.3%	51.5%	13.9%	8.4%	-1.1%	1.3M	3.2M	-49.9K	0.63	94.05	573	363	1,687	1,389
2015-05-07	$191.47	$192.00	15.5%	4.1%	10.4%	49.9%	14.6%	5.9%	1.6%	1.6M	1.5M	-49.7K	0.85	55.59	439	375	1,692	1,425
2015-05-08	$193.95	$191.00	10.1%	3.5%	11.2%	19.0%	11.9%	6.1%	0.2%	2.9M	-6.4M	-47.6K	0.47	51.67	81	38	1,727	1,435
2015-05-11	$193.02	$191.00	12.5%	3.7%	11.3%	32.6%	10.9%	5.0%	0.1%	2.9M	-4.3M	-43.8K	0.01	49.63	112	1	1,773	1,448
2015-05-12	$192.64	$191.00	14.2%	3.6%	11.3%	42.2%	13.3%	4.9%	0.2%	2.7M	-2.3M	-41.8K	0.79	51.47	492	389	1,819	1,452
2015-05-13	$192.51	$191.00	13.0%	3.7%	11.1%	35.7%	12.7%	5.0%	-0.2%	2.8M	-2.1M	-40.2K	0.70	54.72	482	337	1,814	1,466
2015-05-14	$194.49	$192.00	11.6%	3.3%	11.7%	27.5%	12.1%	4.6%	0.6%	3.9M	-9.8M	-36.6K	0.77	50.28	445	341	1,797	1,475
2015-05-15	$194.69	$193.00	11.4%	3.3%	10.7%	26.1%	12.4%	4.3%	0.0%	3.0M	-10.9M	-36.9K	0.83	49.48	420	347	1,840	1,486
2015-05-18	$195.33	$193.00	11.3%	3.3%	10.3%	26.0%	9.5%	4.3%	-0.2%	248.7K	1.1M	-35.8K	0.16	14.67	385	62	708	903
2015-05-19	$195.23	$192.00	11.2%	3.2%	10.3%	25.3%	10.1%	4.5%	-0.1%	946.7K	-382.9K	-42.7K	0.10	18.95	67	7	1,042	948
2015-05-20	$195.24	$192.00	11.2%	3.2%	10.2%	25.3%	11.6%	4.1%	0.2%	1.1M	-725.5K	-42.9K	0.57	15.52	369	211	1,103	952
2015-05-21	$195.66	$192.00	10.4%	3.0%	10.2%	20.6%	11.8%	3.8%	1.0%	1.2M	-872.0K	-43.7K	0.80	17.33	392	314	1,121	955
2015-05-22	$195.25	$192.00	10.6%	3.0%	10.2%	21.5%	11.1%	3.8%	0.6%	1.2M	-784.8K	-40.6K	0.69	20.97	443	307	1,140	1,077
2015-05-26	$193.23	$192.00	12.6%	3.6%	10.8%	33.0%	11.6%	5.0%	0.3%	887.0K	1.8M	-41.2K	0.71	20.65	445	314	1,202	1,115
2015-05-27	$195.10	$192.00	11.3%	3.2%	11.3%	25.8%	10.9%	4.7%	-0.4%	1.3M	1.6M	-43.7K	0.74	22.44	451	336	1,233	1,200
2015-05-28	$194.82	$192.00	11.4%	3.3%	11.2%	26.3%	11.1%	4.6%	-0.4%	1.2M	2.2M	-47.3K	0.70	23.05	459	322	1,256	1,273
2015-05-29	$193.78	$192.00	12.2%	3.5%	10.7%	30.7%	12.1%	4.6%	-0.8%	1.0M	2.8M	-49.3K	0.83	20.48	394	329	1,298	1,309