VOO Options History — March 2011

In March 2011, VOO traded between $115.44 and $122.10. ATM implied volatility averaged 16.5%. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.6% (HV 20d: 17.1%). Max pain ranged from $118.00 to $120.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2011-03-10: Highest Volume — 2 contracts
  • 2011-03-15: Largest IV spike — 85.8% change
  • 2011-03-10: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.60$115.44$122.10$119.70$121.24
Max Pain$119.00$118.00$120.00$118.00$120.00
ATM IV16.5%10.8%21.6%18.7%13.0%
Expected Move4.8%3.1%6.2%5.4%3.7%
HV 20d17.1%15.2%18.0%16.5%15.2%
Term Structure1.6%-0.4%4.3%0.5%2.9%
VWIV18.0%14.4%21.6%21.6%14.4%
Skew 25d5.8%3.1%9.9%5.6%7.3%
Skew 10d9.1%3.8%13.4%8.4%3.8%
Call IV 25d13.5%9.5%17.0%13.2%9.5%
Put IV 25d19.3%16.3%23.8%18.8%16.8%
Bid-Ask Spread %81.3748.22200.0092.8983.33
Gamma HHI1.001.001.001.001.00
Net GEX-589-4.7K2.2K02.2K
Net DEX1.5K-11.4K16.6K0-11.4K
Net VEX-2-1400-14
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.2610200
Total OI0.4350202

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$119.70$0.0018.7%5.4%0.0%0.0%0.0%0.0%0.0%0000.0092.890000
2011-03-02$120.04$0.0016.9%4.8%0.0%0.0%0.0%5.6%0.5%0000.0077.260000
2011-03-03$122.10$0.0014.4%4.1%0.0%0.0%0.0%4.2%1.4%0000.0084.310000
2011-03-04$121.20$0.0014.8%4.2%0.0%0.0%0.0%0.0%0.0%0000.0094.800000
2011-03-07$120.14$0.0017.5%5.0%0.0%0.0%0.0%0.0%0.0%0000.0074.720000
2011-03-08$121.26$0.0015.5%4.7%0.0%0.0%0.0%4.6%2.2%0000.0050.740000
2011-03-09$121.12$0.0015.5%4.8%0.0%0.0%0.0%4.7%1.9%0000.0052.900000
2011-03-10$118.90$0.0021.6%6.2%0.0%0.0%21.6%0.0%0.0%0000.0094.130200
2011-03-11$119.70$118.0016.8%4.8%0.0%0.0%0.0%0.0%0.0%-3.0K7.1K-120.00101.120002
2011-03-14$119.00$0.0010.8%3.1%0.0%0.0%0.0%0.0%0.0%-3.9K8.3K-100.00107.690002
2011-03-15$117.68$0.0020.1%5.8%16.5%0.0%0.0%3.1%0.8%-4.1K12.8K-100.0076.410002
2011-03-16$115.44$0.0015.8%4.5%17.4%0.0%0.0%0.0%0.0%0000.00200.000000
2011-03-17$116.88$0.0021.0%6.0%17.8%0.0%0.0%5.1%0.5%-4.7K16.6K-60.0093.030202
2011-03-18$117.38$0.0020.4%5.9%17.4%0.0%0.0%9.9%0.9%0000.0081.790000
2011-03-21$119.16$0.0016.9%4.8%18.0%0.0%0.0%7.3%1.2%0000.0048.220000
2011-03-22$118.74$0.0018.2%5.2%17.5%0.0%0.0%6.8%0.9%0000.0049.140000
2011-03-23$119.12$0.0015.7%4.5%17.5%0.0%0.0%5.7%4.1%0000.0062.320000
2011-03-24$120.24$0.0016.5%4.7%17.8%0.0%0.0%4.1%-0.4%0000.0059.540000
2011-03-25$120.06$0.0014.1%4.0%17.4%0.0%0.0%6.3%4.3%0000.0085.490000
2011-03-28$119.80$0.0016.0%4.6%17.2%0.0%0.0%6.5%1.1%0000.0058.530000
2011-03-29$120.58$0.0015.8%4.5%16.2%0.0%0.0%6.8%1.1%0000.0066.710000
2011-03-30$121.40$0.0013.8%3.9%16.4%0.0%14.4%4.2%1.5%0000.0076.402000
2011-03-31$121.24$120.0013.0%3.7%15.2%0.0%0.0%7.3%2.9%2.2K-11.4K-140.0083.330020