VOO Options History — May 2011 In May 2011, VOO traded between $120.70 and $124.52. ATM implied volatility averaged 17.0%. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 6.4% (HV 20d: 10.6%). Max pain ranged from $124.00 to $124.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2011-05-26 : Highest Volume — 5 contracts2011-05-05 : Largest IV spike — 274.6% change2011-05-05 : Largest Expected Move — 13.8%Monthly Statistics Metric Avg Min Max Open Close Price $122.73 $120.70 $124.52 $124.52 $123.34 Max Pain $124.00 $124.00 $124.00 $124.00 $124.00 ATM IV 17.0% 8.0% 48.1% 13.2% 12.3% Expected Move 4.9% 2.3% 13.8% 3.8% 3.5% HV 20d 10.6% 8.8% 12.2% 8.8% 12.2% HV 60d 12.8% 12.5% 13.1% 12.9% 12.7% Term Structure -1.8% -18.9% 1.5% 1.5% -13.0% VWIV 14.0% 14.0% 14.0% 14.0% 14.0% Skew 25d 5.4% 2.5% 11.7% 2.5% 6.3% Skew 10d 5.5% -0.2% 17.5% 0.7% 6.3% Call IV 25d 16.2% 8.0% 56.0% 11.8% 47.9% Put IV 25d 21.6% 14.3% 67.7% 14.3% 54.3% Bid-Ask Spread % 87.37 18.80 196.97 96.96 104.60 Gamma HHI 0.86 0.76 1.00 1.00 1.00 Net GEX 1.3K -393 4.7K 0 4.7K Net DEX -3.9K -35.5K 5.4K 0 -13.1K Net VEX -34 -150 0 0 -27 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.474 0 5 0 0 Total OI 2.158 0 9 0 3
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 2011-05-02 $124.52 $0.00 13.2% 3.8% 8.8% 0.0% 0.0% 2.5% 0.0% 0 0 0 0.00 96.96 0 0 0 0 2011-05-03 $124.12 $0.00 12.6% 3.6% 8.9% 0.0% 0.0% 2.5% 0.0% 0 0 0 0.00 99.39 0 0 0 0 2011-05-04 $123.28 $0.00 12.8% 3.7% 9.3% 0.0% 0.0% 6.4% 1.5% 0 0 0 0.00 89.30 0 0 0 0 2011-05-05 $122.20 $0.00 48.1% 13.8% 9.8% 0.0% 0.0% 11.7% -18.9% 0 0 0 0.00 186.38 0 0 0 0 2011-05-06 $122.78 $0.00 16.2% 4.9% 9.9% 0.0% 0.0% 7.2% 0.0% 0 0 0 0.00 18.80 0 0 0 0 2011-05-09 $123.28 $0.00 13.1% 3.8% 9.9% 0.0% 0.0% 6.2% 0.0% 0 0 0 0.00 113.77 0 0 0 0 2011-05-10 $124.30 $0.00 8.0% 2.3% 10.1% 0.0% 0.0% 6.4% 0.0% 0 0 0 0.00 90.64 0 0 0 0 2011-05-11 $122.98 $0.00 14.9% 4.4% 10.6% 0.0% 0.0% 4.5% 0.9% 0 0 0 0.00 56.47 0 1 0 0 2011-05-12 $123.64 $0.00 13.7% 3.9% 10.7% 0.0% 0.0% 3.8% 1.1% -387 5.1K -32 0.00 62.12 0 0 0 1 2011-05-13 $122.56 $0.00 15.1% 4.3% 11.3% 0.0% 14.0% 4.5% 0.9% -393 5.4K -32 0.00 57.05 3 0 0 1 2011-05-16 $121.80 $124.00 15.2% 4.4% 11.5% 0.0% 0.0% 5.4% 0.7% 2.2K -4.9K -65 0.00 58.27 0 0 3 1 2011-05-17 $121.78 $124.00 15.1% 4.3% 10.7% 0.0% 0.0% 7.2% 0.7% 2.3K -4.6K -64 0.00 65.49 0 0 3 1 2011-05-18 $122.92 $124.00 14.0% 4.0% 10.9% 0.0% 0.0% 4.2% 1.1% 2.8K -7.3K -66 0.00 76.64 0 0 3 1 2011-05-19 $123.08 $124.00 12.6% 3.6% 9.9% 0.0% 0.0% 4.0% 1.4% 2.9K -7.8K -66 0.00 79.55 0 0 3 1 2011-05-23 $120.80 $124.00 15.6% 4.5% 11.9% 0.0% 0.0% 5.3% 0.5% 2.2K -1.1K -55 0.00 58.74 0 0 3 1 2011-05-24 $120.70 $124.00 17.6% 5.0% 11.9% 0.0% 0.0% 0.0% 0.0% 3.0K -7.9K -25 0.00 74.31 0 0 3 0 2011-05-26 $121.58 $124.00 12.6% 3.6% 11.8% 0.0% 0.0% 3.7% 1.3% 2.9K -2.1K -56 0.00 74.57 5 0 3 1 2011-05-27 $122.12 $124.00 41.0% 11.8% 11.6% 0.0% 0.0% 6.3% -13.0% 3.2K -35.5K -150 0.00 196.97 0 0 8 1 2011-05-31 $123.34 $124.00 12.3% 3.5% 12.2% 0.0% 0.0% 0.0% 0.0% 4.7K -13.1K -27 0.00 104.60 0 0 3 0
« Apr 2011 | All History | Jun 2011 » Home VOO History May 2011