VOO Options History — June 2011

In June 2011, VOO traded between $116.00 and $120.68. ATM implied volatility averaged 20.2%. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.7% (HV 20d: 15.5%). Max pain ranged from $118.00 to $124.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2011-06-23: Highest Volume — 3 contracts
  • 2011-06-23: Largest IV spike — 277.7% change
  • 2011-06-29: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.04$116.00$120.68$120.60$120.68
Max Pain$121.88$118.00$124.00$124.00$118.00
ATM IV20.2%9.2%47.5%15.8%13.4%
Expected Move5.7%2.6%13.6%4.5%3.8%
HV 20d15.5%14.4%16.9%14.4%15.8%
HV 60d12.7%12.1%13.2%13.0%13.2%
Term Structure-3.5%-20.8%2.1%-0.1%1.6%
Skew 25d2.7%-9.3%7.9%6.3%4.3%
Skew 10d6.3%-9.2%13.9%9.9%2.6%
Call IV 25d24.1%10.3%62.8%11.0%10.3%
Put IV 25d26.9%14.7%61.7%17.4%14.7%
Bid-Ask Spread %122.9460.62200.0073.6182.42
Gamma HHI0.670.361.000.880.45
Net GEX1.8K06.2K6.2K4.7K
Net DEX-1.7K-14.8K7.4K-14.4K-6.0K
Net VEX-61-1350-115-135
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.2270300
Total OI7011911

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$120.60$124.0015.8%4.5%14.4%0.0%0.0%6.3%-0.1%6.2K-14.4K-1150.0073.610081
2011-06-02$120.46$124.0014.7%4.2%14.4%0.0%0.0%0.0%0.0%2.5K-4.1K-130.0079.970030
2011-06-03$119.30$124.0014.6%4.3%14.7%0.0%0.0%5.0%1.6%4.5K-5.8K-900.0060.620081
2011-06-06$118.04$0.0016.0%2.9%14.9%0.0%0.0%0.0%0.0%682-727-30.00200.000030
2011-06-07$117.88$124.0015.9%4.5%14.7%0.0%0.0%4.0%1.8%2.7K-165-670.0070.820081
2011-06-08$117.40$124.0015.7%4.6%14.5%0.0%0.0%3.8%1.7%2.2K697-640.0069.600081
2011-06-09$118.30$124.0015.5%4.4%14.8%0.0%0.0%4.2%1.8%2.5K-193-640.0071.850081
2011-06-10$116.64$124.0016.6%4.8%14.8%0.0%0.0%3.5%1.4%1.4K3.0K-530.0075.280081
2011-06-13$116.72$124.0017.2%4.9%14.6%0.0%0.0%3.5%1.4%1.4K3.1K-520.0075.390081
2011-06-14$118.22$124.0015.4%4.4%15.4%0.0%0.0%3.8%2.1%2.1K1.1K-560.0074.570081
2011-06-15$116.16$124.0017.9%5.1%16.1%0.0%0.0%3.7%1.1%1.2K3.9K-460.0076.860081
2011-06-16$116.38$124.0018.8%5.4%16.2%0.0%0.0%4.6%1.1%1.3K3.5K-470.0076.260081
2011-06-17$116.70$0.009.2%2.6%16.3%0.0%0.0%0.0%0.0%0000.00200.000000
2011-06-20$117.36$0.0010.0%2.9%16.0%0.0%0.0%0.0%0.0%0000.00200.000000
2011-06-21$118.96$0.0011.6%3.3%16.9%0.0%0.0%0.0%0.0%0000.00200.000000
2011-06-22$118.26$0.0011.0%3.2%15.8%0.0%0.0%0.0%0.0%0000.00200.000000
2011-06-23$117.86$118.0041.6%11.9%15.8%0.0%0.0%-7.1%-15.9%1.8K-14.8K-840.00187.100361
2011-06-24$116.00$118.0043.2%12.4%16.3%0.0%0.0%4.1%-16.4%678-171-1240.00183.720064
2011-06-27$116.98$118.0046.2%13.2%16.5%0.0%0.0%-9.3%-17.9%776-2.8K-1210.00189.460064
2011-06-28$118.48$118.0017.1%4.9%16.8%0.0%0.0%7.9%-0.1%1.4K7.4K-890.0063.070064
2011-06-29$119.54$118.0047.5%13.6%15.4%0.0%0.0%1.1%-20.8%1.1K-10.5K-1210.00193.992064
2011-06-30$120.68$118.0013.4%3.8%15.8%0.0%0.0%4.3%1.6%4.7K-6.0K-1350.0082.420074