VOO Options History — July 2011 In July 2011, VOO traded between $118.20 and $123.82. ATM implied volatility averaged 20.1%. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.3% (HV 20d: 15.8%). Max pain ranged from $114.00 to $118.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2011-07-25 : Highest Volume — 10 contracts2011-07-15 : Largest IV spike — 699.8% change2011-07-29 : Largest Expected Move — 12.2%Monthly Statistics Metric Avg Min Max Open Close Price $121.26 $118.20 $123.82 $122.50 $118.20 Max Pain $114.21 $114.00 $118.00 $118.00 $114.00 ATM IV 20.1% 4.1% 42.4% 12.5% 42.4% Expected Move 5.7% 1.2% 12.2% 3.6% 12.2% HV 20d 15.8% 14.8% 16.8% 16.2% 15.7% HV 60d 14.3% 13.6% 15.1% 13.6% 15.1% Term Structure -2.3% -14.1% 1.6% 1.4% -14.1% VWIV 22.2% 22.2% 22.2% 22.2% 22.2% Skew 25d 4.8% -1.6% 8.1% 3.5% -1.6% Skew 10d 8.2% -2.6% 15.0% 3.2% -2.6% Call IV 25d 21.5% 10.7% 58.0% 10.7% 58.0% Put IV 25d 26.3% 14.2% 56.6% 14.2% 56.3% Bid-Ask Spread % 87.90 53.39 184.69 92.42 183.09 Gamma HHI 0.53 0.33 0.75 0.63 0.48 Net GEX 2.5K -2.8K 11.7K 8.6K 1.3K Net DEX -3.9K -29.0K 11.2K -20.4K -1.4K Net VEX -141 -303 0 -146 -266 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 0.85 0 10 0 0 Total OI 11.3 0 19 11 19
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 2011-07-01 $122.50 $118.00 12.5% 3.6% 16.2% 0.0% 0.0% 3.5% 1.4% 8.6K -20.4K -146 0.00 92.42 0 0 7 4 2011-07-05 $122.30 $114.00 13.5% 4.1% 15.6% 0.0% 0.0% 3.5% 1.2% 8.9K -17.9K -136 0.00 59.58 1 0 7 4 2011-07-06 $122.48 $114.00 13.7% 4.5% 15.6% 0.0% 0.0% 2.8% 1.2% 9.3K -13.1K -132 0.00 58.53 0 0 7 4 2011-07-07 $123.82 $114.00 13.5% 4.0% 15.7% 0.0% 0.0% 3.4% 1.6% 11.4K -29.0K -133 0.00 66.87 0 0 7 4 2011-07-08 $122.98 $114.00 14.1% 4.2% 16.0% 0.0% 0.0% 5.5% 1.6% 11.7K -17.0K -128 0.00 68.32 0 0 7 4 2011-07-11 $120.70 $114.00 19.3% 5.1% 16.6% 0.0% 0.0% 8.0% -0.4% 3.3K 1.9K -108 0.00 62.29 0 0 7 4 2011-07-12 $120.16 $114.00 19.9% 5.0% 16.8% 0.0% 0.0% 7.0% 0.8% 1.2K 5.2K -105 0.00 60.76 0 0 7 4 2011-07-13 $120.58 $114.00 18.5% 5.1% 16.3% 0.0% 0.0% 8.1% 0.7% 687 5.5K -101 0.00 61.47 0 0 7 4 2011-07-14 $119.80 $0.00 4.1% 1.2% 15.0% 0.0% 0.0% 0.0% 0.0% 0 0 0 0.00 0.00 0 0 0 0 2011-07-15 $120.46 $114.00 32.6% 9.3% 15.1% 0.0% 0.0% 4.1% -12.1% 2.0K -13.6K -116 0.00 183.77 0 0 7 4 2011-07-18 $119.44 $114.00 17.6% 5.1% 15.5% 0.0% 22.2% 6.5% 0.1% -1.4K 8.4K -93 0.00 53.69 0 6 2 4 2011-07-19 $121.38 $114.00 15.9% 4.5% 16.3% 0.0% 0.0% 5.8% 0.7% -2.7K 11.2K -123 0.00 54.13 0 0 2 7 2011-07-20 $121.38 $114.00 16.1% 4.6% 15.7% 0.0% 0.0% 5.8% 0.2% -2.8K 11.1K -121 0.00 54.08 0 0 2 7 2011-07-21 $123.00 $114.00 16.2% 4.6% 16.1% 0.0% 0.0% 5.5% 0.4% -2.1K 5.8K -109 0.00 60.73 0 0 2 7 2011-07-22 $123.10 $114.00 14.4% 4.1% 15.9% 0.0% 0.0% 5.1% 0.7% -1.9K 4.0K -104 0.00 67.17 0 0 2 7 2011-07-25 $122.40 $114.00 17.4% 5.0% 14.8% 0.0% 0.0% 5.0% -0.6% -2.3K 7.1K -110 0.00 61.01 10 0 2 7 2011-07-26 $121.88 $114.00 38.5% 11.0% 14.8% 0.0% 0.0% 6.4% -12.1% 2.4K -22.5K -303 0.00 184.12 0 0 12 7 2011-07-27 $119.46 $114.00 19.9% 5.7% 16.2% 0.0% 0.0% 6.6% -0.9% 797 2.6K -215 0.00 53.39 0 0 12 7 2011-07-28 $119.12 $114.00 40.9% 11.7% 15.9% 0.0% 0.0% 0.7% -14.0% 1.6K -6.3K -280 0.00 184.69 0 0 12 7 2011-07-29 $118.20 $114.00 42.4% 12.2% 15.7% 0.0% 0.0% -1.6% -14.1% 1.3K -1.4K -266 0.00 183.09 0 0 12 7
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