VOO Options History — August 2013

In August 2013, VOO traded between $149.62 and $156.58. ATM implied volatility averaged 12.0%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 3.7% (HV 20d: 8.3%). Max pain ranged from $140.00 to $154.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.78.

Notable Days

  • 2013-08-26: Highest Volume — 31 contracts
  • 2013-08-15: Largest IV spike — 36.6% change
  • 2013-08-30: Highest IV Rank — 21.4%
  • 2013-08-30: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$153.17$149.62$156.58$156.34$149.70
Max Pain$151.18$140.00$154.00$140.00$150.00
ATM IV12.0%8.9%14.9%11.1%14.9%
Expected Move3.6%2.8%4.3%3.2%4.3%
HV 20d8.3%6.3%11.0%8.1%9.8%
HV 60d11.8%11.5%12.0%11.8%11.5%
IV Rank12.7%3.5%21.4%9.9%21.4%
IV Percentile48.0%2.8%87.3%27.0%87.3%
Term Structure0.7%-0.9%2.4%0.9%0.4%
VWIV13.1%10.3%16.4%10.8%16.2%
Skew 25d3.8%2.4%5.1%3.5%5.1%
Skew 10d9.4%6.4%12.7%8.9%12.7%
Call IV 25d10.9%8.0%13.0%9.0%13.0%
Put IV 25d14.8%10.5%18.1%12.5%18.1%
Bid-Ask Spread %42.1823.8770.4429.5940.65
Gamma HHI0.190.110.700.150.18
Net GEX133.1K36.2K530.4K124.2K36.2K
Net DEX-1.2M-2.1M-207.5K-1.9M-228.0K
Net VEX-7.0K-8.2K-6.5K-6.9K-8.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.009.171.144.80
Total Volume10.364031815
Total OI343.045285381330381

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$156.34$140.0011.1%3.2%8.1%9.9%10.8%3.5%0.9%124.2K-1.9M-6.9K1.1429.5944214116
2013-08-02$156.58$140.009.9%2.8%7.5%6.6%0.0%2.4%1.5%139.2K-2.1M-6.5K4.6723.8727215118
2013-08-05$156.48$154.009.4%3.2%7.5%4.9%10.3%2.9%-0.6%127.4K-2.0M-6.6K0.0041.4980214124
2013-08-06$155.54$154.009.5%3.2%7.7%5.5%0.0%3.4%-0.6%151.8K-1.9M-6.8K0.0038.5120219124
2013-08-07$155.00$154.0010.7%3.5%7.9%9.0%0.0%3.4%2.3%158.3K-1.7M-6.9K0.5044.9842218124
2013-08-08$155.54$154.009.0%3.2%6.4%4.0%0.0%3.4%-0.5%142.3K-1.9M-6.6K0.0044.0630217125
2013-08-09$155.10$154.008.9%3.2%6.5%3.5%0.0%3.6%-0.6%159.3K-1.8M-6.8K4.0042.97416220125
2013-08-12$154.90$154.0011.3%3.6%6.4%10.6%0.0%4.2%1.9%187.5K-1.7M-6.7K0.0035.7990222131
2013-08-13$155.50$154.008.9%3.2%6.3%3.7%10.8%3.6%-0.9%150.1K-1.9M-6.8K0.0041.14210227131
2013-08-14$154.62$154.009.8%3.4%6.7%6.3%0.0%3.8%2.4%197.1K-2.0M-7.1K0.0040.2700248131
2013-08-15$152.36$154.0013.4%3.8%8.2%16.9%12.5%4.4%1.2%312.8K-1.3M-6.8K0.0033.7760233130
2013-08-16$151.92$154.0012.9%3.7%8.2%15.3%11.1%4.2%1.4%530.4K-1.2M-6.8K0.5644.1495237130
2013-08-19$150.96$152.0014.1%4.0%8.3%18.9%14.2%4.1%0.1%51.6K-482.7K-6.6K0.7731.7375163122
2013-08-20$151.56$152.0012.9%3.7%8.5%15.5%12.7%4.3%1.5%56.2K-581.1K-6.7K0.4270.4463169127
2013-08-21$150.78$152.0014.3%4.1%8.6%19.6%14.5%3.9%0.4%53.5K-467.8K-6.9K0.7638.66118175129
2013-08-22$152.10$150.0013.1%3.7%9.3%15.9%0.0%3.5%1.2%71.1K-734.4K-7.1K0.0067.8750186135
2013-08-23$152.60$150.0012.6%3.6%9.3%14.5%0.0%3.7%1.6%79.0K-859.8K-7.1K0.0044.9702190135
2013-08-26$152.12$150.0013.0%3.7%9.4%15.6%12.7%3.7%1.4%75.2K-777.8K-7.0K9.1735.60328189137
2013-08-27$149.62$150.0014.8%4.2%10.9%21.0%15.0%4.6%-0.0%43.1K-207.5K-7.7K1.0434.051213191164
2013-08-28$150.12$150.0014.3%4.1%11.0%19.6%16.4%4.1%0.5%39.2K-290.4K-8.1K6.0034.9513203177
2013-08-29$150.36$150.0014.8%4.2%9.9%20.8%0.0%4.5%0.5%41.9K-341.3K-8.2K0.0068.4300203178
2013-08-30$149.70$150.0014.9%4.3%9.8%21.4%16.2%5.1%0.4%36.2K-228.0K-8.1K4.8040.65312203178