VOO Options History — March 2014

In March 2014, VOO traded between $169.15 and $172.46. ATM implied volatility averaged 12.1%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 2.7% (HV 20d: 9.5%). Max pain ranged from $164.00 to $171.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.08.

Notable Days

  • 2014-03-17: Highest Volume — 399 contracts
  • 2014-03-13: Largest IV spike — 19.0% change
  • 2014-03-14: Highest IV Rank — 63.9%
  • 2014-03-14: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$170.97$169.15$172.46$169.46$171.35
Max Pain$166.81$164.00$171.00$168.00$170.00
ATM IV12.1%11.0%14.6%13.9%11.4%
Expected Move3.5%3.2%4.2%4.0%3.3%
HV 20d9.5%7.6%12.4%12.4%10.4%
HV 60d12.1%11.8%12.5%12.1%11.9%
IV Rank39.9%30.4%63.9%57.0%32.5%
IV Percentile56.7%33.3%88.9%80.6%43.3%
Term Structure1.2%-0.5%2.4%-0.5%1.2%
VWIV13.0%9.1%17.2%14.9%10.8%
Skew 25d4.0%-2.2%6.1%4.6%3.9%
Skew 10d8.8%-4.8%12.2%9.2%9.7%
Call IV 25d10.8%9.6%15.9%11.7%9.6%
Put IV 25d14.8%13.3%18.7%16.3%13.4%
Bid-Ask Spread %50.5724.10120.9446.3067.16
Gamma HHI0.110.080.120.120.12
Net GEX-454.2K-991.9K-42.1K-623.3K-235.7K
Net DEX-1.9M-5.6M3.0M705.3K-1.4M
Net VEX-40.1K-52.9K-25.2K-49.4K-25.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.080.0018.950.7810.86
Total Volume109.23810399242166
Total OI2,871.3812,3523,1702,6862,685

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$169.46$168.0013.9%4.0%12.4%57.0%14.9%4.6%-0.5%-623.3K705.3K-49.4K0.7846.301361067081,978
2014-03-04$171.88$168.0011.4%3.3%9.4%33.8%12.4%3.1%0.3%-454.5K-3.9M-47.5K0.0860.87130108242,079
2014-03-05$171.91$168.0011.3%3.2%9.5%33.2%11.5%3.3%0.3%-445.2K-3.9M-47.1K0.1362.111528192,089
2014-03-06$172.46$168.0011.7%3.4%9.3%37.3%11.0%3.1%0.2%-367.1K-4.8M-44.0K1.4289.7012178282,091
2014-03-07$172.42$164.0011.7%3.4%8.7%36.8%14.2%5.0%2.1%-368.1K-4.5M-44.4K0.8026.6325208342,108
2014-03-10$172.45$164.0011.7%3.4%7.9%36.5%12.6%4.9%1.8%-331.7K-5.0M-43.7K0.2626.1439108592,128
2014-03-11$171.50$164.0012.3%3.5%8.4%42.5%12.9%4.5%1.7%-273.8K-4.0M-45.1K0.6724.10648942,128
2014-03-12$171.62$164.0011.0%3.3%7.6%30.4%15.1%5.2%2.4%-241.1K-4.2M-44.6K0.5533.8929168972,132
2014-03-13$169.72$164.0013.1%3.8%8.9%49.6%16.7%5.5%1.3%-453.0K-1.1M-48.9K0.0830.30235189232,144
2014-03-14$169.23$164.0014.6%4.2%8.8%63.9%17.2%6.1%0.6%-592.8K170.6K-52.9K2.4727.1515379392,152
2014-03-17$170.75$164.0013.1%3.8%9.2%48.2%17.2%-2.2%0.1%-479.3K-3.0M-46.7K18.95120.94203799532,186
2014-03-18$171.96$164.0011.8%3.4%9.4%36.1%12.5%4.6%2.0%-42.6K-5.6M-41.3K0.0033.5015009732,197
2014-03-19$171.02$164.0011.9%3.4%9.3%36.8%13.8%4.3%1.8%-87.5K-4.1M-42.0K2.8848.328239722,197
2014-03-20$171.99$166.0011.3%3.2%9.3%31.4%14.0%4.3%2.2%-42.1K-4.1M-33.5K1.0041.4023238012,196
2014-03-21$171.42$166.0011.3%3.2%9.4%31.1%11.2%3.6%2.3%-379.6K-3.0M-33.5K0.4140.1129128012,209
2014-03-24$169.92$171.0012.3%3.5%9.9%40.4%12.0%4.4%1.1%-991.7K2.7M-29.3K1.6850.6622373651,987
2014-03-25$170.75$171.0011.4%3.3%10.0%31.8%10.6%4.1%1.4%-858.8K1.7M-27.1K0.2657.421953832,021
2014-03-26$169.49$171.0012.9%3.7%10.4%46.7%11.5%4.2%1.0%-991.9K3.0M-29.5K0.2757.41183504022,024
2014-03-27$169.15$170.0012.6%3.6%10.2%43.6%11.7%4.0%0.7%-740.0K2.9M-32.1K0.0756.79158115662,074
2014-03-28$169.90$170.0012.0%3.4%10.3%37.9%9.1%4.3%0.8%-538.2K557.3K-33.6K0.0361.019136682,085
2014-03-31$171.35$170.0011.4%3.3%10.4%32.5%10.8%3.9%1.2%-235.7K-1.4M-25.2K10.8667.16141525972,088