VOO Options History — July 2014

In July 2014, VOO traded between $176.96 and $182.15. ATM implied volatility averaged 9.5%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 2.0% (HV 20d: 7.5%). Max pain ranged from $180.00 to $185.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 3.57.

Notable Days

  • 2014-07-11: Highest Volume — 278 contracts
  • 2014-07-31: Largest IV spike — 40.3% change
  • 2014-07-31: Highest IV Rank — 64.9%
  • 2014-07-31: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$180.79$176.96$182.15$180.69$176.96
Max Pain$182.82$180.00$185.00$180.00$182.00
ATM IV9.5%6.8%14.4%7.8%14.4%
Expected Move2.8%2.0%4.1%2.2%4.1%
HV 20d7.5%6.4%10.7%6.5%10.7%
HV 60d7.7%7.0%9.3%9.3%8.5%
IV Rank21.9%0.0%64.9%0.0%64.9%
IV Percentile19.9%0.0%91.7%0.0%91.7%
Term Structure1.4%-0.5%1.9%1.2%-0.5%
VWIV10.1%4.9%15.3%7.1%10.7%
Skew 25d3.9%2.2%6.8%2.2%6.8%
Skew 10d8.7%5.5%11.9%5.5%11.9%
Call IV 25d8.2%6.3%12.0%7.1%12.0%
Put IV 25d12.1%8.6%18.8%9.3%18.8%
Bid-Ask Spread %54.4141.6284.0882.4155.47
Gamma HHI0.290.190.470.220.47
Net GEX-435.4K-1.6M843.2K-640.4K-970.7K
Net DEX860.0K-2.4M5.5M1.1M5.5M
Net VEX-36.6K-41.2K-32.4K-37.0K-37.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.570.0120.500.651.11
Total Volume59.909427815080
Total OI1,948.9091,3762,5451,9501,559

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$180.69$180.007.8%2.2%6.5%0.0%7.1%2.2%1.2%-640.4K1.1M-37.0K0.6582.4191594491,501
2014-07-02$180.82$180.007.5%2.1%6.5%0.0%0.0%2.3%1.4%-426.4K1.1M-40.0K0.0083.29045331,560
2014-07-03$181.73$180.006.8%2.0%6.4%0.0%6.4%2.3%1.7%-151.4K-608.5K-37.8K0.2984.0834105331,560
2014-07-07$181.14$185.008.2%2.7%6.4%11.3%12.6%3.6%1.8%-262.8K41.5K-37.5K0.0042.290235591,563
2014-07-08$179.97$185.009.3%2.9%6.8%20.9%15.3%3.9%1.5%-640.4K2.4M-38.8K5.8642.827415561,575
2014-07-09$180.72$185.008.1%2.7%7.0%10.5%11.3%3.9%1.7%-394.0K941.6K-37.9K0.0142.8910315611,595
2014-07-10$180.03$185.0010.4%3.0%7.0%30.1%11.5%4.3%1.3%-385.0K1.7M-41.2K0.0042.57056591,596
2014-07-11$180.27$185.009.9%2.8%6.4%26.5%11.7%4.2%1.5%-307.7K1.3M-39.9K9.3043.72272516591,597
2014-07-14$181.16$185.009.5%2.7%6.5%22.9%0.0%3.8%1.6%-181.7K-612.3K-39.7K0.1746.86118206781,843
2014-07-15$180.85$185.009.6%2.7%6.6%23.1%10.8%4.0%1.5%-448.8K595.9K-37.5K0.1145.894756341,863
2014-07-16$181.54$183.008.8%2.5%6.6%17.2%8.9%3.8%1.8%843.2K-2.4M-35.2K0.4047.62526771,868
2014-07-17$179.41$183.0012.0%3.5%7.5%44.3%0.0%5.5%0.6%-1.6M4.0M-38.2K10.0041.621106641,839
2014-07-18$181.30$183.009.5%2.7%8.4%22.5%8.6%4.1%1.7%501.2K-1.7M-33.9K0.1251.7095116631,849
2014-07-21$180.91$182.009.7%2.8%8.4%24.5%12.4%4.3%1.3%-569.3K1.1M-34.6K2.0948.7511233671,009
2014-07-22$181.72$182.009.0%2.6%8.3%18.9%8.8%3.9%1.5%-504.1K337.2K-34.0K1.0052.2831313781,024
2014-07-23$182.15$182.009.0%2.6%8.0%18.2%13.4%3.6%1.9%-425.3K-235.6K-32.8K20.5053.022413941,014
2014-07-24$182.15$182.009.2%2.6%7.9%19.9%8.3%3.6%1.7%-441.7K-282.3K-32.4K8.3359.533253961,055
2014-07-25$181.28$182.009.6%2.8%8.2%23.7%9.7%3.8%1.6%-569.4K768.3K-34.2K0.0054.760353991,080
2014-07-28$181.36$182.009.9%2.8%8.1%26.0%10.0%3.7%1.5%-587.8K830.3K-34.1K0.6360.62853991,115
2014-07-29$180.59$182.0010.0%2.9%8.3%27.1%10.0%3.8%1.3%-674.5K1.5M-35.1K3.5057.54274041,118
2014-07-30$180.59$182.0010.3%3.0%7.9%29.5%4.9%4.0%1.1%-699.0K1.6M-34.8K0.2957.2134104061,125
2014-07-31$176.96$182.0014.4%4.1%10.7%64.9%10.7%6.8%-0.5%-970.7K5.5M-37.4K1.1155.4738424241,135