VOO Options History — August 2014

In August 2014, VOO traded between $175.13 and $183.99. ATM implied volatility averaged 10.9%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 0.1% (HV 20d: 11.0%). Max pain ranged from $175.00 to $186.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.96.

Notable Days

  • 2014-08-15: Highest Volume — 321 contracts
  • 2014-08-13: Largest IV drop — 27.2% change
  • 2014-08-07: Highest IV Rank — 66.6%
  • 2014-08-07: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$180.03$175.13$183.99$176.53$183.99
Max Pain$181.10$175.00$186.00$182.00$183.00
ATM IV10.9%8.6%14.7%14.2%8.8%
Expected Move3.8%3.2%4.2%4.1%3.9%
HV 20d11.0%7.8%12.1%10.5%7.8%
HV 60d8.7%8.4%8.9%8.4%8.6%
IV Rank34.7%15.5%66.6%62.4%16.8%
IV Percentile41.6%7.1%92.9%88.9%7.9%
Term Structure0.6%-0.2%1.5%-0.2%1.5%
VWIV13.5%11.8%17.1%12.0%13.5%
Skew 25d4.4%2.8%6.0%6.0%2.8%
Skew 10d8.2%6.1%13.4%13.4%7.8%
Call IV 25d9.4%7.8%11.9%11.9%7.8%
Put IV 25d13.8%10.6%17.9%17.9%10.6%
Bid-Ask Spread %27.376.0357.6457.646.61
Gamma HHI0.280.120.570.480.12
Net GEX-882.8K-2.1M-66.7K-1.1M-256.6K
Net DEX1.3M-4.2M10.1M6.4M-4.2M
Net VEX-37.8K-40.6K-34.1K-37.7K-37.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.960.1216.450.122.00
Total Volume110.42993211379
Total OI1,948.811,6252,1131,6252,113

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$176.53$182.0014.2%4.1%10.5%62.4%12.0%6.0%-0.2%-1.1M6.4M-37.7K0.1257.64122154521,173
2014-08-04$177.77$184.0012.1%3.7%10.8%44.9%14.3%5.2%0.4%-1.1M4.4M-36.7K11.7339.99151764931,181
2014-08-05$175.97$183.0014.2%4.1%11.2%63.0%14.3%6.0%0.0%-1.6M8.2M-39.5K0.7744.4022175071,355
2014-08-06$176.08$183.0014.1%4.1%11.0%61.6%0.0%5.7%0.2%-1.7M8.3M-39.6K1.1847.7551605051,370
2014-08-07$175.13$183.0014.7%4.2%11.1%66.6%12.5%5.5%0.1%-1.7M10.1M-39.4K6.0047.1310605551,424
2014-08-08$177.16$183.0012.9%3.9%12.0%51.3%12.7%5.4%0.4%-1.9M6.6M-39.6K1.8044.32741335551,427
2014-08-11$177.66$180.0011.9%3.6%11.9%43.3%12.4%5.0%0.6%-2.1M5.1M-38.6K1.5843.64831316281,461
2014-08-12$177.45$180.0011.9%3.7%11.9%43.0%12.2%4.8%0.5%-1.9M4.6M-39.0K16.4547.85111816961,392
2014-08-13$178.70$180.008.6%3.2%12.1%15.5%13.0%4.5%0.7%-1.3M1.4M-37.3K5.0043.827357031,373
2014-08-14$179.48$180.0011.0%3.2%11.5%35.4%12.6%4.8%0.5%-66.7K-694.2K-34.6K3.0844.9713406781,234
2014-08-15$179.43$180.0011.2%3.2%10.8%36.8%11.8%5.0%0.4%-268.2K-314.1K-35.5K3.0646.47792426811,261
2014-08-18$180.92$0.009.9%3.9%11.2%26.4%13.5%4.5%0.5%-389.7K-732.6K-36.6K1.747.22881535461,142
2014-08-19$181.91$175.009.6%3.8%11.3%23.8%0.0%4.0%0.7%-456.2K-1.7M-40.6K2.006.5014286331,291
2014-08-20$182.38$175.009.8%3.8%11.3%25.4%14.6%3.5%0.7%-439.9K-2.2M-40.1K0.967.0252506331,319
2014-08-21$182.90$181.009.5%3.8%11.3%22.6%0.0%3.5%0.8%-441.3K-2.7M-40.0K1.896.6035666301,359
2014-08-22$182.61$181.009.1%3.8%11.2%19.5%17.1%3.6%0.9%-477.7K-2.2M-40.4K0.277.051136411,421
2014-08-25$183.56$181.008.9%3.7%11.3%17.8%0.0%3.0%1.1%-321.4K-3.7M-35.7K0.326.8077256451,371
2014-08-26$183.71$181.008.9%3.8%11.2%18.0%16.9%2.9%1.1%-358.1K-3.5M-34.1K0.656.4123156081,393
2014-08-27$183.68$181.008.8%3.8%11.2%17.2%12.8%3.0%1.3%-312.1K-3.4M-35.0K1.446.499136281,402
2014-08-28$183.54$186.008.9%3.8%7.9%17.6%13.5%3.1%1.3%-337.5K-3.1M-35.5K0.186.0360116321,414
2014-08-29$183.99$183.008.8%3.9%7.8%16.8%0.0%2.8%1.5%-256.6K-4.2M-37.8K2.006.61366881,425