VOO Options History — December 2014

In December 2014, VOO traded between $181.70 and $191.43. ATM implied volatility averaged 13.6%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.6% (HV 20d: 9.9%). Max pain ranged from $183.00 to $190.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.56.

Notable Days

  • 2014-12-29: Highest Volume — 1,668 contracts
  • 2014-12-10: Largest IV spike — 41.4% change
  • 2014-12-10: Highest IV Rank — 68.4%
  • 2014-12-16: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$188.50$181.70$191.43$188.82$188.40
Max Pain$186.19$183.00$190.00$183.00$189.00
ATM IV13.6%10.7%18.7%12.5%15.2%
Expected Move4.2%3.6%5.3%4.0%4.4%
HV 20d9.9%4.8%14.2%4.9%14.2%
HV 60d13.8%13.3%14.6%13.3%14.0%
IV Rank38.7%22.4%68.4%32.7%48.2%
IV Percentile75.4%44.4%98.0%77.0%91.3%
Term Structure1.0%-0.4%5.2%-0.4%0.1%
VWIV15.6%10.7%19.1%18.7%16.1%
Skew 25d5.2%3.3%7.5%3.6%6.5%
Skew 10d9.9%5.0%15.6%6.3%13.9%
Call IV 25d11.4%8.2%16.4%11.2%12.1%
Put IV 25d16.6%12.7%23.3%14.8%18.6%
Bid-Ask Spread %14.968.1360.058.1317.19
Gamma HHI0.120.050.160.150.07
Net GEX435.5K-567.0K959.5K959.5K522.7K
Net DEX-13.2M-22.9M2.6M-19.4M-4.1M
Net VEX-52.5K-64.2K-34.7K-44.9K-63.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.007.810.620.63
Total Volume956251,668538165
Total OI3,392.5912,7113,9172,7113,503

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$188.82$183.0012.5%4.0%4.9%32.7%18.7%3.6%-0.4%959.5K-19.4M-44.9K0.628.133332051,6101,101
2014-12-02$189.78$183.0011.6%3.9%5.0%27.3%18.6%3.4%-0.3%945.7K-21.0M-41.5K0.759.043232421,6371,134
2014-12-03$190.76$183.0011.0%3.8%5.0%23.8%18.5%3.3%-0.1%867.2K-22.3M-39.1K0.969.713012881,6421,186
2014-12-04$190.46$183.0011.1%3.8%4.8%24.6%14.8%3.3%-0.1%686.8K-20.5M-40.4K7.819.42161251,6481,281
2014-12-05$190.54$183.0010.7%4.1%4.8%22.4%14.6%7.5%5.2%258.7K-21.3M-34.7K1.4860.053555251,6611,395
2014-12-08$189.37$188.0012.8%4.0%5.4%34.1%15.1%4.6%1.9%359.4K-16.7M-50.0K1.4810.063725521,7191,540
2014-12-09$189.34$188.0013.2%4.0%5.4%36.9%15.4%5.4%2.1%335.3K-16.6M-50.1K2.3311.302606051,7281,559
2014-12-10$186.16$188.0018.7%4.5%8.2%68.4%16.3%6.2%0.7%229.6K-9.5M-56.9K2.9014.912657681,7251,638
2014-12-11$186.88$188.0015.4%4.6%8.3%49.4%17.0%6.3%0.8%-185.6K-7.7M-62.3K2.5510.663107911,7421,881
2014-12-12$184.30$188.0017.3%5.1%9.7%60.3%17.9%7.1%0.3%40.1K-2.5M-64.2K2.9514.162868451,7901,913
2014-12-15$183.32$188.0016.5%5.0%9.8%55.8%17.5%6.6%1.0%121.1K265.9K-59.9K2.3710.453438121,7891,996
2014-12-16$181.70$188.0018.3%5.3%10.2%65.8%19.1%7.0%0.2%213.1K2.6M-60.8K1.8012.164077341,8401,995
2014-12-17$185.21$187.0015.3%4.8%12.3%48.6%17.8%5.5%1.3%586.2K-5.5M-55.9K1.3213.755487251,8951,971
2014-12-18$188.25$187.0014.1%4.5%13.7%42.1%17.6%5.6%1.6%-567.0K-14.6M-52.9K0.8214.299137501,9481,969
2014-12-19$189.42$188.0013.1%4.2%13.9%36.2%16.4%5.2%1.5%-172.6K-10.6M-55.1K0.4112.5664261,6842,018
2014-12-22$190.04$0.0012.6%3.9%13.8%33.1%11.3%4.7%0.9%725.4K-20.8M-48.8K0.6815.976854641,7641,480
2014-12-23$190.67$190.0011.9%3.7%13.8%29.1%12.3%4.3%1.3%918.5K-22.9M-47.6K0.7014.269786821,8741,480
2014-12-24$190.53$183.0011.3%3.6%13.8%25.5%12.1%4.4%1.4%485.6K-15.2M-58.0K0.6416.839806321,6281,754
2014-12-26$191.24$183.0011.8%3.7%13.8%28.5%12.1%4.3%1.3%525.9K-16.2M-54.9K0.5315.131,0915731,6301,770
2014-12-29$191.43$183.0012.0%3.7%13.8%29.9%12.3%4.4%0.9%944.8K-17.6M-54.2K0.5414.091,0845841,8091,831
2014-12-30$190.38$189.0012.0%3.8%13.8%29.5%10.7%4.4%1.4%780.3K-8.5M-59.3K0.0014.972501,5331,946
2014-12-31$188.40$189.0015.2%4.4%14.2%48.2%16.1%6.5%0.1%522.7K-4.1M-63.3K0.6317.19101641,5571,946