VOO Options History — March 2015

In March 2015, VOO traded between $187.54 and $194.44. ATM implied volatility averaged 12.9%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 1.3% (HV 20d: 11.7%). Max pain ranged from $186.00 to $190.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.98.

Notable Days

  • 2015-03-30: Highest Volume — 1,357 contracts
  • 2015-03-06: Largest IV spike — 22.5% change
  • 2015-03-10: Highest IV Rank — 52.1%
  • 2015-03-26: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$190.92$187.54$194.44$194.44$189.47
Max Pain$187.14$186.00$190.00$186.00$188.00
ATM IV12.9%10.3%15.9%10.7%14.1%
Expected Move3.7%3.0%4.4%3.1%4.0%
HV 20d11.7%7.8%15.0%9.3%15.0%
HV 60d13.9%13.5%14.2%13.8%14.1%
IV Rank35.2%19.9%52.1%22.3%41.6%
IV Percentile65.5%31.7%90.5%36.5%77.0%
Term Structure0.9%-0.8%3.1%0.5%0.1%
VWIV13.7%9.8%17.6%12.3%13.5%
Skew 25d4.6%3.4%6.1%3.8%4.4%
Skew 10d9.2%5.6%12.5%7.8%7.5%
Call IV 25d10.9%8.8%12.8%8.8%11.7%
Put IV 25d15.5%12.4%18.3%12.6%16.1%
Bid-Ask Spread %40.6822.2362.2945.2242.78
Gamma HHI0.180.100.320.220.12
Net GEX1.3M60.9K3.1M1.7M1.7M
Net DEX-2.1M-11.2M5.3M-10.3M452.6K
Net VEX-62.6K-67.9K-52.1K-63.5K-64.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.052.550.870.86
Total Volume541.545641,3579071,302
Total OI3,935.9553,2914,4593,4174,459

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$194.44$186.0010.7%3.1%9.3%22.3%12.3%3.8%0.5%1.7M-10.3M-63.5K0.8745.224864211,5851,832
2015-03-03$193.62$186.0011.2%3.2%9.0%24.9%13.6%4.3%0.4%1.6M-9.0M-62.8K0.9544.964814551,6011,874
2015-03-04$192.76$186.0011.9%3.4%8.1%29.2%14.4%4.2%-0.0%1.5M-6.9M-67.9K1.0241.234854931,6011,926
2015-03-05$193.12$186.0011.7%3.4%7.8%27.8%15.7%4.8%1.6%1.5M-7.3M-66.8K1.1125.944454931,6032,046
2015-03-06$190.19$186.0014.3%3.9%9.1%42.9%17.0%6.1%1.0%991.1K-446.5K-67.8K1.0322.234344491,6392,087
2015-03-09$191.12$186.0013.3%3.7%9.1%37.2%12.2%5.5%1.2%1.3M-2.0M-66.0K0.3826.58188721,6192,181
2015-03-10$187.98$186.0015.9%4.1%10.9%52.1%14.3%5.2%0.8%293.6K3.3M-61.9K2.0325.88721461,6772,215
2015-03-11$187.54$186.0014.5%4.2%10.2%44.4%16.4%5.6%0.8%60.9K5.2M-63.7K0.9430.8733311,6772,300
2015-03-12$189.96$186.0013.2%3.8%11.3%36.7%15.2%4.6%1.3%837.7K-138.7K-63.9K2.0829.2325521,6922,331
2015-03-13$188.80$186.0014.1%4.0%10.8%41.6%13.8%5.1%1.1%483.4K2.7M-62.6K0.4533.1865291,6912,325
2015-03-16$191.38$186.0013.4%3.9%11.8%38.0%13.0%4.3%1.1%1.6M-4.3M-56.9K0.6033.963151891,7022,350
2015-03-17$190.73$186.0013.8%3.9%11.9%39.8%16.2%4.8%1.2%333.2K-805.2K-60.4K1.4733.261061561,5462,527
2015-03-18$193.00$187.0011.8%3.4%12.7%28.6%11.6%3.4%1.9%1.4M-7.2M-55.6K0.1858.99158291,5442,607
2015-03-19$192.11$187.0011.7%3.4%12.8%28.2%17.6%4.3%2.4%1.8M-5.8M-59.1K2.4951.17431071,6692,630
2015-03-20$193.85$187.0010.3%3.0%13.0%19.9%9.8%3.6%3.1%3.1M-11.2M-52.1K0.1062.29365351,6642,730
2015-03-23$192.52$190.0010.8%3.1%13.2%23.0%10.2%4.0%1.4%1.4M-1.1M-59.4K0.0551.08561281,2332,058
2015-03-24$191.40$190.0012.0%3.4%13.3%29.6%12.7%4.0%1.0%2.0M-409.8K-63.5K2.5547.13561431,6672,070
2015-03-25$188.61$190.0013.6%3.9%14.2%39.2%12.6%4.6%0.1%806.0K5.3M-61.1K0.1542.79162241,7182,154
2015-03-26$188.23$188.0015.5%4.4%14.2%49.9%14.2%5.0%-0.8%1.1M2.8M-65.4K0.6961.627455112,0422,171
2015-03-27$188.53$190.0014.2%4.1%14.2%42.6%13.5%4.6%-0.1%950.2K4.3M-64.2K0.7252.1297701,9302,214
2015-03-30$190.92$188.0012.8%3.7%14.9%34.2%12.5%4.7%-0.0%2.4M-2.9M-67.5K0.7832.487645932,1272,277
2015-03-31$189.47$188.0014.1%4.0%15.0%41.6%13.5%4.4%0.1%1.7M452.6K-64.4K0.8642.786996032,1492,310