VOO Options History — April 2015

In April 2015, VOO traded between $188.39 and $193.98. ATM implied volatility averaged 12.3%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.8% (HV 20d: 11.5%). Max pain ranged from $188.00 to $190.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.84.

Notable Days

  • 2015-04-14: Highest Volume — 1,410 contracts
  • 2015-04-30: Largest IV spike — 17.2% change
  • 2015-04-01: Highest IV Rank — 44.1%
  • 2015-04-01: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$191.84$188.39$193.98$188.39$190.99
Max Pain$189.14$188.00$190.00$188.00$190.00
ATM IV12.3%10.6%14.5%14.5%13.9%
Expected Move3.5%3.0%4.2%4.2%4.0%
HV 20d11.5%8.1%15.2%15.1%8.8%
HV 60d12.4%11.0%13.6%13.6%11.0%
IV Rank31.3%21.7%44.1%44.1%40.6%
IV Percentile56.8%34.9%83.3%83.3%76.2%
Term Structure0.4%-2.0%1.7%0.6%-0.6%
VWIV12.8%10.6%14.4%13.8%14.1%
Skew 25d4.9%3.4%8.5%5.1%4.5%
Skew 10d8.8%6.6%13.5%7.7%8.3%
Call IV 25d10.2%9.2%12.3%11.8%11.8%
Put IV 25d15.1%12.9%20.8%16.9%16.2%
Bid-Ask Spread %51.3324.90106.3640.9825.22
Gamma HHI0.180.080.390.110.11
Net GEX2.8M299.7K7.5M1.1M1.7M
Net DEX-3.1M-11.4M2.9M2.9M183.2K
Net VEX-53.3K-64.7K-42.5K-64.7K-55.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.3426.000.730.57
Total Volume1,053.381811,4101,286872
Total OI3,769.5711,7494,8764,5052,955

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$188.39$188.0014.5%4.2%15.1%44.1%13.8%5.1%0.6%1.1M2.9M-64.7K0.7340.987435432,1882,317
2015-04-02$189.39$188.0013.1%3.9%15.2%36.1%13.9%6.0%0.4%1.6M1.8M-62.1K0.6759.207595122,2192,343
2015-04-06$190.57$188.0013.1%3.8%14.4%36.0%14.4%8.5%-2.0%2.4M-1.7M-57.3K0.6291.488365202,2372,355
2015-04-07$190.09$189.0013.2%3.9%14.3%36.8%13.8%6.0%1.0%2.5M-1.6M-56.8K0.6554.018075222,3072,346
2015-04-08$190.66$189.0013.9%4.0%13.0%40.7%13.6%4.7%-1.8%2.7M-695.4K-57.0K26.0080.923782,1832,358
2015-04-09$191.46$189.0012.2%3.5%13.0%30.9%13.1%5.6%1.2%3.7M-4.0M-57.4K0.7367.458035872,3142,436
2015-04-10$192.44$189.0011.4%3.3%12.3%26.3%12.9%4.7%1.7%5.4M-7.0M-54.3K0.7756.727936082,3182,437
2015-04-13$191.71$189.0012.3%3.5%12.2%31.3%13.0%5.5%0.7%4.5M-6.4M-51.3K0.8063.907666132,3502,455
2015-04-14$191.78$189.0013.0%3.7%11.2%35.5%12.8%8.0%-1.0%4.9M-5.8M-50.0K0.75106.368066042,3882,464
2015-04-15$192.88$189.0011.7%3.4%11.3%28.1%12.2%4.4%0.1%7.5M-11.4M-48.0K0.6764.377925312,4092,467
2015-04-16$192.85$189.0011.6%3.3%10.5%27.4%11.7%4.6%1.2%7.1M-10.4M-46.6K0.6262.418535302,3672,470
2015-04-17$190.53$189.0013.2%3.8%11.2%36.5%12.8%4.1%0.5%2.7M-94.4K-43.7K0.7569.987945942,3722,471
2015-04-20$192.37$189.0011.6%3.3%11.3%27.5%10.6%4.1%-0.6%299.7K2.1M-42.5K0.3425.67577196786963
2015-04-21$192.16$189.0011.8%3.4%11.0%28.3%12.1%4.3%1.4%908.7K819.7K-45.6K0.5624.903572001,043977
2015-04-22$193.07$189.0011.2%3.2%10.9%24.9%12.1%4.3%1.0%1.1M-500.6K-46.0K0.5326.455132731,086983
2015-04-23$193.61$190.0010.7%3.1%9.4%22.2%11.9%3.4%1.7%1.5M-3.1M-50.7K0.6025.325333191,2911,068
2015-04-24$193.98$190.0010.6%3.0%9.3%21.7%12.0%3.7%0.7%2.0M-5.4M-56.3K0.6430.824993181,5021,142
2015-04-27$193.07$190.0011.8%3.4%9.6%28.8%12.9%3.4%1.0%1.9M-5.0M-58.7K0.5731.575202981,6301,242
2015-04-28$193.56$190.0011.0%3.2%8.6%24.1%12.4%3.6%1.1%2.2M-5.8M-58.5K0.5534.355242861,6601,264
2015-04-29$192.99$190.0011.8%3.4%8.1%28.9%12.9%3.6%0.2%2.2M-4.6M-56.4K0.5935.825283111,7101,288
2015-04-30$190.99$190.0013.9%4.0%8.8%40.6%14.1%4.5%-0.6%1.7M183.2K-55.1K0.5725.225573151,7121,243