VOO Options History — June 2015

In June 2015, VOO traded between $188.57 and $194.94. ATM implied volatility averaged 12.8%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 3.6% (HV 20d: 9.2%). Max pain ranged from $192.00 to $197.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2015-06-30: Highest Volume — 1,289 contracts
  • 2015-06-29: Largest IV spike — 29.2% change
  • 2015-06-30: Highest IV Rank — 62.5%
  • 2015-06-30: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$192.73$188.57$194.94$193.87$189.31
Max Pain$195.95$192.00$197.00$192.00$195.00
ATM IV12.8%9.8%17.7%12.6%17.7%
Expected Move3.6%2.8%5.1%3.6%5.1%
HV 20d9.2%8.1%11.0%10.0%11.0%
HV 60d10.2%9.2%11.7%11.7%10.0%
IV Rank34.2%17.3%62.5%33.0%62.5%
IV Percentile56.4%18.3%95.2%61.1%95.2%
Term Structure0.7%-1.6%3.9%-0.8%-1.6%
VWIV13.5%10.7%19.8%12.3%18.1%
Skew 25d5.0%3.8%7.4%4.2%7.2%
Skew 10d9.6%5.4%14.8%7.8%12.2%
Call IV 25d10.7%8.6%14.6%10.6%14.2%
Put IV 25d15.7%12.8%21.6%14.7%21.3%
Bid-Ask Spread %47.0121.15117.2824.0148.59
Gamma HHI0.120.070.480.120.07
Net GEX951.4K-47.8K2.1M1.1M-47.8K
Net DEX5.0M395.2K10.3M3.3M10.3M
Net VEX-40.5K-46.5K-31.0K-46.5K-45.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.471.980.781.98
Total Volume790.273831,2896971,289
Total OI2,788.9552,1173,1482,6202,931

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$193.87$192.0012.6%3.6%10.0%33.0%12.3%4.2%-0.8%1.1M3.3M-46.5K0.7824.013923051,3021,318
2015-06-02$193.74$192.0012.8%3.7%10.0%34.1%13.2%5.0%-0.9%1.1M3.3M-45.2K0.9829.4242411,3291,320
2015-06-03$194.21$193.0012.3%3.5%9.0%31.5%11.9%4.3%-0.7%1.3M2.9M-45.2K0.8227.164083341,3461,348
2015-06-04$192.37$197.0014.3%3.8%9.5%43.3%13.7%5.5%0.8%871.4K5.0M-43.7K0.8146.854093311,4041,349
2015-06-05$192.35$197.0013.8%3.6%9.3%39.9%12.5%3.9%0.4%815.3K5.1M-44.1K0.7847.964123211,4171,343
2015-06-08$191.20$197.0014.9%3.9%8.2%46.3%13.7%4.9%0.9%661.1K6.1M-43.1K0.8357.073883231,4551,370
2015-06-09$191.16$197.0014.3%3.9%8.1%43.2%13.5%4.7%0.3%460.4K7.2M-39.7K0.7450.964783561,4571,406
2015-06-10$193.49$197.0011.6%3.3%9.2%27.5%12.9%5.2%1.9%1.2M4.9M-43.1K0.6955.405153561,4851,449
2015-06-11$193.72$197.0011.4%3.3%9.2%26.4%13.7%4.3%1.9%1.4M3.9M-41.5K0.7256.514933541,5091,451
2015-06-12$192.58$197.0011.9%3.4%8.6%29.3%13.6%4.8%1.4%965.5K5.6M-40.6K0.8349.264273541,5191,451
2015-06-15$191.63$197.0012.7%3.6%8.8%33.9%12.3%5.1%-0.9%523.3K6.8M-33.0K0.8349.454063371,5281,465
2015-06-16$192.62$197.0011.8%3.4%8.9%28.8%12.1%4.7%1.5%886.6K5.6M-37.1K0.7257.374693371,5401,471
2015-06-17$193.12$197.0011.4%3.3%9.0%26.5%15.9%7.4%1.5%994.3K4.4M-42.7K0.66117.285193451,6121,461
2015-06-18$194.94$197.009.8%2.8%9.7%17.3%10.9%5.4%2.2%2.1M395.2K-31.0K0.7383.125033681,6461,471
2015-06-19$194.25$197.0011.2%3.2%9.7%25.1%12.7%4.6%2.2%2.1M2.6M-36.7K0.6860.255403671,6501,498
2015-06-22$194.41$196.0011.1%3.2%9.7%24.6%10.7%4.0%3.9%477.6K4.0M-34.6K0.4730.416833218501,267
2015-06-23$194.43$196.0010.7%3.1%8.9%22.4%11.6%4.0%1.6%1.3M2.8M-39.5K0.9534.843443271,2021,297
2015-06-24$193.17$196.0011.6%3.3%8.5%27.5%12.7%3.8%0.5%992.6K4.2M-38.5K0.9933.263493451,2051,306
2015-06-25$192.56$196.0012.0%3.5%8.5%30.0%13.6%4.6%0.3%811.5K5.4M-39.6K0.9127.563673341,2221,343
2015-06-26$192.40$196.0013.6%3.9%8.3%38.7%14.8%5.0%-0.4%761.2K5.8M-40.5K1.0126.424154191,2501,354
2015-06-29$188.57$195.0017.5%5.0%10.9%61.4%19.8%7.0%-0.6%23.4K10.3M-40.7K1.2821.154235401,3031,457
2015-06-30$189.31$195.0017.7%5.1%11.0%62.5%18.1%7.2%-1.6%-47.8K10.3M-45.1K1.9848.594328571,3051,626