VOO Options History — July 2015

In July 2015, VOO traded between $187.81 and $194.98. ATM implied volatility averaged 13.3%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 1.5% (HV 20d: 11.9%). Max pain ranged from $190.00 to $195.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.34.

Notable Days

  • 2015-07-01: Highest Volume — 1,189 contracts
  • 2015-07-08: Largest IV spike — 30.5% change
  • 2015-07-08: Highest IV Rank — 74.1%
  • 2015-07-09: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$191.94$187.81$194.98$190.26$192.89
Max Pain$192.32$190.00$195.00$195.00$192.00
ATM IV13.3%10.3%20.0%15.9%10.4%
Expected Move3.7%2.9%4.8%4.6%3.0%
HV 20d11.9%10.7%12.8%11.2%11.7%
HV 60d10.5%10.0%10.9%10.1%10.5%
IV Rank32.1%12.1%74.1%52.4%13.3%
IV Percentile51.4%13.9%98.8%89.7%15.5%
Term Structure0.7%-1.4%2.0%-0.8%1.5%
VWIV12.5%10.2%16.9%16.9%10.2%
Skew 25d4.9%2.5%7.0%5.4%2.5%
Skew 10d8.6%5.0%11.8%9.8%8.2%
Call IV 25d10.5%8.1%13.9%13.4%9.4%
Put IV 25d15.4%11.9%19.4%18.7%11.9%
Bid-Ask Spread %56.1546.4473.6762.8470.09
Gamma HHI0.090.080.200.080.09
Net GEX292.2K-951.0K2.3M-678.6K679.3K
Net DEX5.1M-3.3M15.8M12.5M1.1M
Net VEX-39.4K-50.4K-33.1K-50.4K-35.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.911.771.771.46
Total Volume845.0915391,1891,189539
Total OI2,698.8181,2634,0063,3401,679

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$190.26$195.0015.9%4.6%11.2%52.4%16.9%5.4%-0.8%-678.6K12.5M-50.4K1.7762.844297601,3342,006
2015-07-02$190.33$195.0016.4%4.7%10.7%55.4%16.8%5.4%-1.4%-573.5K11.6M-49.7K1.4670.454486551,3472,003
2015-07-06$189.44$192.0017.9%4.7%10.8%64.0%15.1%7.0%-0.8%-845.0K13.0M-45.1K1.4053.374265971,3792,003
2015-07-07$190.57$192.0015.3%4.1%10.9%45.1%14.1%7.0%0.4%-839.7K12.0M-44.3K1.0047.565815811,3732,049
2015-07-08$187.81$192.0020.0%4.8%12.0%74.1%15.2%5.5%-0.0%-951.0K15.8M-45.2K1.3250.364596081,5342,084
2015-07-09$188.34$192.0019.3%4.8%11.1%69.5%15.5%5.4%-0.2%-948.6K14.8M-44.9K1.3946.634486241,5412,101
2015-07-10$190.44$192.0017.5%4.3%12.0%57.8%14.6%6.9%0.3%-536.4K11.1M-45.3K1.6447.203916431,5682,180
2015-07-13$192.46$192.0013.7%3.7%12.5%34.0%13.3%5.6%0.8%354.4K6.1M-39.3K1.6547.643756201,6092,156
2015-07-14$193.25$192.0011.8%3.4%12.4%22.1%12.9%5.7%1.5%1.5M2.2M-37.5K1.7750.163646451,6092,213
2015-07-15$193.06$190.0012.1%3.5%12.3%23.5%11.8%4.5%1.3%767.2K3.0M-36.5K1.4246.444125831,6162,256
2015-07-16$194.67$193.0010.4%3.0%12.6%13.1%10.6%4.5%2.0%2.1M-2.9M-35.3K1.7151.373495981,7152,286
2015-07-17$194.89$193.0010.3%2.9%12.1%12.2%10.3%4.2%1.6%2.3M-3.3M-33.1K1.6654.863465741,7202,286
2015-07-20$194.98$193.0010.3%2.9%12.1%12.1%10.4%4.4%1.6%385.5K438.7K-34.4K0.9155.36304277588675
2015-07-21$194.31$192.0010.8%3.1%12.1%15.6%10.6%3.3%0.8%697.5K-471.1K-37.2K0.9454.25323304758685
2015-07-22$193.66$192.0010.3%3.0%12.2%12.6%10.5%4.9%1.1%687.2K569.3K-38.6K1.2355.26260321790716
2015-07-23$192.58$192.0011.3%3.2%12.1%18.4%10.9%3.0%1.0%542.5K1.2M-38.0K0.9854.92324318811736
2015-07-24$190.75$192.0012.6%3.6%12.5%26.9%11.7%3.5%0.1%246.6K3.3M-36.0K0.9958.55332328796737
2015-07-27$189.38$192.0014.3%4.1%12.8%37.4%12.2%4.3%0.5%70.0K4.9M-33.8K0.9655.21336323789760
2015-07-28$191.86$192.0011.4%3.3%11.5%19.4%10.7%5.4%1.0%347.3K3.0M-34.7K1.1361.23301339814772
2015-07-29$193.36$192.0010.7%3.1%11.7%14.7%10.4%3.8%1.1%560.3K1.4M-35.3K1.3373.67255339831798
2015-07-30$193.44$192.0010.3%3.0%11.6%12.6%10.4%4.9%1.1%682.7K1.3M-35.7K1.3767.90233320873798
2015-07-31$192.89$192.0010.4%3.0%11.7%13.3%10.2%2.5%1.5%679.3K1.1M-35.9K1.4670.09219320879800