VOO Options History — August 2015

In August 2015, VOO traded between $173.50 and $192.99. ATM implied volatility averaged 17.2%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.2% (HV 20d: 13.9%). Max pain ranged from $191.00 to $210.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.23.

Notable Days

  • 2015-08-31: Highest Volume — 3,380 contracts
  • 2015-08-24: Largest IV spike — 54.9% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$187.43$173.50$192.99$192.35$181.53
Max Pain$194.67$191.00$210.00$192.00$205.00
ATM IV17.2%10.4%34.4%10.9%23.8%
Expected Move5.0%3.0%9.9%3.1%6.8%
HV 20d13.9%9.8%23.3%11.6%23.3%
HV 60d12.0%10.1%16.2%10.5%16.2%
IV Rank42.4%13.0%100.0%16.3%59.4%
IV Percentile65.4%14.3%100.0%21.8%97.6%
Term Structure-0.8%-4.6%1.4%1.2%-2.4%
VWIV14.7%10.6%29.0%11.8%17.3%
Skew 25d6.3%2.5%11.9%3.0%9.4%
Skew 10d10.4%5.7%21.2%5.7%19.1%
Call IV 25d14.2%9.1%28.9%10.2%20.4%
Put IV 25d20.5%12.1%40.6%13.1%29.8%
Bid-Ask Spread %57.9547.5883.2572.2052.38
Gamma HHI0.120.090.180.090.13
Net GEX210.1K-981.8K1.1M524.2K93.9K
Net DEX11.2M1.0M42.7M1.8M41.3M
Net VEX-31.8K-46.9K-19.6K-34.1K-46.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.230.656.670.653.16
Total Volume1,105.762123,380333,380
Total OI2,211.2861,3264,5051,6954,505

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$192.35$192.0010.9%3.1%11.6%16.3%11.8%3.0%1.2%524.2K1.8M-34.1K0.6572.202013906789
2015-08-04$191.77$192.0011.0%3.2%11.5%16.8%11.1%2.5%1.2%502.6K2.4M-34.5K1.4474.66226326911804
2015-08-05$192.59$192.0010.5%3.0%10.1%13.6%10.8%3.0%1.4%711.5K1.6M-33.7K1.4276.66229326913806
2015-08-06$191.31$191.0012.4%3.7%10.5%25.9%12.6%4.3%0.5%331.8K3.3M-33.3K1.3548.62245331936806
2015-08-07$190.58$191.0012.0%3.7%9.8%22.8%12.7%4.1%-0.1%163.4K4.0M-32.3K1.4647.58235343961816
2015-08-10$192.94$191.0010.4%3.4%10.1%13.0%11.9%5.6%0.3%669.3K1.9M-31.7K1.1848.43287338975830
2015-08-11$191.33$191.0013.0%3.7%10.4%29.3%10.6%4.5%0.5%394.9K3.2M-32.4K2.0048.02481,034812
2015-08-12$191.45$191.0013.6%3.9%10.4%32.8%12.1%6.2%0.0%374.3K3.7M-31.4K1.1049.172893181,036820
2015-08-13$191.43$191.0013.4%3.8%9.9%32.1%12.0%5.4%0.0%394.3K3.2M-32.3K1.0549.493043181,057842
2015-08-14$191.93$191.0012.8%3.7%10.0%27.9%11.3%6.1%-0.0%364.7K2.9M-30.8K1.1551.282653051,059845
2015-08-17$192.99$191.0012.0%3.4%10.2%23.3%11.4%6.2%0.1%888.9K1.6M-29.6K1.3852.712213051,069849
2015-08-18$192.53$191.0012.2%3.5%10.2%24.5%11.5%5.0%0.1%1.1M1.0M-29.9K1.3754.042233051,073849
2015-08-19$190.98$191.0013.8%3.9%10.5%34.1%13.7%4.9%-0.6%391.0K3.0M-28.4K2.2752.8915341,073843
2015-08-20$187.22$191.0017.1%4.9%12.4%55.3%15.1%5.0%-0.9%-981.8K7.6M-27.3K1.6554.602554211,085882
2015-08-21$181.57$192.0022.2%6.4%16.0%87.6%18.9%4.0%-2.2%-296.4K11.8M-23.5K1.4265.742813981,072919
2015-08-24$175.49$192.0034.4%9.9%19.5%100.0%29.0%11.7%-4.6%-167.6K8.1M-23.1K1.7583.25227397635691
2015-08-25$173.50$192.0029.8%8.5%18.6%82.3%18.7%7.7%-3.3%-192.9K8.5M-19.6K6.6764.203562,376692701
2015-08-26$178.04$210.0026.2%7.5%21.2%68.4%20.1%11.9%-3.2%-311.6K42.7M-28.2K4.4267.845602,4748232,743
2015-08-27$182.13$210.0024.2%6.9%23.2%60.8%19.0%9.8%-2.9%-237.8K40.3M-39.5K6.0654.824322,6181,0372,820
2015-08-28$182.47$210.0024.9%7.1%23.3%63.4%16.9%10.9%-2.5%-260.8K41.3M-46.1K3.9748.376462,5671,1322,986
2015-08-31$181.53$205.0023.8%6.8%23.3%59.4%17.3%9.4%-2.4%93.9K41.3M-46.9K3.1652.388132,5671,4723,033