VOO Options History — March 2016

In March 2016, VOO traded between $181.45 and $188.98. ATM implied volatility averaged 14.0%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.1% (HV 20d: 13.9%). Max pain ranged from $180.00 to $184.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.02.

Notable Days

  • 2016-03-01: Highest Volume — 2,430 contracts
  • 2016-03-29: Largest IV drop — 15.1% change
  • 2016-03-08: Highest IV Rank — 33.1%
  • 2016-03-01: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$185.51$181.45$188.98$181.45$188.69
Max Pain$181.00$180.00$184.00$184.00$182.00
ATM IV14.0%11.2%18.0%17.2%11.7%
Expected Move4.0%3.2%4.9%4.9%3.4%
HV 20d13.9%9.3%19.2%19.2%9.3%
HV 60d18.9%17.7%20.1%20.1%17.7%
IV Rank16.7%5.7%33.1%30.1%7.7%
IV Percentile41.5%10.7%73.8%68.3%18.7%
Term Structure1.2%-1.6%3.2%-1.1%0.7%
VWIV16.0%11.5%20.0%15.2%11.8%
Skew 25d5.3%2.8%7.2%6.1%2.8%
Skew 10d10.2%6.5%13.6%10.9%9.2%
Call IV 25d11.8%9.2%14.5%13.8%10.3%
Put IV 25d17.1%12.9%20.5%20.0%13.1%
Bid-Ask Spread %64.1548.3883.8353.0583.83
Gamma HHI0.140.070.220.120.10
Net GEX1.6M775.4K2.7M775.4K1.8M
Net DEX-10.8M-35.7M4.5M4.5M-13.1M
Net VEX-72.6K-85.0K-61.9K-81.1K-64.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.491.630.990.60
Total Volume1,776.4551,2242,4302,4301,260
Total OI4,709.8643,4245,7844,7073,842

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$181.45$184.0017.2%4.9%19.2%30.1%15.2%6.1%-1.1%775.4K4.5M-81.1K0.9953.051,2211,2092,5272,180
2016-03-02$182.35$184.0015.5%4.4%17.7%22.9%13.6%5.2%-0.4%898.4K1.9M-81.3K1.4458.098221,1822,5812,176
2016-03-03$183.20$180.0015.6%4.3%17.6%23.3%18.1%6.5%1.1%1.1M-1.8M-82.0K1.2151.439971,2062,6812,166
2016-03-04$183.83$180.0015.3%4.4%17.6%22.4%18.7%5.9%0.7%1.5M-6.6M-85.0K1.3148.388451,1042,8742,170
2016-03-07$183.70$180.0016.0%4.4%15.5%24.8%18.1%6.4%0.0%1.6M-6.5M-82.5K0.9649.121,1621,1122,9212,172
2016-03-08$181.85$180.0018.0%4.9%15.4%33.1%19.1%5.7%-1.6%1.9M-3.0M-82.0K1.3550.138611,1663,1382,179
2016-03-09$182.55$180.0016.1%4.6%15.3%25.3%19.4%5.8%1.1%1.9M-4.5M-82.7K1.4149.508461,1963,1462,210
2016-03-10$182.62$180.0016.2%4.6%15.3%25.8%19.4%7.2%0.6%2.0M-4.4M-82.5K1.4553.798531,2333,2022,264
2016-03-11$185.83$180.0014.0%4.0%15.2%17.0%19.2%7.0%1.5%2.0M-16.2M-81.4K1.6351.907701,2523,1932,302
2016-03-14$185.83$180.0014.4%4.1%14.7%18.6%20.0%5.7%2.1%2.4M-17.7M-75.7K1.5548.638041,2503,2592,313
2016-03-15$185.30$180.0014.6%4.2%14.2%19.5%19.8%6.8%1.6%2.7M-15.4M-74.2K1.2354.778271,0153,3072,314
2016-03-16$186.46$180.0013.2%3.8%13.2%13.8%16.9%5.3%3.1%2.3M-24.0M-67.5K1.3874.577341,0103,3302,320
2016-03-17$187.52$180.0011.5%3.3%12.9%6.9%15.4%5.7%2.8%2.2M-30.7M-62.2K1.4372.077301,0433,3822,320
2016-03-18$188.47$180.0011.8%3.4%12.8%8.0%18.6%5.1%3.2%1.3M-35.7M-64.3K0.9069.751,1621,0503,4292,355
2016-03-21$187.82$180.0012.3%3.5%12.4%10.0%13.0%3.8%1.5%1.2M-8.8M-61.9K0.5279.658064181,9961,428
2016-03-22$187.61$182.0011.7%3.4%11.4%7.7%12.6%4.8%1.5%1.1M-8.6M-63.5K0.5574.088194502,0261,454
2016-03-23$186.56$182.0012.7%3.6%11.8%11.7%12.6%3.4%1.3%1.2M-7.6M-65.5K0.5775.458174662,1081,497
2016-03-24$186.21$182.0012.9%3.7%11.4%12.3%13.2%4.4%1.6%1.3M-6.2M-66.4K0.4971.269424662,1251,493
2016-03-28$186.36$182.0013.6%3.9%11.4%15.1%13.9%4.0%1.1%1.3M-7.7M-64.3K0.5175.679064582,1711,494
2016-03-29$188.01$182.0011.5%3.3%11.2%6.8%12.7%5.1%1.7%1.8M-10.5M-63.6K0.4983.688934392,2761,496
2016-03-30$188.98$182.0011.2%3.2%9.3%5.7%11.5%3.3%1.2%1.8M-14.1M-63.8K0.5582.428254552,3121,488
2016-03-31$188.69$182.0011.7%3.4%9.3%7.7%11.8%2.8%0.7%1.8M-13.1M-64.3K0.6083.837864742,3171,525