VOO Options History — March 2017

In March 2017, VOO traded between $214.64 and $220.51. ATM implied volatility averaged 9.2%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 1.0% (HV 20d: 8.2%). Max pain ranged from $205.00 to $215.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 4.29.

Notable Days

  • 2017-03-20: Highest Volume — 5,266 contracts
  • 2017-03-21: Largest IV spike — 21.1% change
  • 2017-03-24: Highest IV Rank — 20.9%
  • 2017-03-24: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$217.39$214.64$220.51$220.51$216.86
Max Pain$209.13$205.00$215.00$210.00$215.00
ATM IV9.2%8.0%10.5%10.3%9.4%
Expected Move2.6%2.3%3.0%3.0%2.7%
HV 20d8.2%7.1%9.5%7.2%7.1%
HV 60d7.5%7.2%7.9%7.7%7.2%
IV Rank13.2%5.7%20.9%19.7%14.5%
IV Percentile16.4%1.6%38.1%28.2%19.4%
Term Structure2.0%-0.3%4.0%-0.3%1.2%
VWIV12.9%9.4%16.7%11.8%11.4%
Skew 25d3.3%0.6%4.8%2.3%3.2%
Skew 10d6.7%3.3%10.1%5.4%5.6%
Call IV 25d8.4%7.0%9.9%9.9%7.3%
Put IV 25d11.7%10.1%13.3%12.2%10.5%
Bid-Ask Spread %84.2076.9495.7193.1593.22
Gamma HHI0.410.160.640.350.56
Net GEX1.3M-132.4K2.8M1.3M1.8M
Net DEX-12.4M-19.7M-1.8M-19.7M-10.1M
Net VEX-80.6K-98.1K-66.3K-66.3K-98.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.291.1930.721.573.44
Total Volume1,292.3918255,2661,0111,114
Total OI5,711.7833,3199,1613,3199,161

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$220.51$210.0010.3%3.0%7.2%19.7%11.8%2.3%-0.3%1.3M-19.7M-66.3K1.5793.153936181,5611,758
2017-03-02$218.92$210.009.3%2.7%8.0%13.5%9.9%0.6%0.8%1.5M-19.1M-76.7K1.6594.823535821,7771,872
2017-03-03$218.86$210.008.1%2.3%8.0%6.3%10.1%1.5%1.3%1.7M-18.8M-74.8K1.7195.713335701,7821,879
2017-03-06$218.61$205.008.0%2.6%7.8%6.3%10.0%3.2%3.3%1.7M-18.5M-68.5K1.7578.843385911,7761,886
2017-03-07$217.54$205.009.1%2.6%8.0%12.3%13.9%3.4%4.0%1.4M-16.5M-75.8K2.5679.562335961,7882,006
2017-03-08$217.29$205.009.7%3.0%8.0%15.8%15.8%3.5%2.1%1.2M-15.2M-74.9K2.6080.192295961,7962,011
2017-03-09$217.56$205.008.8%2.5%8.0%10.6%15.9%4.2%2.7%1.3M-15.1M-74.2K3.0081.032397171,8062,010
2017-03-10$218.01$205.008.2%2.4%7.9%7.0%15.7%4.1%3.3%1.5M-14.7M-80.5K3.0680.882357181,8062,127
2017-03-13$218.35$205.009.5%2.4%7.8%14.8%16.2%3.8%3.5%1.6M-14.8M-78.7K2.7678.602597161,8192,133
2017-03-14$217.52$205.0010.1%2.4%7.9%18.4%15.8%4.0%3.2%1.3M-13.9M-76.9K2.7780.122246211,8202,124
2017-03-15$219.60$205.008.5%2.4%8.4%9.1%12.4%4.0%3.5%2.8M-19.0M-75.2K3.2482.131966351,8272,134
2017-03-16$218.94$205.008.6%2.4%8.4%9.2%11.5%2.6%3.0%2.8M-17.3M-75.3K4.2084.781727221,8562,125
2017-03-17$218.89$205.008.0%2.3%8.3%6.0%9.4%2.5%3.2%995.1K-16.6M-72.4K11.4679.602362,7041,8542,171
2017-03-20$218.48$205.008.0%2.3%8.4%5.7%15.0%3.4%1.8%1.0M-12.6M-74.4K30.7279.821665,1001,5503,345
2017-03-21$215.66$205.009.6%2.8%9.2%15.6%9.6%2.5%1.4%744.9K-9.1M-73.4K5.1981.851889751,5786,480
2017-03-22$215.09$215.0010.2%2.9%9.3%18.6%14.6%4.8%0.9%-132.4K-2.4M-87.5K3.2380.542217141,4356,651
2017-03-23$214.68$215.0010.5%3.0%9.3%20.5%14.3%3.5%0.9%19.5K-2.7M-84.7K1.9483.543637041,4476,634
2017-03-24$214.78$215.0010.5%3.0%9.3%20.9%13.1%4.1%0.8%339.5K-3.6M-92.4K3.5385.752318161,6346,698
2017-03-27$214.64$215.009.6%2.7%9.2%15.3%16.7%4.7%1.2%296.6K-1.8M-87.0K2.8176.942908151,6496,834
2017-03-28$216.11$215.009.7%2.8%9.5%15.9%12.1%4.0%1.1%804.2K-5.7M-89.6K1.1983.116998351,6966,962
2017-03-29$216.27$215.009.3%2.7%7.4%13.4%9.8%2.9%1.1%1.7M-8.7M-97.8K1.1991.146968302,0496,996
2017-03-30$216.87$215.009.3%2.7%7.1%13.8%11.9%3.7%1.1%1.9M-9.8M-98.1K3.1891.292738692,0637,005
2017-03-31$216.86$215.009.4%2.7%7.1%14.5%11.4%3.2%1.2%1.8M-10.1M-98.1K3.4493.222518632,0747,087