VOO Options History — March 2018

In March 2018, VOO traded between $238.56 and $256.32. ATM implied volatility averaged 15.6%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 2.2% (HV 20d: 17.8%). Max pain ranged from $230.00 to $245.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2018-03-23: Highest Volume — 1,942 contracts
  • 2018-03-22: Largest IV spike — 35.4% change
  • 2018-03-28: Highest IV Rank — 59.0%
  • 2018-03-28: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$248.54$238.56$256.32$246.27$242.29
Max Pain$235.48$230.00$245.00$245.00$235.00
ATM IV15.6%10.9%20.6%19.5%19.3%
Expected Move4.4%3.1%5.9%5.6%5.5%
HV 20d17.8%13.9%24.4%24.2%19.4%
HV 60d16.3%15.2%18.5%15.2%18.5%
IV Rank41.6%25.5%59.0%55.1%54.4%
IV Percentile93.2%82.1%98.4%98.4%96.8%
Term Structure0.3%-3.0%2.6%-3.0%-1.7%
VWIV18.4%14.4%22.7%19.5%18.9%
Skew 25d6.1%4.2%8.6%8.6%6.6%
Skew 10d11.5%8.2%17.3%15.5%8.9%
Call IV 25d13.3%10.4%18.1%15.4%16.2%
Put IV 25d19.4%14.6%25.0%24.0%22.8%
Bid-Ask Spread %60.8848.7086.0986.0970.44
Gamma HHI0.170.110.270.120.17
Net GEX1.7M518.2K3.5M1.0M1.3M
Net DEX-21.5M-35.8M-3.7M-16.1M-21.1M
Net VEX-119.6K-141.3K-109.8K-118.9K-141.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.190.670.530.39
Total Volume1,295.9059941,9421,1631,582
Total OI5,482.7144,6856,9845,1576,984

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$246.27$245.0019.5%5.6%24.2%55.1%19.5%8.6%-3.0%1.0M-16.1M-118.9K0.5386.097584053,6051,552
2018-03-02$247.70$245.0014.9%4.3%24.4%39.4%15.7%7.4%-0.8%1.3M-19.0M-123.9K0.4979.136993443,6541,582
2018-03-05$250.38$230.0015.7%4.1%23.7%41.9%18.6%6.3%1.0%1.8M-24.5M-120.4K0.6059.506213733,6731,619
2018-03-06$250.53$230.0014.7%4.2%19.9%38.6%18.2%6.0%0.6%1.7M-24.5M-120.8K0.6754.406054083,7081,665
2018-03-07$250.77$230.0015.0%4.2%19.6%39.6%19.3%6.7%0.5%1.8M-24.3M-121.5K0.5761.087024023,7201,675
2018-03-08$251.44$230.0014.5%4.1%19.6%38.1%18.3%5.2%1.0%2.0M-26.4M-118.8K0.5668.437194003,7071,694
2018-03-09$256.05$230.0012.4%3.3%14.9%30.5%14.4%4.3%2.0%3.1M-35.4M-114.6K0.5557.137784283,7391,692
2018-03-12$256.32$230.0014.5%3.5%14.7%37.8%21.5%4.2%2.0%3.5M-35.8M-119.6K0.6151.566664053,7901,698
2018-03-13$254.27$230.0015.5%3.7%14.7%41.2%17.7%4.6%1.5%2.9M-31.8M-113.3K0.4948.707003433,7791,700
2018-03-14$252.94$230.0012.5%3.6%14.9%30.9%19.1%5.4%1.7%2.6M-29.1M-112.8K0.4949.977853833,8131,702
2018-03-15$252.91$235.0011.6%3.3%14.3%27.9%16.8%4.9%2.4%2.5M-26.1M-111.4K0.5551.498704823,7001,746
2018-03-16$253.63$235.0010.9%3.1%13.9%25.5%15.2%4.3%2.6%1.6M-27.4M-110.9K0.6554.048735653,6961,784
2018-03-19$249.82$235.0014.1%4.0%14.9%36.4%15.3%7.4%0.5%1.2M-16.6M-119.0K0.5654.028854933,2321,453
2018-03-20$250.06$240.0013.6%3.9%14.7%34.9%16.7%5.9%0.4%1.5M-19.1M-115.3K0.4855.666943363,3951,472
2018-03-21$249.64$240.0013.0%3.7%14.6%32.8%17.0%5.5%0.9%1.5M-20.0M-115.9K0.5866.296613813,3821,482
2018-03-22$243.61$240.0017.6%5.1%17.0%48.7%20.3%6.5%-0.3%953.7K-10.8M-113.6K0.5866.007264203,4271,473
2018-03-23$238.56$240.0020.1%5.8%17.3%57.2%22.1%7.1%-1.8%518.2K-3.7M-109.8K0.1957.361,6263163,4841,499
2018-03-26$243.81$240.0017.1%4.9%18.8%46.9%18.3%6.9%-0.7%1.2M-11.2M-118.2K0.2958.381,3363874,3071,592
2018-03-27$239.45$240.0019.9%5.7%19.4%56.5%20.3%6.6%-1.4%1.1M-12.2M-136.4K0.2965.761,4034094,8231,698
2018-03-28$238.92$235.0020.6%5.9%19.2%59.0%22.7%7.0%-1.4%1.1M-15.6M-135.7K0.3863.001,3335125,0211,720
2018-03-29$242.29$235.0019.3%5.5%19.4%54.4%18.9%6.6%-1.7%1.3M-21.1M-141.3K0.3970.441,1404425,1281,856