VOO Options History — November 2015

In November 2015, VOO traded between $185.79 and $192.77. ATM implied volatility averaged 14.3%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.6% (HV 20d: 12.6%). Max pain ranged from $182.00 to $190.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.48.

Notable Days

2015-11-20: Highest Volume — 1,904 contracts
2015-11-04: Largest IV spike — 24.0% change
2015-11-13: Highest IV Rank — 35.6%
2015-11-13: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$190.96	$185.79	$192.77	$192.77	$191.37
Max Pain	$188.42	$182.00	$190.00	$182.00	$189.00
ATM IV	14.3%	10.1%	18.2%	10.1%	15.6%
Expected Move	4.1%	2.9%	5.2%	2.9%	4.5%
HV 20d	12.6%	11.0%	14.7%	11.5%	12.3%
HV 60d	19.5%	15.8%	21.2%	20.8%	15.8%
IV Rank	19.0%	3.4%	35.6%	3.4%	23.3%
IV Percentile	59.4%	1.6%	86.5%	1.6%	73.8%
Term Structure	0.2%	-1.0%	1.6%	1.6%	-0.9%
VWIV	14.1%	10.8%	18.0%	12.7%	15.2%
Skew 25d	5.9%	1.9%	10.4%	1.9%	7.9%
Skew 10d	11.1%	7.2%	14.1%	7.2%	10.3%
Call IV 25d	11.5%	8.2%	14.4%	11.7%	10.4%
Put IV 25d	17.4%	13.6%	21.0%	13.6%	18.3%
Bid-Ask Spread %	70.53	50.16	104.29	103.86	93.22
Gamma HHI	0.10	0.05	0.63	0.08	0.07
Net GEX	986.6K	146.2K	5.6M	1.1M	224.3K
Net DEX	-4.5M	-10.4M	1.4M	-10.1M	-1.9M
Net VEX	-69.5K	-74.5K	-53.7K	-53.7K	-72.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.48	0.18	6.62	1.35	0.67
Total Volume	1,257.947	23	1,904	1,157	35
Total OI	3,283.263	2,502	3,671	2,502	3,628

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2015-11-02	$192.77	$182.00	10.1%	2.9%	11.5%	3.4%	12.7%	1.9%	1.6%	1.1M	-10.1M	-53.7K	1.35	103.86	492	665	1,282	1,220
2015-11-04	$192.59	$183.00	12.5%	3.6%	11.3%	13.0%	14.4%	6.3%	0.7%	897.3K	-10.4M	-64.7K	1.09	83.80	659	719	1,419	1,274
2015-11-05	$192.73	$190.00	13.2%	3.9%	11.3%	15.7%	15.2%	5.9%	1.4%	913.1K	-9.5M	-67.5K	1.47	57.61	630	928	1,458	1,327
2015-11-06	$192.56	$190.00	12.9%	3.8%	11.0%	14.6%	12.2%	5.6%	0.4%	790.3K	-6.8M	-73.4K	0.77	55.19	13	10	1,470	1,538
2015-11-09	$190.76	$190.00	15.0%	4.1%	11.8%	22.8%	12.4%	3.9%	-0.2%	726.1K	-5.6M	-71.1K	0.18	63.97	265	47	1,477	1,537
2015-11-10	$190.92	$190.00	14.2%	4.1%	11.8%	19.9%	11.5%	5.3%	-0.3%	1.0M	-5.0M	-74.1K	1.21	50.16	813	984	1,737	1,572
2015-11-11	$191.36	$190.00	13.9%	4.0%	11.4%	18.6%	10.8%	4.6%	-0.5%	1.1M	-6.4M	-74.3K	1.21	55.58	816	985	1,768	1,611
2015-11-12	$187.90	$190.00	15.8%	4.5%	13.3%	26.0%	13.8%	5.6%	-0.3%	797.6K	-1.8M	-72.7K	1.09	51.46	799	872	1,779	1,611
2015-11-13	$185.79	$190.00	18.2%	5.2%	12.8%	35.6%	15.3%	6.6%	-0.6%	545.7K	1.4M	-70.3K	1.19	55.06	840	1,003	1,782	1,611
2015-11-16	$188.52	$190.00	14.3%	4.1%	13.8%	19.9%	14.3%	10.4%	1.1%	512.1K	-338.6K	-68.9K	0.79	104.29	42	33	1,799	1,724
2015-11-17	$188.50	$190.00	16.8%	4.8%	13.8%	28.4%	16.1%	6.8%	-1.0%	536.6K	-1.6M	-69.5K	1.13	86.47	894	1,008	1,808	1,748
2015-11-18	$191.49	$188.00	14.4%	4.1%	14.7%	18.4%	13.5%	6.3%	-0.1%	1.3M	-5.2M	-69.8K	1.14	66.18	888	1,009	1,832	1,791
2015-11-19	$191.22	$188.00	15.0%	4.3%	14.6%	20.9%	14.2%	7.1%	1.3%	1.2M	-6.3M	-70.3K	1.14	69.71	886	1,009	1,852	1,803
2015-11-20	$191.84	$188.00	13.8%	4.0%	13.5%	16.1%	13.1%	6.3%	0.4%	5.6M	-7.6M	-68.5K	1.13	52.97	894	1,010	1,868	1,803
2015-11-23	$191.71	$188.00	14.1%	4.1%	12.9%	17.5%	18.0%	6.2%	0.5%	650.4K	-2.8M	-67.7K	6.62	66.45	99	655	1,404	1,263
2015-11-24	$192.02	$188.00	13.6%	3.9%	12.9%	15.1%	16.3%	4.6%	-0.9%	146.2K	-1.9M	-67.1K	3.58	76.70	33	118	1,502	1,918
2015-11-25	$191.96	$188.00	13.8%	4.0%	12.8%	16.3%	14.7%	6.0%	0.5%	293.4K	-1.9M	-74.5K	1.19	79.70	852	1,012	1,534	2,038
2015-11-27	$192.15	$188.00	13.7%	3.9%	12.2%	15.5%	13.9%	4.7%	-0.2%	321.7K	-2.5M	-70.1K	1.19	67.66	860	1,024	1,546	2,048
2015-11-30	$191.37	$189.00	15.6%	4.5%	12.3%	23.3%	15.2%	7.9%	-0.9%	224.3K	-1.9M	-72.5K	0.67	93.22	21	14	1,547	2,081