VOO Options History — December 2015

In December 2015, VOO traded between $184.72 and $193.22. ATM implied volatility averaged 15.8%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 0.5% (HV 20d: 16.3%). Max pain ranged from $184.00 to $190.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.00.

Notable Days

  • 2015-12-09: Highest Volume — 2,087 contracts
  • 2015-12-03: Largest IV spike — 26.8% change
  • 2015-12-14: Highest IV Rank — 44.6%
  • 2015-12-14: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$188.58$184.72$193.22$193.22$187.57
Max Pain$185.14$184.00$190.00$190.00$185.00
ATM IV15.8%13.0%20.8%14.0%15.5%
Expected Move4.4%3.3%6.0%4.0%4.4%
HV 20d16.3%12.7%18.6%12.7%18.1%
HV 60d15.7%14.5%16.4%15.6%14.5%
IV Rank24.2%13.0%44.6%16.8%23.0%
IV Percentile68.7%39.3%92.9%57.1%69.4%
Term Structure0.7%-3.2%4.5%-2.5%0.3%
VWIV17.1%12.4%22.5%14.0%17.5%
Skew 25d5.7%3.4%9.0%5.1%5.4%
Skew 10d10.7%6.0%18.6%8.6%8.2%
Call IV 25d13.2%10.7%18.1%11.3%12.8%
Put IV 25d18.9%15.5%25.3%16.4%18.2%
Bid-Ask Spread %71.3457.2392.1583.7978.34
Gamma HHI0.090.050.490.090.07
Net GEX-38.2K-3.1M1.0M440.1K883.5K
Net DEX1.8M-3.6M12.2M-3.6M343.9K
Net VEX-72.6K-82.5K-55.1K-66.5K-73.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.211.270.211.12
Total Volume1,627.045382,087571,491
Total OI3,923.7733,1644,6893,6273,704

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$193.22$190.0014.0%4.0%12.7%16.8%14.0%5.1%-2.5%440.1K-3.6M-66.5K0.2183.7947101,5342,093
2015-12-02$191.09$190.0013.8%4.0%12.9%16.2%14.0%4.7%0.2%461.8K-3.2M-69.4K1.0892.158949631,5752,101
2015-12-03$188.42$184.0017.5%4.5%13.8%31.3%16.4%6.5%1.6%25.2K718.1K-69.3K1.2771.288941,1391,6082,117
2015-12-04$192.22$184.0013.8%3.3%15.7%16.0%12.4%3.4%4.5%57.2K-2.8M-55.1K1.2071.129351,1261,6082,326
2015-12-07$190.95$184.0015.4%3.9%15.9%22.6%14.3%6.8%1.6%417.0K-2.2M-68.4K0.3671.2728101,7122,326
2015-12-08$189.93$184.0017.7%4.2%15.6%32.1%18.0%5.3%1.1%-157.5K1.2M-74.2K1.1857.239491,1161,7342,337
2015-12-09$188.20$184.0016.2%4.6%15.9%25.8%16.8%6.6%1.5%-334.2K2.7M-73.2K1.1773.309631,1241,7342,337
2015-12-10$188.53$184.0016.1%4.6%15.9%25.6%18.4%6.1%0.4%-345.2K2.7M-76.9K1.0858.789791,0621,7702,383
2015-12-11$184.95$184.0019.9%5.7%16.1%40.9%22.5%6.3%-0.9%-819.3K8.6M-79.3K0.9762.569759471,8322,414
2015-12-14$185.78$185.0020.8%6.0%15.7%44.6%22.2%9.0%-3.2%-1.2M12.2M-82.5K0.9384.781,0099361,8092,718
2015-12-15$188.07$185.0017.9%5.1%15.4%32.9%20.4%6.4%0.1%-703.0K5.6M-79.0K0.9071.651,0409351,8112,722
2015-12-16$190.86$185.0014.6%4.2%16.3%19.2%19.4%6.3%1.0%423.1K-1.9M-71.9K0.9564.051,0129581,8712,724
2015-12-17$188.24$185.0015.8%4.5%16.0%24.4%18.0%5.1%0.8%-442.6K2.7M-73.8K0.9557.661,0039531,9162,736
2015-12-18$184.98$185.0017.3%5.0%17.1%30.5%19.2%4.7%0.8%-3.1M10.4M-72.9K0.8758.971,0339031,9262,763
2015-12-21$184.72$185.0017.0%4.9%17.0%29.1%19.5%5.6%0.5%-129.0K6.8M-72.1K1.2560.216327871,2371,927
2015-12-22$186.41$185.0015.5%4.4%17.4%23.1%15.9%5.9%0.6%79.0K4.2M-70.8K1.0571.567497881,3061,963
2015-12-23$188.83$185.0013.4%3.8%18.1%14.3%15.5%4.9%2.2%529.5K546.8K-73.5K1.1273.446867651,4441,965
2015-12-24$188.51$185.0013.0%3.7%18.1%13.0%16.0%5.3%2.2%592.9K-663.8K-76.6K1.1573.846667651,5321,965
2015-12-28$188.10$185.0014.6%4.2%18.1%19.4%16.0%5.8%0.7%591.1K389.6K-72.1K1.1172.846927691,5521,964
2015-12-29$190.17$185.0013.6%3.9%18.6%15.5%15.4%6.2%1.1%857.9K-3.3M-72.5K1.0278.917507631,5951,970
2015-12-30$188.91$185.0014.0%4.0%18.3%16.9%15.1%3.7%0.9%1.0M-2.3M-74.7K0.9981.757777721,6921,970
2015-12-31$187.57$185.0015.5%4.4%18.1%23.0%17.5%5.4%0.3%883.5K343.9K-73.4K1.1278.347047871,7251,979