VOO Options History — January 2016

In January 2016, VOO traded between $170.43 and $184.65. ATM implied volatility averaged 22.0%, placing in the 49.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.2% (HV 20d: 19.7%). Max pain ranged from $170.00 to $187.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.16.

Notable Days

2016-01-25: Highest Volume — 1,865 contracts
2016-01-07: Largest IV spike — 23.3% change
2016-01-11: Highest IV Rank — 71.5%
2016-01-20: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$175.76	$170.43	$184.65	$184.02	$177.75
Max Pain	$179.79	$170.00	$187.00	$187.00	$172.00
ATM IV	22.0%	17.2%	27.4%	21.3%	17.2%
Expected Move	5.9%	4.9%	6.8%	5.2%	4.9%
HV 20d	19.7%	17.0%	23.2%	18.6%	23.2%
HV 60d	16.6%	14.9%	18.4%	15.0%	18.4%
IV Rank	49.3%	30.0%	71.5%	46.6%	30.0%
IV Percentile	90.9%	75.0%	98.8%	93.3%	75.0%
Term Structure	0.3%	-1.1%	1.8%	1.2%	1.0%
VWIV	19.1%	15.6%	22.5%	16.1%	19.4%
Skew 25d	6.5%	4.6%	9.5%	7.1%	4.8%
Skew 10d	9.6%	6.4%	14.2%	9.2%	10.3%
Call IV 25d	17.5%	14.2%	20.1%	14.6%	15.6%
Put IV 25d	24.0%	20.3%	28.3%	21.7%	20.3%
Bid-Ask Spread %	57.00	43.96	69.77	44.90	69.77
Gamma HHI	0.07	0.05	0.14	0.05	0.07
Net GEX	23.5K	-432.0K	565.6K	388.2K	491.8K
Net DEX	11.2M	4.1M	19.0M	6.4M	4.1M
Net VEX	-64.2K	-72.6K	-54.9K	-69.7K	-71.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.78	4.11	1.08	4.11
Total Volume	1,584.263	465	1,865	1,548	465
Total OI	3,629.526	2,586	4,313	3,724	3,500

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
2016-01-04	$184.02	$187.00	21.3%	5.2%	18.6%	46.6%	16.1%	7.1%	1.2%	388.2K	6.4M	-69.7K	1.08	44.90	745	803	1,729	1,995
2016-01-05	$184.65	$186.00	18.3%	4.9%	17.0%	34.6%	15.6%	6.2%	0.9%	565.6K	4.9M	-68.5K	1.09	43.96	770	836	1,770	2,015
2016-01-06	$182.01	$186.00	20.5%	5.3%	17.5%	43.3%	16.6%	4.8%	1.8%	294.1K	7.4M	-72.6K	1.06	51.08	775	821	1,858	2,043
2016-01-07	$178.60	$185.00	25.3%	5.9%	18.4%	62.7%	17.9%	4.6%	-0.1%	-77.6K	11.4M	-66.8K	0.97	56.02	834	811	1,886	2,045
2016-01-08	$175.82	$184.00	26.4%	6.4%	18.9%	67.3%	19.8%	6.4%	-0.8%	-196.8K	13.1M	-65.5K	0.79	45.38	929	735	1,976	2,065
2016-01-11	$176.32	$184.00	27.4%	6.0%	18.9%	71.5%	17.8%	8.0%	0.7%	-335.7K	15.3M	-61.1K	0.78	53.38	936	734	2,112	2,097
2016-01-12	$177.65	$184.00	23.2%	5.3%	18.3%	54.4%	17.1%	7.8%	0.9%	-288.7K	13.8M	-63.4K	0.87	54.77	863	747	2,118	2,105
2016-01-13	$173.22	$184.00	21.7%	6.2%	19.9%	48.1%	18.7%	5.2%	0.3%	-323.8K	16.4M	-58.6K	0.87	61.50	860	745	2,137	2,115
2016-01-14	$175.92	$184.00	20.3%	5.8%	20.3%	42.4%	18.0%	6.3%	0.5%	-432.0K	15.2M	-57.4K	0.86	59.90	878	756	2,169	2,109
2016-01-15	$172.27	$184.00	23.4%	6.7%	20.0%	55.0%	20.8%	6.3%	-0.3%	-85.0K	19.0M	-55.0K	1.13	61.72	792	897	2,195	2,118
2016-01-19	$172.69	$181.00	22.0%	6.3%	19.9%	49.4%	19.5%	9.5%	-0.1%	-180.8K	12.2M	-55.8K	1.03	54.16	733	753	1,229	1,357
2016-01-20	$170.43	$177.00	23.8%	6.8%	19.6%	56.9%	21.9%	7.7%	-1.1%	-110.9K	13.2M	-54.9K	1.09	58.98	721	785	1,382	1,402
2016-01-21	$171.62	$175.00	23.1%	6.6%	19.9%	54.0%	22.5%	9.3%	-0.5%	-78.9K	12.3M	-56.5K	1.26	58.24	675	852	1,416	1,434
2016-01-22	$174.60	$175.00	19.3%	5.5%	20.8%	38.6%	19.2%	7.4%	1.1%	-107.6K	10.8M	-66.3K	0.95	60.50	927	881	1,448	1,571
2016-01-25	$171.94	$174.00	21.5%	6.2%	20.3%	47.5%	20.7%	4.6%	0.3%	109.6K	10.6M	-66.4K	0.89	58.82	986	879	1,704	1,570
2016-01-26	$174.10	$172.00	20.5%	5.9%	21.2%	43.3%	20.1%	6.5%	0.2%	227.2K	8.2M	-69.8K	0.95	61.78	922	876	1,792	1,571
2016-01-27	$172.36	$170.00	21.9%	6.3%	21.3%	48.8%	20.7%	4.8%	-0.2%	269.6K	8.9M	-70.7K	1.10	64.37	811	890	1,875	1,569
2016-01-28	$173.56	$172.00	20.2%	5.8%	21.0%	42.1%	20.5%	6.7%	-0.1%	318.9K	8.5M	-68.7K	1.13	63.79	788	890	1,895	1,589
2016-01-29	$177.75	$172.00	17.2%	4.9%	23.2%	30.0%	19.4%	4.8%	1.0%	491.8K	4.1M	-71.0K	4.11	69.77	91	374	1,918	1,582