VOO Options History — February 2016

In February 2016, VOO traded between $168.26 and $179.11. ATM implied volatility averaged 21.0%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 0.4% (HV 20d: 21.4%). Max pain ranged from $174.00 to $186.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.55.

Notable Days

  • 2016-02-12: Highest Volume — 2,838 contracts
  • 2016-02-02: Largest IV spike — 18.4% change
  • 2016-02-09: Highest IV Rank — 67.2%
  • 2016-02-11: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$174.74$168.26$179.11$177.80$177.91
Max Pain$182.70$174.00$186.00$175.00$184.00
ATM IV21.0%17.1%26.4%17.5%19.6%
Expected Move6.0%4.9%7.4%5.0%5.6%
HV 20d21.4%17.9%23.3%23.2%17.9%
HV 60d19.2%18.3%19.8%18.3%19.7%
IV Rank45.3%29.5%67.2%31.1%39.5%
IV Percentile84.3%69.4%98.0%75.4%79.0%
Term Structure-0.6%-2.0%0.7%0.7%-1.5%
VWIV17.5%14.4%21.6%18.6%16.4%
Skew 25d6.6%4.1%8.8%6.5%5.1%
Skew 10d10.8%4.4%14.4%11.7%10.4%
Call IV 25d17.6%14.4%21.3%14.8%16.8%
Put IV 25d24.2%20.8%29.6%21.2%21.8%
Bid-Ask Spread %38.0723.7369.4969.0242.42
Gamma HHI0.080.050.110.060.09
Net GEX-81.8K-504.7K448.6K220.6K448.6K
Net DEX15.0M4.3M27.9M4.3M10.5M
Net VEX-68.6K-79.5K-57.1K-74.6K-77.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.862.431.480.88
Total Volume2,5012,0492,8382,0562,658
Total OI4,391.73,5595,0223,8084,631

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$177.80$175.0017.5%5.0%23.2%31.1%18.6%6.5%0.7%220.6K4.3M-74.6K1.4869.028281,2281,9861,822
2016-02-02$174.38$175.0020.7%5.9%23.2%44.2%19.8%4.1%0.0%-60.4K10.3M-72.3K1.4467.498451,2191,9981,923
2016-02-03$175.32$175.0020.3%5.8%23.3%42.6%19.6%4.5%-0.3%54.8K9.1M-70.1K1.4469.498411,2082,0041,867
2016-02-04$175.47$174.0020.7%5.9%22.9%44.3%21.6%7.0%-0.4%81.3K8.3M-73.1K1.4823.738361,2352,0111,884
2016-02-05$171.93$174.0022.5%6.5%23.1%51.4%15.6%7.3%-1.1%3.7K12.5M-65.2K2.4325.687691,8692,0251,853
2016-02-08$169.95$186.0025.6%6.9%22.8%64.2%18.2%8.4%-1.1%-353.4K25.5M-64.5K2.4330.097781,8942,0332,514
2016-02-09$169.98$186.0026.4%7.0%22.7%67.2%18.8%6.3%-1.2%-385.4K25.3M-65.0K2.1728.418011,7382,0582,561
2016-02-10$169.91$186.0024.2%6.9%22.5%58.3%17.9%6.7%-0.3%-374.8K25.2M-65.2K2.2229.448051,7872,0682,566
2016-02-11$168.26$186.0026.0%7.4%21.0%65.6%20.8%8.3%-1.3%-297.4K27.9M-57.1K1.8634.749681,8022,0912,551
2016-02-12$171.02$186.0023.6%6.8%21.1%56.1%19.8%8.8%-0.9%-285.3K25.2M-60.8K1.7531.221,0321,8062,1562,581
2016-02-16$173.71$186.0021.6%6.2%20.6%47.8%17.3%7.9%-0.5%-14.1K19.2M-64.5K1.9728.899191,8072,2642,589
2016-02-17$176.86$186.0020.2%5.8%21.5%42.3%17.7%7.9%-0.1%-280.3K11.0M-68.9K1.6930.919171,5482,3062,589
2016-02-18$175.98$186.0019.7%5.6%21.0%40.1%15.8%6.2%-0.1%-278.0K11.7M-67.3K1.6628.619371,5592,3862,588
2016-02-19$176.00$186.0018.9%5.4%20.9%36.7%14.9%6.5%0.4%-412.0K11.5M-62.9K1.5530.211,0101,5672,4142,608
2016-02-22$178.55$186.0017.1%4.9%20.6%29.5%15.9%6.7%0.5%-504.7K13.2M-67.2K0.9434.951,2581,1771,5502,009
2016-02-23$176.57$185.0019.1%5.5%20.2%37.6%15.5%4.5%-0.3%50.0K13.8M-70.1K0.8637.241,3851,1932,0372,047
2016-02-24$177.13$184.0019.4%5.6%19.8%39.0%15.2%7.0%-0.7%178.9K14.5M-71.9K0.9435.211,3101,2312,2432,113
2016-02-25$179.11$184.0018.9%5.4%19.7%36.7%14.4%7.4%-2.0%257.6K12.2M-75.4K0.9439.041,3231,2402,2662,178
2016-02-26$179.05$184.0017.9%5.1%19.6%32.6%16.0%5.7%-0.9%313.6K9.2M-79.5K0.8744.581,4391,2532,3062,158
2016-02-29$177.91$184.0019.6%5.6%17.9%39.5%16.4%5.1%-1.5%448.6K10.5M-77.2K0.8842.421,4141,2442,4642,167