VOO Options History — April 2016

In April 2016, VOO traded between $186.91 and $192.73. ATM implied volatility averaged 12.3%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.1% (HV 20d: 10.2%). Max pain ranged from $182.00 to $191.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2016-04-15: Highest Volume — 1,701 contracts
  • 2016-04-07: Largest IV spike — 24.3% change
  • 2016-04-11: Highest IV Rank — 19.3%
  • 2016-04-07: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$190.08$186.91$192.73$189.77$189.31
Max Pain$189.76$182.00$191.00$182.00$191.00
ATM IV12.3%10.0%14.6%10.0%14.2%
Expected Move3.6%2.9%4.2%2.9%4.1%
HV 20d10.2%9.4%11.4%9.4%10.4%
HV 60d15.3%12.9%17.8%17.8%12.9%
IV Rank10.2%0.7%19.3%0.7%17.7%
IV Percentile26.5%0.4%52.8%0.4%48.4%
Term Structure1.2%0.1%2.1%2.1%0.1%
VWIV12.6%10.7%14.7%10.7%13.5%
Skew 25d4.4%2.3%6.3%4.9%6.2%
Skew 10d8.5%4.9%13.0%10.5%7.2%
Call IV 25d10.7%8.3%12.5%8.3%11.5%
Put IV 25d15.1%13.2%17.7%13.2%17.7%
Bid-Ask Spread %47.0931.9387.3687.3659.22
Gamma HHI0.170.100.270.120.20
Net GEX2.0M1.3M2.4M2.0M2.1M
Net DEX-12.3M-17.8M-6.2M-14.3M-6.2M
Net VEX-66.3K-77.2K-57.3K-61.2K-74.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.511.420.621.42
Total Volume1,253.7149131,7011,2881,223
Total OI3,557.0952,2214,2903,8833,279

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$189.77$182.0010.0%2.9%9.4%0.7%10.7%4.9%2.1%2.0M-14.3M-61.2K0.6287.367954932,3351,548
2016-04-04$189.03$190.0011.7%3.7%9.6%7.6%12.7%4.8%1.3%1.9M-14.1M-61.9K0.6231.937894912,3471,589
2016-04-05$187.15$190.0013.3%4.1%10.4%14.1%13.6%5.3%0.9%1.8M-11.0M-61.7K0.6232.738325172,3511,589
2016-04-06$189.29$190.0011.6%3.7%10.1%7.2%14.5%6.3%1.4%2.2M-13.2M-59.5K0.7038.388495972,3591,616
2016-04-07$186.91$190.0014.4%4.2%11.4%18.6%14.6%4.7%0.5%1.9M-9.8M-62.0K0.7235.508446042,3771,729
2016-04-08$187.30$190.0012.6%4.1%11.4%11.3%14.0%4.4%0.8%1.9M-10.7M-61.7K0.7234.938305952,3801,748
2016-04-11$187.29$190.0014.6%4.1%9.6%19.3%14.3%4.2%1.0%2.0M-10.5M-58.4K0.6737.298315532,3891,767
2016-04-12$188.80$190.0013.4%3.8%10.0%14.5%14.7%6.3%1.5%2.2M-12.1M-57.3K0.6543.818475542,4021,773
2016-04-13$190.74$190.0011.9%3.4%10.4%8.3%13.3%5.2%2.1%2.0M-16.8M-57.6K0.6741.258445692,4271,775
2016-04-14$190.77$190.0012.0%3.4%10.3%8.8%13.0%4.1%1.5%2.0M-17.3M-58.4K0.6937.758385762,4551,791
2016-04-15$190.59$190.0011.5%3.3%10.2%6.9%12.1%4.3%1.8%2.4M-17.8M-59.2K0.5141.641,1245772,4951,795
2016-04-18$191.83$190.0011.5%3.3%10.3%6.6%11.7%5.6%1.5%1.3M-8.9M-60.7K0.6850.396654511,480741
2016-04-19$192.33$191.0012.0%3.4%10.1%8.7%11.9%3.7%0.7%1.9M-12.2M-69.8K1.1037.514344791,842816
2016-04-20$192.73$191.0011.3%3.2%10.1%5.9%11.5%4.2%1.1%1.9M-13.8M-74.5K0.8554.465714881,946879
2016-04-21$191.64$190.0012.1%3.5%10.1%9.3%12.1%2.3%1.1%2.3M-13.3M-76.3K1.0351.965205382,115892
2016-04-22$191.69$190.0011.6%3.3%10.1%7.1%11.1%3.6%1.1%2.3M-11.7M-77.2K1.3054.924435782,117955
2016-04-25$191.07$190.0012.5%3.6%10.2%10.8%11.3%2.9%0.7%2.3M-10.2M-75.9K1.2052.794825802,124998
2016-04-26$191.56$190.0011.9%3.4%9.8%8.5%11.9%2.7%1.3%2.3M-11.2M-74.6K1.2154.864905912,1181,001
2016-04-27$192.05$190.0011.9%3.4%9.7%8.6%11.1%4.1%1.0%2.3M-12.4M-74.8K1.2455.274836002,1501,016
2016-04-28$189.93$190.0013.0%3.7%10.6%12.9%11.2%3.0%0.9%2.1M-10.0M-75.4K1.2554.875166472,1661,027
2016-04-29$189.31$191.0014.2%4.1%10.4%17.7%13.5%6.2%0.1%2.1M-6.2M-74.2K1.4259.225057182,1811,098