VOO Options History — May 2016

In May 2016, VOO traded between $187.40 and $192.83. ATM implied volatility averaged 13.0%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 3.1% (HV 20d: 10.0%). Max pain ranged from $188.00 to $196.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.51.

Notable Days

  • 2016-05-31: Highest Volume — 1,906 contracts
  • 2016-05-24: Largest IV drop — 13.3% change
  • 2016-05-05: Highest IV Rank — 20.7%
  • 2016-05-04: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$189.59$187.40$192.83$190.68$192.83
Max Pain$192.48$188.00$196.00$191.00$188.00
ATM IV13.0%10.2%14.9%12.5%11.0%
Expected Move3.8%2.9%4.3%3.6%3.1%
HV 20d10.0%8.7%11.6%10.6%10.5%
HV 60d11.2%10.1%12.9%12.9%10.1%
IV Rank12.9%1.3%20.7%10.7%4.6%
IV Percentile32.5%1.2%54.4%27.0%6.3%
Term Structure0.6%0.0%1.0%0.5%1.0%
VWIV12.8%11.3%14.4%12.7%12.6%
Skew 25d4.5%2.4%6.1%5.0%3.0%
Skew 10d7.1%3.6%10.5%7.3%3.8%
Call IV 25d11.1%9.2%13.2%10.8%10.3%
Put IV 25d15.6%11.9%17.8%15.9%13.3%
Bid-Ask Spread %57.2142.9072.9462.9372.17
Gamma HHI0.180.080.290.220.14
Net GEX1.9M-651.1K3.3M2.3M2.5M
Net DEX-5.6M-18.1M3.2M-7.9M-16.2M
Net VEX-65.9K-73.9K-55.0K-73.3K-71.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.691.881.470.97
Total Volume1,310.811,0941,9061,1741,906
Total OI3,439.6192,5343,7903,3493,722

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$190.68$191.0012.5%3.6%10.6%10.7%12.7%5.0%0.5%2.3M-7.9M-73.3K1.4762.934756992,1801,169
2016-05-03$189.09$191.0014.0%4.0%10.4%16.8%13.9%3.8%0.0%2.1M-4.5M-72.5K1.4859.914767062,1961,204
2016-05-04$188.03$191.0014.9%4.3%9.8%20.5%14.4%4.0%0.3%1.8M-1.9M-70.5K1.7558.904007012,1941,247
2016-05-05$187.78$193.0014.9%4.2%8.7%20.7%14.2%4.8%0.2%1.9M-1.9M-69.6K1.6742.904096852,2071,246
2016-05-06$188.51$193.0013.4%4.0%8.8%14.4%12.9%6.0%0.3%2.1M-1.8M-67.8K1.7049.664517662,2071,255
2016-05-09$188.80$195.0012.8%3.9%8.8%11.8%12.7%5.5%0.7%2.5M-3.8M-67.1K1.7250.594577862,2351,250
2016-05-10$191.08$195.0012.2%3.6%9.3%9.4%11.8%5.7%0.6%3.2M-9.4M-67.3K1.5850.374787532,2151,221
2016-05-11$189.48$193.0013.6%3.9%9.1%15.2%12.3%3.5%0.7%2.8M-7.8M-67.5K1.7248.794487702,2631,230
2016-05-12$189.38$193.0013.5%3.9%9.1%14.7%12.1%5.1%0.8%2.8M-6.5M-67.2K1.7549.334598032,2711,252
2016-05-13$187.83$193.0014.3%4.1%9.6%18.2%13.1%3.5%0.4%1.9M-2.5M-65.1K1.7752.004477922,2961,306
2016-05-16$189.59$193.0013.1%3.7%9.9%13.1%12.6%6.1%0.4%3.3M-5.4M-62.3K1.8854.254568592,2851,349
2016-05-17$189.11$196.0013.5%3.9%9.8%14.7%12.8%4.7%0.7%2.7M-3.5M-62.1K1.8851.354578592,2961,390
2016-05-18$187.73$196.0014.1%4.0%10.0%17.4%14.0%4.6%0.4%953.9K1.4M-58.8K1.8553.974488302,2891,440
2016-05-19$187.40$195.0014.6%4.2%9.9%19.5%13.6%5.5%0.4%-182.9K3.2M-57.5K1.8455.614558352,3031,469
2016-05-20$188.39$195.0013.7%3.9%10.1%15.6%12.7%4.4%0.9%-651.1K998.1K-56.2K1.8361.334598402,3001,490
2016-05-23$188.13$193.0013.6%3.9%10.1%15.2%12.0%5.1%0.2%616.8K-1.6M-55.0K1.0950.375806321,4431,091
2016-05-24$190.73$191.0011.8%3.4%11.3%7.8%11.4%5.2%0.5%1.2M-5.3M-62.9K1.3565.814706361,6681,152
2016-05-25$192.06$191.0011.1%3.2%11.6%5.1%12.7%4.0%1.0%1.5M-9.1M-64.8K0.7170.288936351,7671,157
2016-05-26$191.96$188.0011.1%3.2%10.8%5.1%12.1%2.4%1.0%2.5M-16.1M-73.9K0.6967.999186352,2971,186
2016-05-27$192.74$188.0010.2%2.9%10.8%1.3%11.3%2.7%0.8%2.7M-18.1M-71.1K0.9272.949188452,3081,186
2016-05-31$192.83$188.0011.0%3.1%10.5%4.6%12.6%3.0%1.0%2.5M-16.2M-71.4K0.9772.179699372,3231,399