VOO Options History — June 2016

In June 2016, VOO traded between $183.16 and $194.78. ATM implied volatility averaged 14.2%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.7% (HV 20d: 10.5%). Max pain ranged from $187.00 to $189.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2016-06-17: Highest Volume — 2,080 contracts
  • 2016-06-24: Largest IV spike — 42.7% change
  • 2016-06-24: Highest IV Rank — 45.2%
  • 2016-06-24: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$191.30$183.16$194.78$192.78$191.86
Max Pain$187.50$187.00$189.00$188.00$188.00
ATM IV14.2%9.8%20.9%11.4%12.6%
Expected Move4.1%3.2%6.0%3.3%3.6%
HV 20d10.5%6.7%18.7%10.0%18.7%
HV 60d10.3%9.2%13.3%10.1%13.3%
IV Rank18.1%0.0%45.2%6.4%11.6%
IV Percentile40.9%0.0%85.3%9.9%23.8%
Term Structure0.4%-2.0%2.6%0.3%0.9%
VWIV15.6%13.2%19.8%13.2%14.9%
Skew 25d6.4%4.3%10.0%4.4%5.9%
Skew 10d11.9%7.9%17.5%8.2%13.5%
Call IV 25d11.9%9.2%17.1%9.7%10.3%
Put IV 25d18.3%13.7%26.1%14.0%16.2%
Bid-Ask Spread %63.1046.1381.1469.3181.14
Gamma HHI0.110.090.160.130.11
Net GEX2.4M628.3K3.4M2.6M2.9M
Net DEX-12.8M-25.1M7.5M-15.1M-13.5M
Net VEX-76.9K-83.5K-68.1K-74.8K-80.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.411.160.991.10
Total Volume1,728.1821,1272,0801,8761,379
Total OI4,211.8183,6604,8043,9384,488

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$192.78$188.0011.4%3.3%10.0%6.4%13.2%4.4%0.3%2.6M-15.1M-74.8K0.9969.319439332,4321,506
2016-06-02$193.30$187.0010.7%3.3%9.7%3.7%14.1%5.7%1.9%2.7M-17.2M-73.6K0.9657.439679332,4481,523
2016-06-03$192.99$187.009.9%3.2%9.7%0.3%13.5%6.1%2.6%2.8M-16.9M-74.9K0.9662.619719342,4771,523
2016-06-06$193.94$187.009.8%3.2%9.7%0.0%13.9%4.9%2.5%2.7M-20.0M-71.0K1.0462.449009362,4971,526
2016-06-07$194.15$187.0010.2%3.3%9.7%1.8%13.4%4.3%0.4%2.7M-21.3M-68.7K1.0068.869129132,5241,528
2016-06-08$194.78$187.0011.2%3.2%8.9%5.7%13.8%4.7%1.3%2.7M-23.8M-68.1K0.7868.631,1118652,5931,546
2016-06-09$194.62$187.0011.7%3.4%8.2%8.0%13.5%5.1%1.3%2.6M-25.1M-74.2K0.8069.411,0728532,7351,566
2016-06-10$192.67$187.0013.3%3.8%9.2%14.4%15.4%5.2%1.7%3.0M-18.2M-80.3K0.8961.941,0369252,7401,575
2016-06-13$191.14$187.0016.0%4.6%9.1%25.4%18.0%6.2%-0.4%3.0M-14.6M-80.1K0.8652.961,0058662,7451,656
2016-06-14$190.79$187.0015.8%4.5%8.6%24.4%18.4%8.1%-0.2%3.2M-11.8M-80.3K0.8746.131,0369022,7751,668
2016-06-15$190.45$188.0016.1%4.6%8.6%25.6%17.0%6.4%0.4%3.1M-11.8M-79.6K0.7961.071,0318152,7711,722
2016-06-16$191.14$188.0015.0%4.3%8.2%21.2%16.6%7.2%1.3%2.2M-12.4M-74.5K0.6052.801,2897682,7691,725
2016-06-17$190.52$187.0014.7%4.2%8.2%19.9%16.5%7.7%1.1%3.4M-13.4M-79.7K0.6058.911,3007803,0921,712
2016-06-20$191.60$187.0014.5%4.2%8.3%19.2%15.6%6.0%0.2%1.8M-10.0M-75.7K0.6766.958195502,1971,463
2016-06-21$191.29$188.0015.8%4.5%8.3%24.6%16.2%6.7%-0.8%1.8M-9.5M-77.9K0.6462.908355382,2111,482
2016-06-22$191.03$188.0017.6%5.0%6.7%31.7%17.2%8.8%-1.5%1.7M-10.3M-81.4K1.0660.325665982,2571,489
2016-06-23$193.28$188.0014.7%4.2%7.6%19.9%14.6%7.8%-0.4%2.2M-15.0M-81.0K1.1670.155226052,4481,578
2016-06-24$187.18$188.0020.9%6.0%13.8%45.2%19.8%10.0%-2.0%1.4M-2.3M-83.5K0.6750.839056042,5541,633
2016-06-27$183.16$189.0020.7%5.9%15.4%44.4%18.1%8.1%-1.2%628.3K7.5M-73.0K0.5156.101,1105642,5891,767
2016-06-28$186.30$187.0016.7%4.8%16.9%28.1%15.1%6.1%-0.7%1.5M391.0K-78.1K0.4169.661,2165022,8321,802
2016-06-29$189.53$188.0013.9%4.0%18.2%16.9%15.0%6.4%0.3%2.1M-6.7M-80.5K0.6877.741,0206912,6911,805
2016-06-30$191.86$188.0012.6%3.6%18.7%11.6%14.9%5.9%0.9%2.9M-13.5M-80.1K1.1081.146567232,7421,746