VOO Options History — July 2016

In July 2016, VOO traded between $191.31 and $199.40. ATM implied volatility averaged 10.8%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 6.2% (HV 20d: 17.0%). Max pain ranged from $188.00 to $198.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.24.

Notable Days

  • 2016-07-15: Highest Volume — 1,912 contracts
  • 2016-07-05: Largest IV spike — 21.4% change
  • 2016-07-05: Highest IV Rank — 14.1%
  • 2016-07-05: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$196.96$191.31$199.40$192.79$199.40
Max Pain$192.65$188.00$198.00$188.00$193.00
ATM IV10.8%9.6%13.2%10.9%10.0%
Expected Move3.2%2.7%4.0%3.1%2.9%
HV 20d17.0%8.0%19.8%18.8%8.0%
HV 60d13.2%12.9%13.4%13.0%12.9%
IV Rank4.7%0.0%14.1%4.6%1.7%
IV Percentile8.3%0.0%29.8%6.7%1.6%
Term Structure1.7%0.9%2.5%1.4%1.7%
VWIV12.8%11.1%14.8%11.8%13.9%
Skew 25d4.0%2.4%5.7%4.9%3.3%
Skew 10d8.0%5.5%12.0%9.4%7.1%
Call IV 25d9.5%7.9%11.6%9.3%8.7%
Put IV 25d13.5%12.0%16.5%14.2%12.0%
Bid-Ask Spread %56.5534.9284.1184.1175.02
Gamma HHI0.160.110.360.110.13
Net GEX2.7M340.9K5.8M3.2M1.3M
Net DEX-22.2M-47.0M-10.3M-16.8M-14.0M
Net VEX-79.4K-86.9K-70.4K-81.3K-80.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.631.690.630.67
Total Volume1,329.358851,9121,8561,120
Total OI4,162.32,6466,0014,5373,050

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$192.79$188.0010.9%3.1%18.8%4.6%11.8%4.9%1.4%3.2M-16.8M-81.3K0.6384.111,1397172,7331,804
2016-07-05$191.31$190.0013.2%4.0%18.9%14.1%14.8%4.9%1.8%4.4M-15.3M-83.0K1.5534.925668753,1881,829
2016-07-06$192.43$190.0012.4%3.8%19.0%10.6%13.2%5.6%2.5%5.0M-17.7M-80.7K1.4843.975718473,1922,012
2016-07-07$192.19$190.0011.7%3.8%19.0%8.0%13.0%5.0%2.0%5.1M-18.9M-79.7K1.4344.415978533,2072,027
2016-07-08$195.22$190.0010.2%3.4%19.8%1.7%11.8%5.7%2.3%5.8M-31.3M-76.9K1.2550.456578213,2492,087
2016-07-11$195.97$191.0011.6%3.3%19.5%7.5%13.2%3.9%1.6%5.3M-36.5M-73.7K1.3745.256268603,3252,091
2016-07-12$197.25$192.0011.5%3.3%19.3%7.0%13.1%3.8%2.1%4.6M-41.8M-70.4K1.4350.146058673,3682,171
2016-07-13$197.31$192.0010.7%3.1%19.3%3.9%12.4%3.6%2.3%4.0M-43.2M-71.2K1.3046.686818863,4212,195
2016-07-14$198.40$192.0010.6%3.0%19.3%3.6%11.1%3.9%2.0%2.9M-47.0M-71.3K1.2048.558289973,4302,222
2016-07-15$198.07$197.0010.7%3.1%19.3%3.9%12.2%2.4%2.0%4.9M-46.4M-80.7K1.5444.987521,1603,6212,380
2016-07-18$198.64$192.0010.7%3.1%19.2%3.8%12.0%3.7%0.9%898.4K-12.4M-78.3K1.5054.324086111,4981,148
2016-07-19$198.18$197.0010.7%3.1%19.2%3.8%12.3%4.0%1.2%498.1K-10.3M-84.7K1.4545.984216111,5511,368
2016-07-20$199.29$197.009.6%2.7%19.2%0.0%11.7%4.1%2.1%674.2K-12.7M-81.7K1.6965.683485891,5841,365
2016-07-21$198.43$198.0010.8%3.1%19.3%5.1%11.5%2.8%1.4%340.9K-10.4M-86.9K1.5758.214637251,5931,562
2016-07-22$199.26$192.009.8%2.8%19.0%1.1%11.6%4.0%1.9%1.2M-14.6M-82.7K1.6160.754497241,6811,270
2016-07-25$198.63$193.0010.3%3.0%14.4%2.9%14.3%3.7%1.8%1.3M-14.1M-80.8K1.0069.834434421,6871,290
2016-07-26$198.78$193.0010.5%3.0%11.2%3.9%14.2%2.8%1.5%1.2M-14.2M-82.2K0.7167.256564681,6991,320
2016-07-27$198.61$193.0010.4%3.0%10.2%3.5%14.5%3.6%1.2%1.2M-13.3M-81.5K0.6571.356584281,6341,368
2016-07-28$199.07$193.0010.5%3.0%8.8%3.8%12.7%4.9%1.1%1.2M-13.4M-81.2K0.6669.136744441,6291,397
2016-07-29$199.40$193.0010.0%2.9%8.0%1.7%13.9%3.3%1.7%1.3M-14.0M-80.1K0.6775.026704501,6421,408