VOO Options History — August 2016

In August 2016, VOO traded between $197.80 and $201.09. ATM implied volatility averaged 10.2%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 4.3% (HV 20d: 6.0%). Max pain ranged from $193.00 to $200.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.50.

Notable Days

  • 2016-08-23: Highest Volume — 1,569 contracts
  • 2016-08-10: Largest IV spike — 20.8% change
  • 2016-08-26: Highest IV Rank — 16.0%
  • 2016-08-26: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$199.90$197.80$201.09$198.87$199.51
Max Pain$197.83$193.00$200.00$193.00$200.00
ATM IV10.2%8.1%11.6%10.2%10.6%
Expected Move3.0%2.8%3.3%2.9%3.0%
HV 20d6.0%5.1%8.1%8.1%5.3%
HV 60d12.4%12.0%12.9%12.9%12.1%
IV Rank7.4%0.0%16.0%2.4%11.6%
IV Percentile7.5%0.0%21.0%3.2%10.3%
Term Structure0.8%0.3%1.9%0.9%1.3%
VWIV12.3%11.0%14.0%12.0%12.5%
Skew 25d4.5%2.4%7.0%2.4%4.9%
Skew 10d8.1%5.0%10.4%5.0%7.1%
Call IV 25d8.7%6.1%9.9%9.7%8.8%
Put IV 25d13.2%11.9%14.9%12.1%13.7%
Bid-Ask Spread %71.7761.3080.6277.7378.61
Gamma HHI0.130.110.250.130.12
Net GEX893.1K292.6K1.6M1.3M464.3K
Net DEX-10.7M-16.0M-2.4M-13.9M-2.5M
Net VEX-91.4K-116.1K-71.8K-78.1K-112.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.016.970.732.40
Total Volume1,075.6521571,5691,1391,095
Total OI3,745.3043,0564,5073,0564,507

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$198.87$193.0010.2%2.9%8.1%2.4%12.0%2.4%0.9%1.3M-13.9M-78.1K0.7377.736584811,6361,420
2016-08-02$197.80$193.0011.2%3.2%7.7%6.7%13.4%4.4%0.8%1.3M-11.0M-79.1K0.8172.846615331,6361,448
2016-08-03$198.30$193.0010.1%2.9%7.6%1.9%12.6%3.5%1.9%1.3M-11.8M-78.0K0.8279.126535341,6461,522
2016-08-04$198.52$200.009.6%3.2%7.5%0.3%11.6%4.8%0.8%1.4M-12.4M-77.7K0.8263.516545361,6521,534
2016-08-05$200.15$200.008.4%3.1%6.0%0.0%11.0%4.7%0.5%1.6M-15.1M-75.0K0.7670.246955311,6551,533
2016-08-08$199.99$200.008.1%3.0%5.9%0.0%11.2%3.9%0.8%1.6M-16.0M-71.8K0.9462.986956521,6561,531
2016-08-09$200.16$200.008.8%2.9%5.6%2.5%11.1%4.2%0.8%1.4M-15.0M-74.6K1.1171.806947721,6561,656
2016-08-10$199.60$200.0010.6%3.0%5.7%9.4%11.3%3.5%0.7%1.1M-12.2M-82.4K1.0664.626877291,6581,882
2016-08-11$200.76$200.0010.7%3.1%5.8%9.7%11.3%4.5%1.0%881.7K-13.4M-81.9K1.0061.896696681,6621,942
2016-08-12$200.46$200.0010.7%3.1%5.7%9.7%11.3%4.7%0.7%820.2K-11.9M-86.9K1.6261.303736051,6612,041
2016-08-15$201.09$200.0010.9%3.1%5.8%10.7%12.9%3.6%0.6%741.6K-13.2M-83.9K1.3072.564565931,6562,065
2016-08-16$200.17$196.0010.2%2.9%6.0%8.0%13.7%4.5%1.2%968.1K-12.3M-89.2K1.4175.054135811,7622,137
2016-08-17$200.34$196.0010.7%3.1%5.7%9.9%12.4%4.9%0.4%1.1M-12.3M-88.0K6.9767.92382651,7622,133
2016-08-18$200.82$198.0010.3%2.9%5.4%8.2%13.2%7.0%0.7%1.0M-12.6M-91.3K0.0167.7733741,7862,369
2016-08-19$200.60$197.009.7%2.8%5.3%6.1%12.3%5.2%1.3%363.7K-15.1M-95.8K1.3571.385507422,0252,379
2016-08-22$200.50$196.009.8%2.8%5.1%6.4%11.5%5.2%1.1%405.0K-9.0M-94.2K1.4175.642813961,7021,817
2016-08-23$200.95$196.0010.1%2.9%5.2%7.4%12.6%2.9%1.2%292.6K-10.7M-94.5K0.5480.621,0165531,7261,884
2016-08-24$199.92$197.0010.8%3.1%5.5%10.4%12.5%5.7%0.4%489.2K-7.2M-111.2K1.3175.6568891,9972,054
2016-08-25$199.58$197.0010.8%3.1%5.5%10.2%12.5%4.4%0.5%512.9K-6.3M-115.3K1.3873.815277282,0202,099
2016-08-26$199.39$199.0011.6%3.3%5.5%16.0%14.0%5.7%0.3%556.6K-2.4M-116.1K1.5274.825147792,0662,274
2016-08-29$200.31$199.0010.4%3.0%5.7%10.6%13.8%5.0%1.0%520.3K-5.0M-114.2K2.5974.313097992,0702,342
2016-08-30$199.97$200.0010.6%3.0%5.3%11.7%12.6%3.8%0.6%505.7K-4.1M-111.8K2.7376.663028252,1112,372
2016-08-31$199.51$200.0010.6%3.0%5.3%11.6%12.5%4.9%1.3%464.3K-2.5M-112.1K2.4078.613227732,1162,391