VOO Options History — September 2016

In September 2016, VOO traded between $194.58 and $200.92. ATM implied volatility averaged 12.4%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.1% (HV 20d: 11.2%). Max pain ranged from $195.00 to $200.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.17.

Notable Days

  • 2016-09-12: Highest Volume — 2,998 contracts
  • 2016-09-13: Largest IV spike — 81.5% change
  • 2016-09-13: Highest IV Rank — 60.0%
  • 2016-09-13: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$197.99$194.58$200.92$199.35$199.15
Max Pain$196.10$195.00$200.00$200.00$196.00
ATM IV12.4%9.4%19.7%11.6%11.0%
Expected Move3.5%2.6%4.4%3.3%3.1%
HV 20d11.2%4.7%15.0%5.3%15.0%
HV 60d11.7%9.9%13.8%12.1%10.0%
IV Rank21.9%5.9%60.0%16.5%14.9%
IV Percentile31.3%1.2%83.7%23.4%20.6%
Term Structure1.5%-0.5%3.0%0.5%1.4%
VWIV13.4%9.5%16.1%13.5%13.4%
Skew 25d5.0%2.8%9.9%4.9%4.3%
Skew 10d9.7%4.6%19.5%6.9%8.7%
Call IV 25d10.4%8.2%13.3%9.9%9.6%
Put IV 25d15.3%12.1%23.2%14.8%13.9%
Bid-Ask Spread %73.2057.3895.0078.0080.32
Gamma HHI0.150.090.310.120.18
Net GEX568.8K-1.8M1.2M500.8K1.1M
Net DEX1.5M-7.9M19.7M-1.7M-5.5M
Net VEX-108.9K-120.2K-80.6K-110.6K-120.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.171.394.082.541.39
Total Volume1,751.7621,1742,9981,1741,304
Total OI4,8854,2415,6214,5384,963

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$199.35$200.0011.6%3.3%5.3%16.5%13.5%4.9%0.5%500.8K-1.7M-110.6K2.5478.003328422,1402,398
2016-09-02$200.29$199.009.4%2.7%4.8%5.9%11.6%3.8%1.3%827.4K-6.4M-108.7K2.7186.363238752,1482,357
2016-09-06$200.78$195.009.7%3.1%4.8%8.1%13.6%5.5%2.2%924.1K-5.8M-101.8K4.0863.904141,6912,1552,469
2016-09-07$200.92$195.009.9%3.0%4.8%9.2%13.7%4.5%2.5%933.0K-254.6K-103.5K2.7560.823721,0242,2192,785
2016-09-08$200.60$195.009.9%3.0%4.7%9.5%13.2%4.8%2.6%1.0M911.7K-103.4K2.8869.803831,1022,2412,839
2016-09-09$196.21$195.0016.3%3.9%8.9%42.3%15.3%5.5%0.5%500.4K13.9M-102.0K2.7862.764571,2692,2592,832
2016-09-12$198.77$195.0010.8%2.6%10.2%14.2%9.5%2.8%2.4%1.1M5.3M-80.6K1.9084.631,0351,9632,3693,034
2016-09-13$194.58$196.0019.7%4.4%12.5%60.0%16.1%6.7%0.5%-409.9K19.5M-109.8K1.5657.381,0161,5902,3163,305
2016-09-14$194.69$196.0013.9%4.0%12.5%29.9%14.9%9.9%3.0%-616.5K19.7M-113.3K1.6795.009411,5702,2833,314
2016-09-15$196.83$196.0014.5%4.2%13.2%33.2%14.6%5.7%-0.5%-591.4K11.9M-105.2K2.0362.207671,5572,2943,231
2016-09-16$196.12$196.0014.5%4.2%13.2%33.2%14.8%5.7%1.3%-1.8M7.6M-110.8K2.5768.976111,5692,3893,036
2016-09-19$196.13$196.0013.6%3.9%13.2%28.7%14.1%4.7%1.0%643.7K283.6K-108.4K1.9063.545861,1152,0662,175
2016-09-20$196.32$196.0014.1%4.0%13.2%31.1%14.4%5.3%0.6%731.1K-301.9K-109.1K1.9564.475681,1052,1122,179
2016-09-21$198.26$196.0012.1%3.5%13.7%20.7%12.8%5.0%1.2%914.6K-3.4M-112.9K1.9970.485631,1202,1912,302
2016-09-22$199.52$196.0010.1%2.9%13.9%10.1%11.2%4.5%2.5%1.2M-7.9M-114.1K2.1173.615231,1042,2452,308
2016-09-23$198.37$196.0010.9%3.1%14.0%14.3%12.1%3.4%2.7%1.2M-6.5M-112.3K2.1380.665291,1272,2722,305
2016-09-26$196.69$196.0012.8%3.7%14.3%24.2%14.8%4.2%1.3%935.7K-955.3K-113.5K1.8175.975199372,2822,375
2016-09-27$197.84$196.0011.5%3.3%14.4%17.4%14.2%4.7%1.8%866.8K-2.0M-113.6K1.6675.195088452,2722,458
2016-09-28$198.86$196.0010.5%3.0%14.5%12.2%11.3%4.4%2.1%1.1M-4.7M-114.5K1.7076.755088662,2972,487
2016-09-29$197.55$196.0012.9%3.7%14.7%24.7%12.6%4.2%0.2%857.6K-1.3M-119.0K1.5286.484997582,3072,576
2016-09-30$199.15$196.0011.0%3.1%15.0%14.9%13.4%4.3%1.4%1.1M-5.5M-120.2K1.3980.325457592,3452,618