VOO Options History — October 2016

In October 2016, VOO traded between $195.11 and $198.42. ATM implied volatility averaged 13.2%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.8% (HV 20d: 10.4%). Max pain ranged from $196.00 to $196.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.61.

Notable Days

  • 2016-10-21: Highest Volume — 1,576 contracts
  • 2016-10-19: Largest IV spike — 26.4% change
  • 2016-10-19: Highest IV Rank — 45.8%
  • 2016-10-19: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$196.62$195.11$198.42$198.19$195.17
Max Pain$196.00$196.00$196.00$196.00$196.00
ATM IV13.2%10.5%17.0%12.0%16.4%
Expected Move3.9%3.3%4.9%3.4%4.7%
HV 20d10.4%7.0%15.1%14.9%7.0%
HV 60d9.8%9.5%9.9%9.6%9.8%
IV Rank26.5%12.5%45.8%20.0%43.1%
IV Percentile45.8%11.9%79.0%32.1%77.8%
Term Structure0.1%-3.7%2.4%2.1%-1.7%
VWIV14.0%10.8%16.7%13.4%16.7%
Skew 25d5.3%2.8%9.4%2.8%6.0%
Skew 10d8.6%3.9%12.3%5.1%11.6%
Call IV 25d11.1%9.1%13.4%11.1%13.4%
Put IV 25d16.4%13.5%20.5%13.9%19.4%
Bid-Ask Spread %69.8154.7798.5880.0454.77
Gamma HHI0.170.100.330.180.15
Net GEX770.2K-156.9K1.5M1.1M406.3K
Net DEX2.5M-4.4M8.0M-3.0M5.6M
Net VEX-99.9K-115.6K-83.8K-115.6K-101.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.611.122.331.491.30
Total Volume1,370.5241,2551,5761,3071,297
Total OI4,612.7622,6275,3625,0023,444

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$198.19$196.0012.0%3.4%14.9%20.0%13.4%2.8%2.1%1.1M-3.0M-115.6K1.4980.045257822,3612,641
2016-10-04$197.13$196.0012.8%3.7%15.0%24.2%13.8%3.9%0.6%863.9K-289.4K-114.1K1.3580.516168292,3552,664
2016-10-05$198.05$196.0011.8%3.4%15.1%19.0%13.2%4.4%0.9%1.1M-2.8M-113.4K1.4185.045768102,3772,711
2016-10-06$198.15$196.0011.0%3.8%15.1%15.1%15.4%7.8%0.5%1.1M-2.6M-109.8K1.3468.666108152,3602,731
2016-10-07$197.59$196.0010.7%3.7%12.9%13.6%14.8%5.1%0.6%1.1M-1.3M-109.6K1.5865.775308402,3822,737
2016-10-10$198.42$196.0010.5%3.7%12.1%12.5%14.5%4.7%0.5%1.5M-4.4M-106.0K1.5758.195308312,3832,762
2016-10-11$195.95$196.0013.0%3.9%10.3%25.2%13.7%5.8%-0.6%622.5K4.0M-102.8K1.4572.305297672,3842,762
2016-10-12$196.33$196.0013.8%4.0%10.3%29.6%13.8%4.4%0.3%570.8K4.7M-100.5K1.4471.175648142,3802,842
2016-10-13$195.70$196.0014.5%4.2%9.6%33.1%14.1%6.7%-1.7%383.2K8.0M-97.7K2.0798.584308922,3842,865
2016-10-14$196.03$196.0014.3%4.1%9.5%32.0%13.6%5.9%-0.2%663.5K5.1M-98.3K2.0461.894479122,4012,840
2016-10-17$195.13$196.0014.2%4.1%9.7%31.3%14.4%5.8%2.4%406.6K7.8M-90.0K1.9859.914569022,4362,840
2016-10-18$196.28$196.0013.4%3.8%9.9%27.4%14.5%5.0%1.1%935.2K3.9M-90.4K2.2063.214219272,4402,846
2016-10-19$196.90$196.0017.0%4.9%9.3%45.8%13.6%9.4%-3.7%1.1M2.0M-83.8K2.3382.623969222,4532,878
2016-10-20$196.44$196.0013.1%3.7%9.0%25.6%13.3%4.5%0.8%1.1M3.3M-83.8K1.7467.565629762,4692,875
2016-10-21$196.40$196.0011.5%3.3%8.8%17.3%12.2%4.7%1.3%1.3M1.7M-89.3K1.8568.505531,0232,5142,848
2016-10-24$197.30$196.0012.0%3.4%8.4%20.1%10.8%6.0%1.0%-156.9K5.0M-90.4K1.1261.556377151,0881,539
2016-10-25$196.61$196.0012.1%3.5%8.2%20.6%12.4%4.1%-0.2%559.8K4.0M-95.8K1.3571.815347211,4141,558
2016-10-26$196.43$196.0013.7%3.9%8.0%28.9%14.0%4.5%-1.0%583.6K3.7M-101.0K1.3266.815837721,5881,589
2016-10-27$195.74$196.0013.8%4.0%7.7%29.5%14.4%4.3%-0.4%531.3K3.5M-102.2K1.3868.125757961,6511,682
2016-10-28$195.11$196.0016.2%4.6%7.1%41.8%16.6%6.4%-1.6%341.8K5.6M-103.0K1.4158.945677971,6781,716
2016-10-31$195.17$196.0016.4%4.7%7.0%43.1%16.7%6.0%-1.7%406.3K5.6M-101.2K1.3054.775637341,7041,740