VOO Options History — November 2016

In November 2016, VOO traded between $191.46 and $203.50. ATM implied volatility averaged 14.2%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 4.6% (HV 20d: 9.6%). Max pain ranged from $196.00 to $199.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2016-11-09: Highest Volume — 1,743 contracts
  • 2016-11-09: Largest IV drop — 32.9% change
  • 2016-11-04: Highest IV Rank — 82.4%
  • 2016-11-02: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$198.95$191.46$203.50$193.79$202.74
Max Pain$197.29$196.00$199.00$196.00$199.00
ATM IV14.2%8.9%24.0%19.1%10.8%
Expected Move3.8%2.6%5.6%5.5%3.1%
HV 20d9.6%6.9%10.4%7.1%9.7%
HV 60d10.8%9.9%11.2%9.9%11.2%
IV Rank31.5%4.4%82.4%56.8%13.9%
IV Percentile45.6%1.2%97.2%85.3%19.4%
Term Structure-1.0%-3.3%0.7%-3.1%-1.0%
VWIV14.9%12.1%19.0%18.6%13.0%
Skew 25d5.0%2.4%8.7%7.4%2.6%
Skew 10d9.4%2.7%15.9%11.3%2.7%
Call IV 25d11.5%8.8%16.7%16.2%11.3%
Put IV 25d16.6%12.2%23.6%23.6%13.9%
Bid-Ask Spread %74.8553.5686.7853.5684.57
Gamma HHI0.250.100.590.120.21
Net GEX1.7M-136.8K4.8M127.3K1.2M
Net DEX-4.7M-20.4M12.1M7.5M-8.0M
Net VEX-97.9K-105.1K-91.9K-101.0K-96.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.891.831.291.77
Total Volume1,293.3338661,7431,394950
Total OI3,886.7623,1694,6063,5103,516

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$193.79$196.0019.1%5.5%7.1%56.8%18.6%7.4%-3.1%127.3K7.5M-101.0K1.2953.566097851,7341,776
2016-11-02$192.96$196.0019.6%5.6%6.9%59.4%19.0%6.0%-2.6%27.5K11.1M-96.7K1.3161.846188091,8051,865
2016-11-03$191.51$197.0021.5%4.9%7.2%69.3%14.6%8.0%-0.4%-136.5K10.8M-99.5K1.3182.326218111,8101,923
2016-11-04$191.46$197.0024.0%5.5%7.2%82.4%17.6%7.8%-2.0%-136.8K12.1M-96.6K1.3258.016328331,8241,947
2016-11-07$195.29$196.0021.3%4.4%10.3%68.3%17.2%6.9%-1.9%357.6K7.0M-99.5K1.2873.076398181,8801,976
2016-11-08$196.90$196.0019.5%4.3%9.8%59.2%16.8%8.7%-0.8%734.4K3.4M-101.7K1.1372.457918921,9151,986
2016-11-09$198.70$197.0013.1%3.8%10.3%25.9%14.0%4.9%-3.3%1.9M-4.6M-100.8K1.0486.788568872,1612,063
2016-11-10$199.10$197.0012.5%3.6%10.2%22.8%15.4%3.7%-1.4%2.4M-9.0M-105.1K0.9677.058598262,2482,078
2016-11-11$198.79$197.0013.2%3.8%10.3%26.2%16.0%6.1%-0.3%2.6M-7.4M-104.1K1.2960.415897622,2842,124
2016-11-14$198.62$197.0013.1%3.8%10.1%25.9%16.1%5.1%-1.2%3.1M-8.7M-100.7K1.2867.456087772,2782,157
2016-11-15$200.30$197.0012.1%3.5%10.3%20.9%16.1%4.9%-0.2%3.9M-15.4M-95.8K1.2174.465987222,3152,186
2016-11-16$200.07$197.0011.8%3.4%10.3%19.2%15.2%5.1%-0.3%4.1M-15.4M-96.1K1.2872.095727322,3302,189
2016-11-17$201.00$197.0012.2%3.5%10.3%20.9%13.5%4.0%-0.3%4.0M-18.2M-91.9K1.1777.336377452,3362,200
2016-11-18$200.80$198.0011.7%3.4%10.3%18.6%12.1%4.5%0.3%4.8M-20.4M-92.5K0.8977.778447492,3832,223
2016-11-21$201.92$198.0012.1%3.5%10.4%20.8%13.0%5.2%0.0%1.1M-5.2M-92.3K0.9476.395385081,5931,576
2016-11-22$202.64$198.008.9%2.6%10.2%4.4%12.7%3.1%0.7%1.3M-7.0M-93.5K1.5980.923555641,6611,593
2016-11-23$202.67$198.009.3%2.7%10.2%6.0%12.9%3.4%-0.7%1.3M-6.9M-99.4K1.6781.453425721,7011,681
2016-11-25$203.50$198.009.8%2.8%10.1%8.8%12.2%2.5%-0.8%1.4M-8.6M-97.4K1.7185.753205461,7121,683
2016-11-28$202.46$198.0012.6%3.6%10.2%23.2%13.2%2.4%-1.0%1.3M-8.0M-96.3K1.8385.143255951,7201,693
2016-11-29$202.64$199.009.9%2.8%10.2%9.1%13.7%3.8%0.3%1.2M-7.3M-98.2K1.8183.123295951,7281,769
2016-11-30$202.74$199.0010.8%3.1%9.7%13.9%13.0%2.6%-1.0%1.2M-8.0M-96.3K1.7784.573436071,7401,776