VOO Options History — December 2016

In December 2016, VOO traded between $201.36 and $209.40. ATM implied volatility averaged 10.5%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 2.4% (HV 20d: 8.1%). Max pain ranged from $197.00 to $200.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.46.

Notable Days

  • 2016-12-01: Highest Volume — 1,138 contracts
  • 2016-12-05: Largest IV drop — 40.7% change
  • 2016-12-01: Highest IV Rank — 31.6%
  • 2016-12-01: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$206.45$201.36$209.40$201.36$204.76
Max Pain$198.24$197.00$200.00$200.00$200.00
ATM IV10.5%8.2%14.2%14.2%11.5%
Expected Move2.9%2.1%4.1%4.1%3.3%
HV 20d8.1%6.8%9.9%9.9%8.8%
HV 60d9.3%8.7%11.3%11.3%8.8%
IV Rank12.5%0.6%31.6%31.6%17.6%
IV Percentile20.6%0.4%61.5%61.5%34.1%
Term Structure1.4%-1.6%3.5%-0.6%1.2%
VWIV13.0%9.6%15.3%14.0%14.0%
Skew 25d3.9%2.4%5.8%3.2%3.6%
Skew 10d6.8%1.0%13.2%1.0%5.4%
Call IV 25d9.1%7.2%11.7%11.7%10.4%
Put IV 25d13.0%10.7%15.3%14.9%14.0%
Bid-Ask Spread %86.6769.6699.2786.3899.27
Gamma HHI0.250.190.340.190.19
Net GEX1.1M392.0K1.8M836.9K392.0K
Net DEX-13.3M-23.5M-4.8M-5.6M-6.8M
Net VEX-84.3K-102.4K-71.8K-98.2K-81.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.672.331.601.04
Total Volume943.0956771,1381,138978
Total OI3,622.0953,1523,9703,5913,470

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$201.36$200.0014.2%4.1%9.9%31.6%14.0%3.2%-0.6%836.9K-5.6M-98.2K1.6086.384387001,7331,858
2016-12-02$201.65$200.0013.9%4.0%9.3%29.8%14.3%4.3%-1.6%866.9K-4.8M-102.4K2.0783.333407031,8371,965
2016-12-05$202.81$197.008.2%2.7%9.3%0.6%13.7%4.5%2.4%1.2M-6.5M-97.4K2.1673.453287081,8391,968
2016-12-06$203.38$197.008.9%2.6%6.8%3.9%13.0%5.0%3.3%1.6M-8.7M-94.7K2.0377.673166411,8461,968
2016-12-07$206.09$197.0010.8%3.0%7.6%14.0%11.9%5.6%2.8%1.7M-15.1M-88.2K1.7781.973626391,8511,965
2016-12-08$206.73$197.0012.0%3.2%7.1%20.4%15.2%5.5%2.3%1.8M-18.2M-92.0K2.0196.053166361,9241,987
2016-12-09$207.86$197.008.7%2.2%7.3%2.9%14.7%4.5%3.5%1.8M-19.8M-89.1K2.3369.662896731,9651,986
2016-12-12$207.68$197.0010.9%2.1%7.2%14.4%15.3%5.8%1.9%1.8M-21.3M-85.7K2.2788.852926641,9602,010
2016-12-13$209.40$197.0013.7%2.9%7.4%29.0%14.5%4.3%2.6%1.2M-23.5M-81.8K1.0886.844785181,9422,010
2016-12-14$208.00$197.0010.4%3.0%7.8%11.9%11.0%2.7%2.6%1.6M-20.4M-80.2K1.2093.804365211,8642,025
2016-12-15$208.36$197.0010.0%2.9%7.7%9.8%13.5%4.1%2.3%1.3M-17.8M-83.1K1.8582.892845251,8202,051
2016-12-16$207.78$198.008.8%2.5%7.8%3.3%13.2%3.6%3.0%920.3K-17.6M-81.2K2.1785.672776021,8412,073
2016-12-19$208.16$198.008.7%2.5%7.8%3.1%12.0%2.9%-1.0%931.4K-14.2M-78.9K1.0185.763363411,5341,618
2016-12-20$208.95$199.009.2%2.6%7.7%5.7%12.8%2.8%0.8%911.6K-15.0M-79.3K1.2989.043204141,6121,629
2016-12-21$208.73$199.008.2%2.4%7.7%0.6%9.6%3.1%2.7%1.2M-15.9M-71.8K0.8891.704944341,6251,694
2016-12-22$206.88$199.0010.8%3.1%8.5%13.9%11.6%2.4%0.6%794.1K-10.5M-75.2K0.7887.965033901,4791,717
2016-12-23$207.10$199.0010.0%2.9%8.5%9.7%10.4%2.9%-1.4%781.4K-10.9M-75.0K0.9494.955084781,4941,751
2016-12-27$207.81$199.009.6%2.7%8.2%7.5%12.1%4.5%0.9%540.1K-9.7M-79.6K0.9274.475324911,5041,854
2016-12-28$205.99$199.0011.5%3.3%8.9%17.6%13.8%3.5%0.7%535.5K-9.3M-76.2K0.6899.025543761,5061,868
2016-12-29$205.91$200.0011.2%3.2%9.0%16.0%13.0%3.2%1.2%457.1K-7.4M-78.9K0.6791.275813891,5061,915
2016-12-30$204.76$200.0011.5%3.3%8.8%17.6%14.0%3.6%1.2%392.0K-6.8M-81.0K1.0499.274794991,5351,935