VOO Options History — January 2017

In January 2017, VOO traded between $206.44 and $210.68. ATM implied volatility averaged 9.0%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 1.1% (HV 20d: 7.9%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.03.

Notable Days

  • 2017-01-05: Highest Volume — 1,007 contracts
  • 2017-01-04: Largest IV drop — 36.0% change
  • 2017-01-19: Highest IV Rank — 22.0%
  • 2017-01-03: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$208.47$206.44$210.68$206.44$208.87
Max Pain$206.75$200.00$210.00$200.00$205.00
ATM IV9.0%7.0%11.5%11.5%8.9%
Expected Move2.7%2.0%3.3%3.3%2.6%
HV 20d7.9%6.8%9.4%9.2%6.9%
HV 60d8.7%8.5%9.0%8.9%8.6%
IV Rank10.1%0.0%22.0%17.4%10.0%
IV Percentile9.1%0.0%34.9%33.3%6.3%
Term Structure1.5%-4.1%3.3%2.2%1.3%
VWIV10.7%8.4%13.1%10.7%9.8%
Skew 25d2.9%-0.1%4.9%2.7%1.5%
Skew 10d6.0%1.5%11.6%5.8%2.5%
Call IV 25d9.0%7.6%10.9%10.4%9.6%
Put IV 25d11.9%10.2%13.1%13.1%11.0%
Bid-Ask Spread %92.5570.92112.6196.3295.61
Gamma HHI0.320.140.480.210.34
Net GEX1.3M-117.9K3.3M445.8K416.5K
Net DEX-10.8M-17.4M-547.3K-9.0M-3.3M
Net VEX-69.3K-78.8K-64.5K-78.5K-65.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.791.470.961.01
Total Volume744.054731,007917533
Total OI3,545.952,2484,3683,6342,701

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$206.44$200.0011.5%3.3%9.2%17.4%10.7%2.7%2.2%445.8K-9.0M-78.5K0.9696.324694481,5572,077
2017-01-04$208.08$200.007.3%2.1%9.4%0.0%8.4%2.8%2.2%1.5M-14.3M-68.6K1.1999.154144941,5872,102
2017-01-05$207.77$210.007.5%2.7%9.4%0.9%11.6%4.3%1.9%719.1K-12.4M-74.4K0.9170.925274801,6052,149
2017-01-06$208.89$210.009.5%2.9%8.4%10.6%11.7%3.4%1.4%1.1M-13.1M-78.8K0.9073.705164641,7392,156
2017-01-09$208.11$210.007.0%2.2%8.5%0.0%9.4%3.1%1.2%2.6M-17.4M-72.4K1.04105.254114261,8802,189
2017-01-10$208.15$210.008.7%2.8%8.3%8.5%11.0%3.7%1.6%1.9M-14.3M-74.3K0.8183.894943981,8892,189
2017-01-11$208.37$210.009.8%2.8%8.3%14.7%10.9%2.8%1.5%3.3M-17.2M-70.4K0.8283.464763892,0062,188
2017-01-12$208.03$210.009.7%2.8%7.7%14.3%10.3%2.7%1.3%2.4M-16.6M-67.0K0.9588.594083872,0292,216
2017-01-13$208.59$210.009.2%2.6%7.4%11.6%11.3%3.1%1.9%2.6M-15.3M-72.4K0.9888.994013952,0102,238
2017-01-17$207.64$210.009.8%2.8%7.6%14.4%12.3%1.8%2.5%2.7M-15.7M-66.1K0.9590.074113912,0302,259
2017-01-18$208.17$210.008.9%2.6%7.6%10.0%11.7%3.4%2.1%2.9M-16.3M-64.9K0.9285.694263922,0412,262
2017-01-19$207.39$205.0011.2%3.2%7.7%22.0%11.6%3.0%2.0%2.2M-13.4M-66.0K0.9489.844304032,0552,273
2017-01-20$207.96$205.008.2%2.4%7.6%6.3%11.5%4.9%3.3%66.6K-15.6M-64.5K0.9195.034644222,0912,277
2017-01-23$207.73$205.007.0%2.0%7.6%0.4%10.2%3.0%2.3%-31.8K-547.3K-64.7K1.4796.392032999661,282
2017-01-24$209.09$205.009.2%2.6%7.2%11.5%10.2%4.4%0.7%-117.9K-1.3M-65.4K0.7997.073182529761,377
2017-01-25$210.68$205.008.8%2.5%7.7%9.3%9.7%2.9%2.4%438.8K-5.1M-66.4K1.1494.802292601,1161,426
2017-01-26$210.48$205.008.9%2.6%7.6%10.2%10.5%3.0%2.8%509.0K-5.8M-68.8K1.34101.642022711,1761,465
2017-01-27$210.12$205.008.9%2.6%6.8%10.0%9.1%2.6%-0.6%555.0K-5.4M-70.6K1.42102.002022861,1901,482
2017-01-30$208.81$205.0010.7%3.1%7.3%19.4%13.1%-0.1%-4.1%436.0K-4.4M-66.8K1.26112.612172731,1901,478
2017-01-31$208.87$205.008.9%2.6%6.9%10.0%9.8%1.5%1.3%416.5K-3.3M-65.6K1.0195.612652681,2021,499