VOO Options History — February 2017

In February 2017, VOO traded between $209.08 and $217.72. ATM implied volatility averaged 9.6%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 3.4% (HV 20d: 6.1%). Max pain ranged from $205.00 to $210.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.29.

Notable Days

2017-02-27: Highest Volume — 841 contracts
2017-02-22: Largest IV spike — 43.0% change
2017-02-22: Highest IV Rank — 38.5%
2017-02-22: Largest Expected Move — 3.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$213.80	$209.08	$217.72	$209.12	$217.03
Max Pain	$208.42	$205.00	$210.00	$205.00	$210.00
ATM IV	9.6%	8.0%	13.5%	8.8%	11.8%
Expected Move	2.8%	2.4%	3.9%	2.5%	3.4%
HV 20d	6.1%	5.3%	6.5%	6.4%	5.3%
HV 60d	7.4%	7.2%	8.3%	8.3%	7.3%
IV Rank	14.6%	5.2%	38.5%	9.3%	28.3%
IV Percentile	17.8%	1.6%	73.4%	6.0%	56.3%
Term Structure	0.1%	-4.4%	1.4%	0.3%	-0.7%
VWIV	10.9%	9.2%	13.6%	11.0%	12.0%
Skew 25d	3.1%	1.4%	5.5%	3.4%	3.6%
Skew 10d	7.1%	3.5%	10.2%	7.3%	8.3%
Call IV 25d	8.5%	7.8%	9.8%	7.9%	9.7%
Put IV 25d	11.6%	9.8%	13.5%	11.3%	13.3%
Bid-Ask Spread %	93.86	80.21	105.76	100.83	92.66
Gamma HHI	0.34	0.17	0.57	0.43	0.30
Net GEX	1.1M	494.7K	1.9M	726.7K	1.4M
Net DEX	-12.6M	-18.9M	-3.3M	-3.5M	-15.3M
Net VEX	-60.3K	-69.4K	-49.6K	-68.5K	-66.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.29	0.55	2.32	0.98	2.03
Total Volume	524.632	395	841	514	813
Total OI	2,924.947	2,443	3,267	2,789	3,267

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-02-01	$209.12	$205.00	8.8%	2.5%	6.4%	9.3%	11.0%	3.4%	0.3%	726.7K	-3.5M	-68.5K	0.98	100.83	259	255	1,274	1,515
2017-02-02	$209.08	$210.00	9.2%	2.8%	5.8%	11.6%	10.7%	4.5%	0.4%	741.3K	-3.3M	-69.4K	1.03	80.21	250	258	1,301	1,520
2017-02-03	$210.73	$210.00	8.4%	2.8%	6.3%	7.5%	11.2%	3.6%	0.9%	1.1M	-7.9M	-65.6K	1.38	84.40	201	278	1,318	1,527
2017-02-06	$210.08	$210.00	8.0%	2.8%	6.2%	5.2%	11.4%	5.5%	0.0%	1.1M	-7.2M	-69.2K	1.20	87.57	199	238	1,340	1,565
2017-02-07	$210.15	$210.00	8.2%	2.8%	6.0%	6.4%	11.2%	3.8%	0.7%	1.3M	-7.8M	-63.9K	1.26	85.08	193	243	1,345	1,561
2017-02-08	$210.53	$210.00	9.8%	2.8%	6.0%	14.4%	10.2%	3.1%	0.7%	1.7M	-7.9M	-59.7K	1.11	97.19	218	243	1,349	1,573
2017-02-09	$211.77	$205.00	10.7%	3.1%	6.3%	19.4%	11.0%	4.2%	-0.5%	1.9M	-11.2M	-58.2K	1.16	94.71	211	244	1,387	1,562
2017-02-10	$212.56	$205.00	8.3%	2.4%	6.3%	7.3%	10.6%	2.8%	0.8%	1.2M	-12.9M	-58.2K	1.17	92.93	206	240	1,405	1,567
2017-02-13	$213.77	$205.00	8.7%	2.5%	6.5%	10.3%	10.1%	1.4%	1.4%	494.7K	-16.0M	-52.6K	1.21	99.55	199	240	1,428	1,572
2017-02-14	$214.47	$205.00	8.6%	2.5%	6.2%	9.6%	12.0%	3.1%	0.7%	609.9K	-16.5M	-49.6K	0.75	94.02	314	234	1,438	1,573
2017-02-15	$215.72	$205.00	9.8%	2.8%	6.3%	16.7%	9.9%	1.8%	-0.6%	816.3K	-17.5M	-53.9K	1.43	99.41	168	240	1,504	1,578
2017-02-16	$215.33	$210.00	9.2%	2.6%	6.2%	13.2%	10.1%	1.8%	0.8%	788.6K	-18.9M	-52.1K	1.76	96.34	143	252	1,514	1,574
2017-02-17	$215.61	$210.00	9.4%	2.7%	6.1%	14.0%	9.8%	2.3%	0.3%	726.1K	-17.5M	-57.3K	0.97	93.50	278	270	1,522	1,584
2017-02-21	$217.28	$210.00	9.5%	2.7%	6.4%	14.6%	9.2%	1.6%	0.4%	978.3K	-13.8M	-57.7K	0.55	93.25	384	210	1,244	1,199
2017-02-22	$216.97	$210.00	13.5%	3.9%	6.3%	38.5%	12.1%	1.4%	-4.4%	1.6M	-16.5M	-50.7K	1.00	105.76	260	259	1,482	1,228
2017-02-23	$217.01	$210.00	10.5%	3.0%	6.0%	20.9%	10.4%	3.2%	0.7%	1.4M	-14.8M	-65.5K	1.29	99.11	201	259	1,489	1,288
2017-02-24	$217.22	$210.00	10.3%	3.0%	5.9%	19.8%	10.9%	3.0%	0.1%	1.5M	-15.2M	-61.8K	1.99	92.68	223	444	1,503	1,345
2017-02-27	$217.72	$210.00	8.7%	2.5%	5.8%	10.4%	13.6%	4.2%	-0.1%	1.4M	-15.5M	-66.3K	2.32	94.06	253	588	1,515	1,618
2017-02-28	$217.03	$210.00	11.8%	3.4%	5.3%	28.3%	12.0%	3.6%	-0.7%	1.4M	-15.3M	-66.1K	2.03	92.66	268	545	1,560	1,707