VOO Options History — April 2017

In April 2017, VOO traded between $213.93 and $219.16. ATM implied volatility averaged 10.0%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 3.6% (HV 20d: 6.4%). Max pain ranged from $210.00 to $215.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 2.70.

Notable Days

2017-04-06: Highest Volume — 1,146 contracts
2017-04-24: Largest IV drop — 36.8% change
2017-04-17: Highest IV Rank — 33.4%
2017-04-17: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$216.24	$213.93	$219.16	$216.12	$218.53
Max Pain	$214.47	$210.00	$215.00	$215.00	$215.00
ATM IV	10.0%	7.5%	12.7%	9.6%	7.7%
Expected Move	3.0%	2.2%	3.6%	2.8%	2.2%
HV 20d	6.4%	4.3%	7.2%	7.2%	6.7%
HV 60d	7.2%	7.0%	7.5%	7.2%	7.4%
IV Rank	17.8%	3.2%	33.4%	15.5%	4.1%
IV Percentile	33.6%	1.2%	73.8%	22.2%	2.4%
Term Structure	0.5%	-0.5%	1.7%	1.1%	1.2%
VWIV	12.6%	8.2%	17.4%	11.8%	8.2%
Skew 25d	4.8%	2.5%	6.5%	3.7%	4.7%
Skew 10d	9.5%	3.5%	13.4%	4.4%	8.9%
Call IV 25d	8.5%	6.1%	10.8%	7.9%	6.1%
Put IV 25d	13.3%	9.9%	16.5%	11.7%	10.7%
Bid-Ask Spread %	80.40	66.27	96.66	93.56	89.01
Gamma HHI	0.44	0.30	0.56	0.48	0.49
Net GEX	1.3M	246.9K	2.4M	1.4M	2.1M
Net DEX	-6.7M	-9.2M	-2.0M	-7.8M	-7.9M
Net VEX	-87.2K	-95.2K	-80.9K	-95.2K	-84.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.70	1.87	3.13	3.13	1.87
Total Volume	922.316	565	1,146	1,135	589
Total OI	7,635.421	2,791	9,494	9,156	2,982

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
2017-04-03	$216.12	$215.00	9.6%	2.8%	7.2%	15.5%	11.8%	3.7%	1.1%	1.4M	-7.8M	-95.2K	3.13	93.56	275	860	2,078	7,078
2017-04-04	$216.13	$215.00	9.0%	2.6%	7.0%	12.2%	10.8%	2.5%	1.7%	1.4M	-7.8M	-93.7K	2.91	89.69	288	838	2,088	7,085
2017-04-05	$215.86	$215.00	9.8%	2.8%	7.0%	16.7%	10.7%	2.6%	1.0%	1.3M	-7.9M	-92.1K	3.05	96.66	271	827	2,085	7,096
2017-04-06	$216.02	$215.00	9.5%	3.1%	7.0%	14.7%	11.9%	4.4%	0.7%	1.3M	-7.3M	-91.8K	2.48	76.58	329	817	2,093	7,118
2017-04-07	$215.98	$215.00	9.4%	3.2%	7.0%	14.1%	13.6%	5.3%	0.8%	1.8M	-9.1M	-92.4K	2.61	73.89	297	776	2,146	7,120
2017-04-10	$216.05	$215.00	9.4%	3.4%	6.9%	14.0%	14.2%	5.9%	0.3%	1.7M	-9.2M	-90.3K	2.39	74.21	311	742	2,163	7,117
2017-04-11	$215.42	$215.00	9.6%	3.5%	6.9%	15.4%	12.9%	6.3%	-0.2%	1.3M	-7.0M	-88.5K	1.99	69.28	337	672	2,184	7,127
2017-04-12	$214.78	$215.00	12.4%	3.6%	5.8%	32.0%	17.4%	5.7%	-0.3%	1.1M	-5.6M	-87.9K	2.87	66.90	263	755	2,185	7,160
2017-04-13	$213.99	$215.00	12.3%	3.5%	5.8%	31.4%	17.2%	5.5%	-0.3%	445.8K	-2.1M	-89.3K	2.98	66.27	256	763	2,184	7,270
2017-04-17	$213.93	$215.00	12.7%	3.6%	5.8%	33.4%	17.0%	6.1%	-0.5%	417.3K	-2.0M	-85.5K	3.02	75.42	253	763	2,191	7,285
2017-04-18	$214.82	$215.00	11.8%	3.4%	6.1%	28.6%	13.7%	5.9%	0.2%	611.8K	-3.5M	-83.5K	2.89	70.69	262	757	2,190	7,287
2017-04-19	$214.07	$215.00	11.9%	3.4%	4.3%	28.7%	14.2%	4.8%	0.1%	341.9K	-3.0M	-81.9K	2.73	74.86	232	634	2,154	7,272
2017-04-20	$216.32	$210.00	11.8%	3.4%	5.7%	28.4%	13.9%	6.5%	0.1%	938.1K	-8.9M	-85.8K	3.09	72.82	217	671	2,160	7,275
2017-04-21	$215.63	$210.00	11.9%	3.4%	5.7%	28.8%	13.5%	5.1%	0.1%	246.9K	-7.4M	-83.5K	2.62	78.55	287	751	2,173	7,321
2017-04-24	$217.80	$215.00	7.5%	2.2%	6.7%	3.2%	10.4%	4.2%	1.1%	1.9M	-5.6M	-80.9K	2.86	83.41	152	435	1,415	1,376
2017-04-25	$219.16	$215.00	8.2%	2.3%	7.0%	7.0%	9.5%	3.6%	1.0%	2.2M	-8.3M	-82.3K	2.79	92.21	168	469	1,440	1,369
2017-04-26	$219.03	$215.00	8.0%	2.3%	6.6%	6.2%	10.0%	4.1%	1.0%	2.2M	-8.8M	-83.4K	2.78	91.09	170	472	1,477	1,401
2017-04-27	$218.99	$215.00	7.6%	2.2%	6.6%	4.0%	8.2%	3.9%	1.2%	2.4M	-8.8M	-83.2K	2.17	92.44	178	387	1,505	1,423
2017-04-28	$218.53	$215.00	7.7%	2.2%	6.7%	4.1%	8.2%	4.7%	1.2%	2.1M	-7.9M	-84.9K	1.87	89.01	205	384	1,533	1,449