VOO Options History — May 2017

In May 2017, VOO traded between $216.90 and $222.06. ATM implied volatility averaged 8.7%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 1.6% (HV 20d: 7.1%). Max pain ranged from $210.00 to $215.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.29.

Notable Days

  • 2017-05-19: Highest Volume — 1,099 contracts
  • 2017-05-17: Largest IV spike — 46.0% change
  • 2017-05-17: Highest IV Rank — 33.0%
  • 2017-05-17: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$219.89$216.90$222.06$219.41$221.67
Max Pain$212.73$210.00$215.00$215.00$215.00
ATM IV8.7%7.3%12.6%7.5%9.4%
Expected Move2.6%2.1%3.6%2.1%2.7%
HV 20d7.1%6.4%8.8%6.8%7.4%
HV 60d7.3%7.0%7.8%7.4%7.0%
IV Rank10.3%1.7%33.0%3.0%14.4%
IV Percentile17.6%0.8%77.4%1.2%30.2%
Term Structure0.6%-0.5%1.4%1.2%0.0%
VWIV9.9%7.0%14.1%8.5%7.6%
Skew 25d3.7%2.6%7.1%4.8%3.6%
Skew 10d7.8%5.9%13.7%9.0%7.4%
Call IV 25d7.5%6.3%9.4%6.3%7.4%
Put IV 25d11.2%9.9%14.9%11.0%11.1%
Bid-Ask Spread %71.3246.7391.0990.9752.00
Gamma HHI0.490.190.720.540.30
Net GEX3.0M731.9K6.6M2.6M2.3M
Net DEX-10.8M-15.6M-4.3M-10.0M-12.0M
Net VEX-82.4K-88.2K-78.0K-83.4K-83.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.602.231.840.97
Total Volume706.0915611,099593809
Total OI3,401.3643,0504,0113,0503,518

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$219.41$215.007.5%2.1%6.8%3.0%8.5%4.8%1.2%2.6M-10.0M-83.4K1.8490.972093841,5941,456
2017-05-02$219.02$215.007.8%2.2%6.7%5.0%8.4%3.5%1.1%2.8M-9.6M-82.8K1.8091.092133841,6091,455
2017-05-03$218.98$215.007.8%2.2%6.7%4.6%9.5%3.6%1.4%2.8M-9.1M-83.3K1.9288.741953751,6261,455
2017-05-04$219.11$210.007.8%2.6%6.6%4.8%11.0%3.6%0.6%2.9M-9.7M-82.8K2.1575.272044391,6421,466
2017-05-05$219.82$210.008.2%2.6%6.7%7.4%12.2%3.4%0.6%2.8M-11.4M-82.9K2.2370.991864151,6651,540
2017-05-08$219.78$210.007.3%2.5%6.7%1.7%11.3%3.1%0.6%3.5M-12.2M-79.9K1.5178.502423661,6761,547
2017-05-09$219.62$210.007.5%2.5%6.7%3.0%10.8%2.6%0.5%3.8M-13.3M-78.8K1.4883.932623881,7371,525
2017-05-10$220.10$210.009.0%2.6%6.6%12.0%12.7%3.6%0.5%3.9M-13.7M-82.5K1.5479.382483831,7821,552
2017-05-11$219.80$210.008.9%2.6%6.5%11.4%10.8%3.2%0.8%4.2M-13.1M-80.2K1.4869.272563801,7971,558
2017-05-12$219.29$210.008.6%2.5%6.4%9.2%11.1%3.1%0.9%4.6M-12.5M-79.1K1.2865.473194071,7951,561
2017-05-15$220.46$210.008.7%2.5%6.5%10.4%10.2%3.1%0.7%6.1M-15.5M-79.3K1.0371.272772841,8561,693
2017-05-16$220.41$210.008.6%2.5%6.5%9.8%11.5%3.0%0.8%6.6M-15.6M-78.0K1.0279.952832901,8891,693
2017-05-17$216.90$210.0012.6%3.6%8.8%33.0%14.1%5.5%-0.5%1.8M-5.6M-80.9K1.0070.724634631,9011,720
2017-05-18$217.69$215.009.9%2.8%8.1%17.2%9.5%7.1%0.3%1.9M-4.3M-83.7K0.8267.324733891,9901,958
2017-05-19$218.58$215.009.1%2.6%8.1%12.4%9.4%3.9%0.7%731.9K-6.1M-81.8K0.6064.786854142,0281,983
2017-05-22$219.96$215.008.7%2.5%7.6%10.4%9.1%3.9%0.8%1.4M-7.6M-84.6K0.8546.734073441,6771,586
2017-05-23$220.23$215.008.7%2.5%7.3%10.2%10.3%3.5%0.6%1.7M-9.0M-88.2K0.9766.763443341,7921,595
2017-05-24$220.87$215.008.6%2.5%7.4%9.7%8.9%3.9%0.4%1.8M-9.5M-86.6K0.9275.633743451,8071,613
2017-05-25$222.06$215.009.1%2.6%7.6%12.4%7.5%2.8%0.5%2.1M-12.3M-87.0K0.9760.073903771,8491,613
2017-05-26$221.93$215.008.9%2.6%7.5%11.3%7.0%3.6%0.4%2.5M-13.7M-81.5K0.9357.484023721,9281,581
2017-05-30$221.93$215.009.3%2.7%7.4%14.0%7.3%2.9%0.2%2.5M-12.7M-83.2K0.9762.773853751,9401,582
2017-05-31$221.67$215.009.4%2.7%7.4%14.4%7.6%3.6%0.0%2.3M-12.0M-83.2K0.9752.004103991,9391,579