VOO Options History — June 2017

In June 2017, VOO traded between $221.92 and $225.63. ATM implied volatility averaged 7.8%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 0.9% (HV 20d: 6.8%). Max pain ranged from $215.00 to $220.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.14.

Notable Days

  • 2017-06-30: Highest Volume — 1,177 contracts
  • 2017-06-29: Largest IV spike — 54.6% change
  • 2017-06-29: Highest IV Rank — 23.1%
  • 2017-06-29: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$223.63$221.92$225.63$223.08$222.80
Max Pain$216.14$215.00$220.00$215.00$220.00
ATM IV7.8%6.7%10.7%6.8%7.0%
Expected Move2.2%1.9%3.1%1.9%2.0%
HV 20d6.8%5.0%8.0%7.7%6.9%
HV 60d6.8%6.3%7.1%7.1%7.1%
IV Rank5.9%0.0%23.1%0.0%2.2%
IV Percentile9.1%0.0%63.1%0.0%2.4%
Term Structure1.8%-0.1%3.4%0.7%1.3%
VWIV10.6%7.8%13.6%7.9%11.1%
Skew 25d4.1%2.9%4.9%3.8%3.7%
Skew 10d8.3%6.5%10.0%7.8%7.2%
Call IV 25d6.9%5.6%7.5%6.8%6.6%
Put IV 25d11.0%9.7%12.3%10.6%10.3%
Bid-Ask Spread %61.6933.8786.1433.8769.60
Gamma HHI0.320.260.370.320.34
Net GEX2.6M2.1M2.9M2.8M2.5M
Net DEX-15.1M-18.5M-10.4M-15.9M-11.4M
Net VEX-77.8K-81.2K-74.2K-81.2K-76.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.581.701.250.91
Total Volume872.1827241,1777571,177
Total OI3,669.7273,3793,9243,5633,924

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$223.08$215.006.8%1.9%7.7%0.0%7.9%3.8%0.7%2.8M-15.9M-81.2K1.2533.873374201,9701,593
2017-06-02$224.09$215.007.3%2.1%7.8%3.1%7.8%3.9%0.2%2.9M-18.5M-78.9K1.2150.383494241,9771,611
2017-06-05$224.08$215.007.5%2.2%7.7%4.6%9.2%4.1%3.1%2.7M-18.2M-76.9K1.1152.913533911,9791,649
2017-06-06$223.39$215.008.6%2.3%7.9%10.5%10.4%4.2%2.8%2.5M-16.4M-79.4K1.1855.883414011,9931,664
2017-06-07$223.92$215.008.5%2.3%7.9%9.9%10.4%4.4%2.8%2.4M-16.7M-79.6K1.2158.193303992,0021,668
2017-06-08$223.72$215.008.0%2.3%7.9%7.0%9.8%4.3%3.1%2.7M-17.1M-78.5K1.2051.453384052,0081,675
2017-06-09$223.15$215.008.3%2.3%7.9%9.0%11.3%4.5%2.5%2.7M-15.9M-78.7K1.4265.323364772,0181,680
2017-06-12$223.03$215.007.6%2.2%7.9%5.0%13.6%4.7%3.0%2.7M-14.1M-77.2K1.7061.692854852,0161,758
2017-06-13$224.42$215.007.9%2.1%7.9%6.7%13.1%4.6%3.2%2.9M-17.7M-76.4K1.4258.663184532,0181,779
2017-06-14$224.02$215.007.5%2.1%8.0%4.1%12.5%4.3%3.0%2.7M-17.6M-78.7K1.2079.333564262,0291,753
2017-06-15$223.62$215.007.3%2.1%5.0%3.4%11.7%4.2%3.2%2.8M-16.5M-78.0K1.3566.073134232,0591,758
2017-06-16$223.66$215.007.1%2.0%5.0%2.2%8.2%4.5%3.4%2.1M-15.5M-77.1K1.0163.694634662,0701,764
2017-06-19$225.63$215.007.7%2.2%5.6%5.6%10.2%2.9%1.0%2.5M-16.0M-74.2K1.3659.403074171,8371,542
2017-06-20$224.34$215.007.7%2.2%5.9%5.5%10.9%4.2%0.8%2.3M-14.2M-80.8K1.3771.433184351,8901,548
2017-06-21$224.15$215.007.5%2.2%5.9%4.4%11.6%3.9%0.9%2.5M-13.9M-81.1K1.3481.353404541,8831,563
2017-06-22$224.17$215.007.3%2.1%5.9%3.3%9.7%3.7%0.9%2.8M-15.1M-75.3K0.9865.764464381,9021,584
2017-06-23$223.22$215.007.0%2.0%5.8%1.2%10.5%3.5%1.1%2.5M-14.0M-78.1K0.5870.347334221,9131,587
2017-06-26$223.60$220.006.7%1.9%5.9%0.0%9.3%4.1%1.3%2.7M-13.7M-76.2K0.7745.755974582,1001,572
2017-06-27$222.15$220.009.7%2.8%6.3%17.2%11.4%3.9%0.5%2.4M-10.4M-75.0K0.8251.905954862,1511,602
2017-06-28$223.61$220.006.9%2.0%6.7%1.4%9.7%4.3%1.1%2.8M-13.6M-76.9K0.8558.005965052,1561,661
2017-06-29$221.92$220.0010.7%3.1%6.9%23.1%12.7%4.9%-0.1%2.4M-10.4M-77.9K0.9386.146095662,1711,657
2017-06-30$222.80$220.007.0%2.0%6.9%2.2%11.1%3.7%1.3%2.5M-11.4M-76.2K0.9169.606155622,1701,754