VOO Options History — July 2017

In July 2017, VOO traded between $220.88 and $227.19. ATM implied volatility averaged 8.3%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 0.7% (HV 20d: 7.6%). Max pain ranged from $220.00 to $225.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.83.

Notable Days

2017-07-05: Highest Volume — 1,268 contracts
2017-07-11: Largest IV spike — 54.6% change
2017-07-06: Highest IV Rank — 24.5%
2017-07-06: Largest Expected Move — 3.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$225.09	$220.88	$227.19	$222.55	$227.02
Max Pain	$221.50	$220.00	$225.00	$220.00	$225.00
ATM IV	8.3%	6.7%	10.9%	7.8%	8.5%
Expected Move	2.4%	2.0%	3.0%	2.2%	2.4%
HV 20d	7.6%	6.1%	8.5%	6.9%	6.1%
HV 60d	7.2%	6.9%	7.6%	7.1%	6.9%
IV Rank	9.2%	0.1%	24.5%	6.6%	10.5%
IV Percentile	21.1%	0.4%	71.0%	10.7%	25.4%
Term Structure	1.2%	-0.5%	2.1%	0.6%	-0.5%
VWIV	8.3%	5.5%	12.7%	12.7%	5.6%
Skew 25d	3.6%	2.8%	4.9%	3.4%	3.4%
Skew 10d	7.8%	5.7%	10.3%	8.3%	7.1%
Call IV 25d	6.7%	5.3%	8.4%	7.4%	6.2%
Put IV 25d	10.3%	8.3%	13.2%	10.8%	9.6%
Bid-Ask Spread %	48.86	23.47	101.06	81.24	23.47
Gamma HHI	0.47	0.30	0.77	0.36	0.34
Net GEX	3.0M	1.2M	5.8M	2.5M	1.6M
Net DEX	-15.2M	-25.5M	-8.2M	-11.5M	-11.6M
Net VEX	-69.4K	-75.6K	-62.9K	-75.6K	-71.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.69	0.98	0.98	0.73
Total Volume	990.6	672	1,268	1,151	772
Total OI	3,683.35	2,349	4,354	3,927	2,653

Daily Data (20 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
2017-07-03	$222.55	$220.00	7.8%	2.2%	6.9%	6.6%	12.7%	3.4%	0.6%	2.5M	-11.5M	-75.6K	0.98	81.24	580	571	2,173	1,754
2017-07-05	$223.07	$220.00	7.1%	2.0%	6.9%	2.6%	9.9%	3.9%	1.0%	2.6M	-11.5M	-74.5K	0.82	101.06	697	571	2,203	1,761
2017-07-06	$220.88	$220.00	10.9%	3.0%	7.6%	24.5%	10.5%	4.9%	1.4%	2.3M	-8.2M	-74.0K	0.84	36.47	681	574	2,331	1,761
2017-07-07	$222.48	$220.00	9.6%	3.0%	8.1%	17.0%	7.9%	4.9%	1.3%	3.1M	-10.5M	-74.7K	0.86	32.39	547	473	2,329	1,777
2017-07-10	$222.87	$220.00	6.7%	2.3%	8.1%	0.1%	7.2%	4.7%	1.8%	3.6M	-11.9M	-71.8K	0.78	35.62	569	446	2,338	1,782
2017-07-11	$222.45	$220.00	10.4%	3.0%	8.1%	21.2%	9.2%	4.8%	0.8%	3.3M	-11.3M	-69.0K	0.69	36.82	585	403	2,363	1,783
2017-07-12	$224.19	$220.00	7.9%	2.3%	8.3%	7.0%	8.6%	3.5%	1.9%	4.6M	-16.2M	-70.9K	0.83	35.90	580	484	2,401	1,781
2017-07-13	$224.50	$220.00	7.7%	2.2%	8.3%	6.1%	8.8%	3.1%	2.0%	5.0M	-17.4M	-70.1K	0.96	44.90	580	557	2,413	1,881
2017-07-14	$225.75	$220.00	7.8%	2.2%	8.5%	6.2%	7.8%	3.5%	2.1%	4.8M	-21.5M	-68.3K	0.84	43.52	645	545	2,413	1,882
2017-07-17	$225.49	$220.00	7.7%	2.2%	8.5%	5.7%	10.1%	3.3%	2.1%	5.5M	-20.1M	-66.2K	0.89	48.75	534	474	2,377	1,882
2017-07-18	$225.61	$220.00	7.8%	2.2%	7.9%	6.4%	9.8%	3.2%	2.0%	5.8M	-20.4M	-65.5K	0.98	36.04	481	471	2,399	1,887
2017-07-19	$226.78	$220.00	8.4%	2.4%	7.8%	9.8%	9.4%	3.3%	1.6%	3.9M	-23.3M	-62.9K	0.94	24.69	529	496	2,409	1,885
2017-07-20	$226.98	$220.00	8.2%	2.4%	7.8%	9.0%	8.5%	3.0%	1.7%	3.5M	-25.5M	-67.1K	0.88	73.04	575	505	2,470	1,884
2017-07-21	$226.54	$220.00	8.0%	2.3%	7.8%	7.6%	7.8%	2.8%	1.9%	1.5M	-24.4M	-64.5K	0.87	48.08	613	535	2,424	1,890
2017-07-24	$226.80	$225.00	7.9%	2.3%	7.6%	7.1%	7.5%	3.0%	0.4%	1.2M	-11.1M	-66.0K	0.80	33.86	373	299	1,520	829
2017-07-25	$227.19	$225.00	8.1%	2.3%	7.6%	8.1%	6.7%	2.8%	0.5%	1.3M	-11.8M	-67.6K	0.77	39.13	412	318	1,542	864
2017-07-26	$227.07	$225.00	7.9%	2.3%	7.2%	6.8%	5.5%	3.0%	-0.1%	1.4M	-12.1M	-67.7K	0.76	67.88	426	322	1,576	896
2017-07-27	$226.71	$225.00	8.6%	2.5%	6.9%	11.2%	6.3%	3.7%	0.1%	1.5M	-11.5M	-68.3K	0.71	77.55	456	325	1,631	908
2017-07-28	$226.85	$225.00	8.4%	2.4%	6.2%	10.1%	5.8%	3.9%	0.4%	1.5M	-12.0M	-72.2K	0.71	56.83	472	336	1,685	930
2017-07-31	$227.02	$225.00	8.5%	2.4%	6.1%	10.5%	5.6%	3.4%	-0.5%	1.6M	-11.6M	-71.8K	0.73	23.47	447	325	1,702	951