VOO Options History — September 2017

In September 2017, VOO traded between $226.01 and $230.71. ATM implied volatility averaged 7.5%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded below realized volatility by 0.1% (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 20 of 20 days. Put/call ratio averaged 2.21.

Notable Days

2017-09-27: Highest Volume — 2,341 contracts
2017-09-05: Largest IV spike — 113.9% change
2017-09-05: Highest IV Rank — 35.3%
2017-09-05: Largest Expected Move — 3.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$228.93	$226.01	$230.71	$227.85	$230.69
Max Pain	$222.25	$220.00	$225.00	$225.00	$225.00
ATM IV	7.5%	5.0%	10.7%	5.0%	6.9%
Expected Move	2.2%	1.4%	3.1%	1.4%	2.0%
HV 20d	7.6%	6.0%	9.8%	9.3%	6.0%
HV 60d	7.4%	6.8%	7.8%	7.4%	6.8%
IV Rank	19.7%	7.5%	35.3%	7.5%	16.8%
IV Percentile	15.9%	0.4%	69.4%	0.4%	4.8%
Term Structure	2.1%	1.3%	3.8%	1.8%	1.6%
VWIV	10.4%	7.3%	17.3%	9.5%	7.3%
Skew 25d	4.1%	2.2%	6.8%	2.2%	2.3%
Skew 10d	8.5%	4.3%	12.4%	5.7%	4.3%
Call IV 25d	6.5%	4.2%	8.5%	6.2%	6.2%
Put IV 25d	10.6%	8.4%	14.3%	8.4%	8.5%
Bid-Ask Spread %	32.29	10.19	55.96	10.19	38.10
Gamma HHI	0.44	0.30	0.86	0.38	0.42
Net GEX	2.6M	1.1M	12.4M	2.1M	3.0M
Net DEX	-16.3M	-22.8M	-9.6M	-15.9M	-22.5M
Net VEX	-93.7K	-108.2K	-86.8K	-97.0K	-105.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.21	1.26	3.62	2.71	1.61
Total Volume	1,732.4	1,131	2,341	1,329	2,179
Total OI	4,789.15	4,375	5,233	4,459	5,233

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
2017-09-01	$227.85	$225.00	5.0%	1.4%	9.3%	7.5%	9.5%	2.2%	1.8%	2.1M	-15.9M	-97.0K	2.71	10.19	358	971	2,109	2,350
2017-09-05	$226.01	$220.00	10.7%	3.1%	9.7%	35.3%	17.3%	5.8%	1.6%	1.1M	-9.6M	-101.3K	2.33	33.29	358	833	2,122	2,339
2017-09-06	$226.79	$220.00	9.7%	2.9%	9.8%	30.1%	11.5%	5.3%	2.3%	1.4M	-12.9M	-95.6K	2.30	29.36	365	841	2,122	2,357
2017-09-07	$226.75	$220.00	9.8%	2.9%	9.7%	30.6%	12.3%	5.3%	2.2%	1.4M	-12.8M	-93.5K	3.62	33.58	365	1,321	2,142	2,360
2017-09-08	$226.49	$220.00	10.5%	3.0%	8.5%	34.1%	12.9%	5.3%	2.2%	1.1M	-11.6M	-96.4K	3.58	40.36	367	1,313	2,148	2,802
2017-09-11	$228.80	$220.00	6.7%	2.2%	9.2%	15.6%	11.7%	6.3%	3.3%	2.5M	-17.1M	-94.2K	3.36	29.21	368	1,236	2,152	2,808
2017-09-12	$229.62	$220.00	7.7%	2.2%	8.7%	20.4%	11.2%	6.8%	3.3%	3.1M	-20.3M	-92.2K	2.86	51.04	432	1,234	2,152	2,815
2017-09-13	$229.77	$220.00	7.3%	2.1%	8.7%	18.8%	10.0%	4.3%	3.4%	3.9M	-20.9M	-91.7K	2.47	38.50	503	1,243	2,185	2,813
2017-09-14	$229.66	$220.00	7.0%	2.0%	8.7%	17.2%	12.8%	4.4%	3.5%	4.7M	-19.5M	-94.3K	2.84	55.96	425	1,206	2,200	2,974
2017-09-15	$230.00	$220.00	6.7%	1.9%	6.9%	15.7%	8.4%	3.3%	3.8%	12.4M	-22.8M	-88.8K	1.84	43.54	606	1,114	2,251	2,974
2017-09-18	$230.52	$220.00	7.0%	2.0%	6.8%	17.0%	7.9%	3.3%	1.6%	1.4M	-18.0M	-92.3K	1.26	48.21	500	631	1,988	2,387
2017-09-19	$230.71	$220.00	7.0%	2.0%	6.8%	17.4%	9.3%	4.5%	1.4%	1.8M	-19.7M	-88.9K	1.72	28.86	692	1,190	2,117	2,403
2017-09-20	$229.75	$225.00	7.1%	2.0%	6.3%	17.7%	8.0%	3.5%	1.5%	1.5M	-14.4M	-89.3K	1.73	45.37	691	1,194	1,930	2,738
2017-09-21	$229.01	$225.00	6.7%	1.9%	6.3%	15.8%	7.6%	3.5%	1.5%	1.5M	-14.1M	-90.5K	1.74	19.67	691	1,204	1,944	2,749
2017-09-22	$229.24	$225.00	6.8%	1.9%	6.1%	15.9%	9.2%	2.9%	1.5%	1.5M	-13.8M	-88.5K	1.58	18.95	770	1,218	1,943	2,762
2017-09-25	$228.61	$225.00	6.9%	2.0%	6.2%	16.6%	11.5%	3.8%	1.3%	1.3M	-12.4M	-89.1K	1.64	22.82	743	1,222	1,957	2,753
2017-09-26	$228.71	$225.00	6.7%	1.9%	6.2%	15.6%	10.3%	3.8%	1.4%	1.3M	-13.0M	-89.6K	2.26	16.77	529	1,198	1,951	2,783
2017-09-27	$229.69	$225.00	7.2%	2.1%	6.3%	18.3%	9.8%	3.3%	1.5%	1.8M	-15.9M	-86.8K	1.26	18.61	1,038	1,303	1,963	2,776
2017-09-28	$229.85	$225.00	7.0%	2.0%	6.2%	17.2%	10.2%	3.1%	1.4%	2.3M	-18.8M	-108.2K	1.47	23.30	889	1,307	2,384	2,847
2017-09-29	$230.69	$225.00	6.9%	2.0%	6.0%	16.8%	7.3%	2.3%	1.6%	3.0M	-22.5M	-105.4K	1.61	38.10	836	1,343	2,396	2,837