VOO Options History — December 2017

In December 2017, VOO traded between $241.72 and $247.56. ATM implied volatility averaged 8.0%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 1.6% (HV 20d: 6.4%). Max pain ranged from $230.00 to $240.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.29.

Notable Days

2017-12-22: Highest Volume — 2,341 contracts
2017-12-07: Largest IV drop — 20.5% change
2017-12-05: Highest IV Rank — 63.9%
2017-12-05: Largest Expected Move — 2.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$244.90	$241.72	$247.56	$242.90	$245.36
Max Pain	$231.75	$230.00	$240.00	$240.00	$235.00
ATM IV	8.0%	6.9%	10.0%	8.9%	7.6%
Expected Move	2.3%	2.0%	2.8%	2.5%	2.2%
HV 20d	6.4%	5.6%	6.8%	6.4%	5.6%
HV 60d	5.2%	5.0%	5.4%	5.2%	5.4%
IV Rank	44.5%	33.7%	63.9%	50.3%	40.8%
IV Percentile	35.7%	7.5%	82.5%	56.7%	26.2%
Term Structure	1.6%	-0.5%	3.1%	-0.5%	0.9%
VWIV	11.1%	7.6%	13.8%	11.1%	10.1%
Skew 25d	3.2%	2.4%	4.5%	3.4%	2.9%
Skew 10d	6.5%	4.1%	9.5%	6.6%	5.8%
Call IV 25d	7.1%	6.4%	9.0%	9.0%	6.8%
Put IV 25d	10.3%	9.2%	12.7%	12.3%	9.7%
Bid-Ask Spread %	66.61	17.83	95.29	95.29	79.17
Gamma HHI	0.30	0.22	0.55	0.25	0.29
Net GEX	1.8M	824.1K	2.8M	1.4M	1.9M
Net DEX	-31.1M	-41.2M	-21.6M	-26.7M	-25.2M
Net VEX	-74.8K	-90.5K	-59.1K	-90.5K	-71.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.29	0.34	2.22	2.04	0.51
Total Volume	1,245.95	803	2,341	930	1,549
Total OI	4,116.3	3,500	4,792	3,734	4,538

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
2017-12-01	$242.90	$240.00	8.9%	2.5%	6.4%	50.3%	11.1%	3.4%	-0.5%	1.4M	-26.7M	-90.5K	2.04	95.29	306	624	1,937	1,797
2017-12-04	$242.81	$230.00	9.7%	2.4%	6.4%	59.4%	13.6%	4.5%	1.6%	913.4K	-26.1M	-90.2K	1.58	71.33	361	570	1,959	1,947
2017-12-05	$241.88	$230.00	10.0%	2.8%	6.7%	63.9%	11.8%	4.4%	1.9%	876.4K	-26.1M	-86.0K	1.67	65.19	347	581	1,984	1,946
2017-12-06	$241.72	$230.00	9.6%	2.8%	6.6%	60.1%	12.9%	3.8%	2.1%	824.1K	-25.8M	-87.0K	1.65	71.27	353	581	1,979	1,953
2017-12-07	$242.55	$230.00	7.7%	2.2%	6.7%	40.9%	13.8%	3.9%	2.5%	994.4K	-26.7M	-84.6K	1.96	55.10	295	577	1,978	1,954
2017-12-08	$243.69	$230.00	7.2%	2.1%	6.6%	36.3%	12.1%	3.4%	2.9%	1.4M	-32.3M	-71.5K	2.15	55.45	255	548	1,989	1,957
2017-12-11	$244.64	$230.00	7.8%	2.1%	6.7%	42.7%	8.9%	3.5%	2.6%	1.7M	-34.2M	-65.9K	2.05	27.65	273	560	2,001	1,953
2017-12-12	$245.13	$230.00	8.7%	2.1%	6.7%	50.6%	12.5%	2.9%	2.7%	2.2M	-36.6M	-66.4K	2.22	64.06	255	566	2,052	1,937
2017-12-13	$245.00	$230.00	7.5%	2.1%	6.6%	39.3%	13.8%	3.5%	2.5%	2.7M	-34.7M	-74.2K	1.63	83.39	352	573	2,078	1,938
2017-12-14	$244.16	$230.00	7.3%	2.1%	6.3%	37.9%	9.5%	2.4%	2.5%	2.8M	-35.2M	-63.7K	1.70	82.36	348	591	2,116	1,940
2017-12-15	$245.87	$230.00	7.1%	2.0%	6.1%	36.1%	10.2%	2.6%	3.1%	1.2M	-41.2M	-59.1K	1.42	86.91	429	609	2,141	1,965
2017-12-18	$247.56	$230.00	6.9%	2.0%	6.1%	33.7%	10.6%	2.8%	0.6%	1.2M	-35.5M	-60.5K	1.27	75.95	370	471	1,879	1,621
2017-12-19	$246.83	$230.00	8.1%	2.3%	6.4%	46.3%	7.6%	2.6%	0.5%	1.3M	-35.7M	-61.0K	0.42	80.65	1,232	518	1,927	1,674
2017-12-20	$246.67	$230.00	7.5%	2.2%	6.2%	40.2%	10.3%	3.0%	1.1%	2.6M	-36.1M	-83.4K	0.58	89.39	950	549	2,846	1,712
2017-12-21	$247.03	$230.00	7.5%	2.2%	6.2%	40.4%	11.2%	2.7%	1.3%	2.7M	-36.9M	-82.8K	1.17	84.13	534	627	2,944	1,737
2017-12-22	$246.88	$235.00	7.6%	2.2%	6.2%	41.5%	13.8%	2.8%	1.2%	2.5M	-34.0M	-76.1K	0.34	83.02	1,748	593	2,935	1,857
2017-12-26	$245.42	$235.00	7.8%	2.2%	6.8%	43.2%	9.3%	2.9%	0.9%	1.9M	-21.6M	-71.5K	0.40	42.47	1,471	592	2,516	1,862
2017-12-27	$245.67	$235.00	7.9%	2.3%	6.2%	44.0%	10.0%	3.3%	1.1%	2.3M	-25.9M	-74.5K	0.38	21.48	1,419	541	2,573	1,798
2017-12-28	$246.15	$235.00	7.8%	2.2%	6.2%	43.4%	8.9%	3.3%	1.0%	2.5M	-26.2M	-75.2K	0.64	17.83	1,098	703	2,611	1,795
2017-12-29	$245.36	$235.00	7.6%	2.2%	5.6%	40.8%	10.1%	2.9%	0.9%	1.9M	-25.2M	-71.3K	0.51	79.17	1,026	523	2,675	1,863