VOO Options History — February 2018

In February 2018, VOO traded between $237.99 and $258.63. ATM implied volatility averaged 17.6%, placing in the 54.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 2.9% (HV 20d: 20.5%). Max pain ranged from $245.00 to $260.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.46.

Notable Days

2018-02-07: Highest Volume — 1,682 contracts
2018-02-05: Largest IV spike — 124.5% change
2018-02-02: Highest IV Rank — 100.0%
2018-02-08: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$248.60	$237.99	$258.63	$258.63	$249.90
Max Pain	$252.63	$245.00	$260.00	$260.00	$245.00
ATM IV	17.6%	11.5%	32.6%	11.5%	16.2%
Expected Move	4.8%	3.2%	7.2%	3.2%	4.6%
HV 20d	20.5%	8.1%	23.8%	8.1%	23.8%
HV 60d	13.1%	6.9%	14.9%	6.9%	14.9%
IV Rank	54.6%	32.1%	100.0%	79.3%	43.6%
IV Percentile	97.2%	93.7%	100.0%	94.4%	97.2%
Term Structure	-1.0%	-3.1%	-0.0%	-0.0%	-1.7%
VWIV	18.5%	13.0%	27.4%	13.0%	17.6%
Skew 25d	6.7%	3.9%	11.7%	4.0%	5.1%
Skew 10d	14.0%	8.9%	23.6%	8.9%	12.7%
Call IV 25d	14.5%	10.1%	21.0%	10.1%	14.7%
Put IV 25d	21.2%	14.1%	32.0%	14.1%	19.9%
Bid-Ask Spread %	74.61	60.80	89.38	68.81	85.66
Gamma HHI	0.15	0.08	0.24	0.16	0.15
Net GEX	1.7M	858.5K	2.9M	2.9M	1.7M
Net DEX	-20.0M	-32.1M	-4.3M	-32.1M	-23.4M
Net VEX	-124.7K	-142.0K	-111.9K	-111.9K	-120.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.30	0.59	0.41	0.57
Total Volume	1,244.053	915	1,682	1,075	985
Total OI	5,267.211	4,676	5,916	4,872	5,070

Daily Data (19 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
2018-02-01	$258.63	$260.00	11.5%	3.2%	8.1%	79.3%	13.0%	4.0%	-0.0%	2.9M	-32.1M	-111.9K	0.41	68.81	762	313	3,591	1,281
2018-02-02	$253.25	$260.00	14.5%	3.9%	11.4%	100.0%	13.1%	5.6%	-0.0%	2.1M	-22.5M	-120.5K	0.51	69.53	661	338	3,536	1,292
2018-02-05	$244.51	$260.00	32.6%	6.7%	16.9%	100.0%	20.5%	11.7%	-3.1%	1.2M	-10.8M	-134.7K	0.55	89.38	910	499	3,610	1,351
2018-02-06	$247.03	$255.00	29.8%	6.1%	17.3%	90.4%	22.7%	6.1%	-2.4%	1.9M	-15.8M	-142.0K	0.50	78.22	964	484	3,989	1,388
2018-02-07	$246.76	$255.00	17.4%	5.0%	17.3%	47.7%	19.3%	7.7%	-0.9%	2.0M	-16.3M	-135.1K	0.51	71.71	1,115	567	3,940	1,470
2018-02-08	$237.99	$255.00	25.0%	7.2%	21.3%	74.0%	27.4%	11.0%	-2.8%	858.5K	-4.3M	-129.3K	0.44	65.37	1,087	476	3,882	1,477
2018-02-09	$240.52	$255.00	22.5%	6.4%	21.6%	65.3%	25.5%	10.0%	-2.0%	1.0M	-7.3M	-132.7K	0.45	73.87	967	436	4,097	1,580
2018-02-12	$243.71	$255.00	17.7%	5.1%	22.1%	48.8%	22.0%	7.9%	-0.4%	1.3M	-12.3M	-134.7K	0.30	80.08	1,060	323	4,152	1,679
2018-02-13	$244.60	$250.00	17.3%	4.9%	22.2%	47.4%	20.6%	7.2%	-1.0%	1.7M	-13.8M	-126.8K	0.35	63.00	987	350	4,244	1,671
2018-02-14	$247.88	$250.00	14.0%	4.0%	22.6%	36.1%	18.1%	5.5%	-0.5%	1.9M	-21.2M	-116.4K	0.31	81.65	1,008	312	4,272	1,644
2018-02-15	$250.53	$250.00	15.3%	4.4%	23.0%	40.5%	16.7%	4.9%	-0.5%	1.8M	-27.4M	-128.5K	0.34	65.00	1,059	357	4,228	1,625
2018-02-16	$251.43	$250.00	15.4%	4.4%	23.0%	40.8%	14.6%	6.0%	-0.4%	1.7M	-31.3M	-124.8K	0.37	60.80	1,062	388	4,308	1,580
2018-02-20	$249.74	$250.00	15.5%	4.5%	22.8%	41.4%	16.2%	7.4%	-0.8%	1.7M	-20.8M	-118.2K	0.50	70.83	784	393	3,343	1,333
2018-02-21	$248.46	$250.00	15.3%	4.4%	22.7%	40.7%	16.8%	5.5%	-1.2%	1.5M	-19.9M	-119.6K	0.54	78.55	700	379	3,389	1,403
2018-02-22	$248.49	$250.00	14.8%	4.2%	22.7%	38.9%	19.2%	7.4%	-0.6%	1.4M	-19.0M	-119.4K	0.53	74.06	688	362	3,432	1,409
2018-02-23	$252.26	$250.00	13.8%	3.9%	23.6%	35.4%	15.4%	4.9%	-0.1%	1.8M	-24.0M	-112.8K	0.59	79.13	576	339	3,451	1,447
2018-02-26	$255.12	$250.00	12.8%	3.7%	23.6%	32.1%	15.2%	3.9%	-0.1%	2.5M	-30.5M	-115.6K	0.53	80.19	631	334	3,472	1,448
2018-02-27	$252.64	$250.00	13.9%	4.0%	23.8%	35.9%	16.7%	5.6%	-0.4%	2.2M	-27.6M	-124.7K	0.53	81.77	641	340	3,519	1,474
2018-02-28	$249.90	$245.00	16.2%	4.6%	23.8%	43.6%	17.6%	5.1%	-1.7%	1.7M	-23.4M	-120.6K	0.57	85.66	629	356	3,577	1,493