VOO Options History — August 2017

In August 2017, VOO traded between $223.21 and $227.61. ATM implied volatility averaged 9.2%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 2.4% (HV 20d: 6.8%). Max pain ranged from $220.00 to $230.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.51.

Notable Days

  • 2017-08-18: Highest Volume — 1,505 contracts
  • 2017-08-08: Largest IV spike — 172.7% change
  • 2017-08-11: Highest IV Rank — 40.3%
  • 2017-08-11: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$225.67$223.21$227.61$227.10$227.29
Max Pain$224.35$220.00$230.00$225.00$225.00
ATM IV9.2%3.5%11.8%8.1%9.2%
Expected Move2.7%1.4%3.4%2.3%2.6%
HV 20d6.8%3.3%9.2%6.0%9.2%
HV 60d7.0%6.5%7.4%6.9%7.4%
IV Rank25.4%0.0%40.3%8.0%27.8%
IV Percentile43.4%0.0%77.8%18.7%41.7%
Term Structure0.8%-0.0%1.7%0.2%1.2%
VWIV11.0%3.4%20.3%5.2%8.9%
Skew 25d4.7%2.6%7.2%3.1%2.6%
Skew 10d9.3%5.7%15.9%6.4%5.8%
Call IV 25d7.2%3.0%9.3%5.8%7.2%
Put IV 25d11.9%8.6%16.5%8.9%9.7%
Bid-Ask Spread %41.4516.8975.0930.5320.13
Gamma HHI0.260.170.370.350.32
Net GEX1.1M210.4K1.8M1.7M1.7M
Net DEX-9.4M-14.2M-2.8M-12.6M-14.2M
Net VEX-88.3K-106.7K-69.5K-69.5K-98.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.632.500.732.50
Total Volume1,138.2616881,5057721,290
Total OI3,636.3482,6754,4352,6754,435

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$227.10$225.008.1%2.3%6.0%8.0%5.2%3.1%0.2%1.7M-12.6M-69.5K0.7330.534473251,708967
2017-08-02$227.12$225.008.2%2.3%6.0%8.7%3.4%5.6%0.4%1.7M-12.9M-71.6K0.6749.825073391,708979
2017-08-03$226.80$230.007.9%2.5%4.6%7.2%7.3%4.3%1.7%1.6M-11.8M-70.9K0.7645.224383341,715994
2017-08-04$227.09$230.008.0%2.5%4.1%7.6%9.7%4.5%1.7%1.6M-12.3M-69.8K0.8138.354033251,7191,004
2017-08-07$227.61$230.003.5%1.4%4.1%0.0%9.7%4.7%1.6%1.8M-13.0M-70.1K0.7632.514403361,7431,007
2017-08-08$227.12$230.009.5%2.8%4.1%29.3%11.1%5.0%0.6%1.6M-11.7M-72.0K0.6356.554212671,7521,022
2017-08-09$226.98$230.0010.5%3.0%3.3%34.1%12.6%5.6%0.7%1.3M-10.4M-78.8K1.9450.894919541,7611,250
2017-08-10$224.07$230.0011.3%3.2%5.8%37.8%20.3%6.2%0.4%767.7K-6.4M-89.2K1.2669.455827311,8401,684
2017-08-11$224.36$225.0011.8%3.4%5.4%40.3%19.7%7.1%-0.0%859.6K-7.1M-95.5K1.4261.855517811,9551,759
2017-08-14$226.43$225.0010.3%2.9%6.4%33.1%11.0%5.3%0.4%1.3M-11.1M-92.5K2.0135.043787581,9631,846
2017-08-15$226.70$225.009.8%2.8%6.4%30.6%10.0%5.0%0.6%1.4M-12.4M-90.6K1.9152.503987621,9821,870
2017-08-16$226.72$225.009.7%2.8%6.1%30.4%9.9%4.7%0.6%1.4M-12.7M-88.5K1.7662.054207391,9841,870
2017-08-17$223.63$225.0011.0%3.1%7.8%36.4%13.0%7.2%0.4%728.9K-5.4M-93.6K1.4975.094817181,9831,879
2017-08-18$223.41$220.0010.5%3.0%7.8%34.2%15.7%5.5%0.3%338.1K-4.0M-95.3K1.7447.445509551,9991,970
2017-08-21$223.21$220.009.8%2.8%7.7%30.9%18.2%5.2%0.6%210.4K-2.8M-95.8K1.7536.013826691,7841,978
2017-08-22$225.48$220.009.3%2.7%8.6%28.6%10.4%3.8%0.7%642.0K-8.3M-90.2K1.4932.755257811,7852,038
2017-08-23$224.86$220.009.3%2.7%8.7%28.6%8.9%3.6%0.8%569.2K-6.1M-99.7K1.1347.726717611,8462,255
2017-08-24$224.19$220.009.3%2.7%8.7%28.1%10.1%4.4%1.2%731.4K-5.8M-106.7K1.6919.004958372,0232,275
2017-08-25$224.84$220.008.6%2.5%8.8%25.0%9.3%3.8%1.5%901.8K-8.6M-98.2K1.8232.004468122,0342,219
2017-08-28$224.55$220.008.7%2.5%8.8%25.3%10.2%3.4%1.4%780.3K-7.5M-98.0K2.1916.893637952,0422,289
2017-08-29$224.97$220.008.8%2.5%8.8%25.7%9.6%3.7%1.2%843.1K-8.5M-98.9K2.3018.353768642,0482,283
2017-08-30$225.81$220.008.8%2.5%8.9%26.0%9.1%3.6%1.3%958.5K-9.8M-97.2K2.0723.144178652,0532,336
2017-08-31$227.29$225.009.2%2.6%9.2%27.8%8.9%2.6%1.2%1.7M-14.2M-98.0K2.5020.133699212,0972,338