VOO Options History — November 2017

In November 2017, VOO traded between $235.49 and $243.47. ATM implied volatility averaged 8.3%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 3.5% (HV 20d: 4.8%). Max pain ranged from $225.00 to $240.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.61.

Notable Days

  • 2017-11-30: Highest Volume — 1,243 contracts
  • 2017-11-09: Largest IV spike — 38.5% change
  • 2017-11-15: Highest IV Rank — 65.9%
  • 2017-11-15: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$238.14$235.49$243.47$236.52$243.47
Max Pain$231.43$225.00$240.00$230.00$240.00
ATM IV8.3%5.3%10.6%8.7%9.4%
Expected Move2.5%1.9%3.0%2.5%2.7%
HV 20d4.8%3.9%6.3%4.4%6.3%
HV 60d5.5%5.0%6.8%6.8%5.2%
IV Rank40.7%9.1%65.9%25.4%54.7%
IV Percentile42.3%0.8%85.3%46.0%67.1%
Term Structure0.5%-1.1%1.2%0.6%-1.1%
VWIV11.4%7.9%13.7%11.1%10.1%
Skew 25d3.9%2.1%6.0%2.8%2.1%
Skew 10d7.9%4.5%12.0%6.1%4.5%
Call IV 25d7.0%5.5%9.3%7.3%9.3%
Put IV 25d10.9%9.1%13.5%10.0%11.4%
Bid-Ask Spread %69.5428.6298.1798.1762.72
Gamma HHI0.260.170.430.310.17
Net GEX1.8M1.0M2.4M2.1M1.0M
Net DEX-23.6M-28.0M-19.2M-22.6M-28.0M
Net VEX-85.9K-92.6K-75.0K-92.6K-83.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.610.524.843.381.45
Total Volume911.7144421,2431,0371,243
Total OI3,519.5242,9953,8783,6433,561

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$236.52$230.008.7%2.5%4.4%25.4%11.1%2.8%0.6%2.1M-22.6M-92.6K3.3898.172378001,9071,736
2017-11-02$236.63$225.008.4%2.6%3.9%24.1%12.5%4.2%0.4%2.3M-23.1M-91.9K3.6584.252157851,9121,738
2017-11-03$237.22$225.007.9%2.6%3.9%21.7%13.4%3.3%0.6%2.2M-24.1M-91.6K2.9583.642647791,9141,745
2017-11-06$237.77$225.005.3%2.1%3.9%9.1%13.5%3.3%0.9%2.4M-25.3M-87.8K2.6867.312787441,9191,744
2017-11-07$237.57$225.005.5%2.2%3.9%11.2%13.7%3.9%0.9%2.2M-24.6M-86.9K2.8957.222577431,9091,751
2017-11-08$237.98$225.007.1%2.1%3.9%22.9%12.4%3.6%1.1%2.4M-26.3M-84.1K3.0481.552587841,9101,756
2017-11-09$237.23$230.009.9%2.8%4.0%59.7%12.6%4.6%0.3%2.1M-23.0M-89.4K4.3683.821908291,9101,758
2017-11-10$237.06$230.0010.2%2.9%4.1%62.8%13.1%5.0%-0.1%2.1M-23.0M-91.2K4.3351.111938361,9091,812
2017-11-13$237.26$230.0010.0%2.9%4.0%60.7%13.1%4.3%0.4%2.2M-23.6M-88.6K4.8458.501668041,9181,825
2017-11-14$236.76$230.0010.3%2.9%4.1%63.3%12.2%5.2%0.4%2.1M-22.0M-90.8K3.5177.432217761,9171,870
2017-11-15$235.49$230.0010.6%3.0%4.6%65.9%13.0%5.7%0.3%2.2M-19.7M-90.7K3.5672.142258021,9271,871
2017-11-16$237.54$235.007.4%2.1%5.5%36.5%11.8%6.0%1.1%1.9M-23.4M-89.7K3.6971.762318531,9331,917
2017-11-17$236.90$235.009.6%2.8%5.4%57.3%9.6%5.1%0.3%1.0M-24.0M-85.8K3.1258.622678341,9361,942
2017-11-20$237.20$235.009.3%2.7%5.3%54.3%11.9%4.0%0.3%1.3M-19.2M-82.4K1.1377.982082341,6431,352
2017-11-21$238.75$235.006.7%1.9%5.7%29.7%9.6%3.5%1.2%1.3M-21.4M-82.1K0.7541.783132361,6651,369
2017-11-22$238.71$235.006.7%1.9%5.5%29.7%9.8%3.7%1.0%1.3M-21.8M-83.5K0.7346.153232361,7251,386
2017-11-24$239.12$235.007.0%2.0%5.4%32.6%10.2%3.5%1.0%1.4M-24.0M-75.0K0.6697.413452271,7281,385
2017-11-27$239.16$235.007.1%2.0%5.0%34.1%9.2%2.1%0.8%1.5M-23.0M-80.7K0.5228.623731951,7461,386
2017-11-28$241.28$235.008.3%2.4%5.7%45.3%7.9%2.6%0.1%1.4M-26.4M-75.1K1.4075.553124361,7591,404
2017-11-29$241.41$235.009.2%2.6%5.7%52.9%8.8%2.9%-0.2%1.3M-26.4M-81.4K2.1384.613497451,8191,596
2017-11-30$243.47$240.009.4%2.7%6.3%54.7%10.1%2.1%-1.1%1.0M-28.0M-83.3K1.4562.725077361,8621,699