VOO Options History — January 2018

In January 2018, VOO traded between $246.87 and $263.05. ATM implied volatility averaged 9.2%, placing in the 56.7% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 2.7% (HV 20d: 6.5%). Max pain ranged from $235.00 to $250.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.37.

Notable Days

  • 2018-01-16: Highest Volume — 2,004 contracts
  • 2018-01-29: Largest IV spike — 30.4% change
  • 2018-01-30: Highest IV Rank — 93.6%
  • 2018-01-30: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$255.76$246.87$263.05$246.87$259.10
Max Pain$241.90$235.00$250.00$235.00$250.00
ATM IV9.2%6.1%12.9%7.9%12.2%
Expected Move2.7%1.8%3.7%2.3%3.5%
HV 20d6.5%5.8%8.2%5.9%8.1%
HV 60d6.0%5.4%6.8%5.4%6.8%
IV Rank56.7%26.2%93.6%43.7%86.3%
IV Percentile60.3%2.4%99.6%35.3%97.2%
Term Structure0.8%-1.1%1.7%0.8%-0.6%
VWIV10.3%7.1%14.2%7.1%12.0%
Skew 25d2.8%1.0%4.9%2.5%4.9%
Skew 10d6.5%3.4%9.4%6.3%9.4%
Call IV 25d8.4%5.4%11.6%6.4%11.1%
Put IV 25d11.2%8.2%16.0%9.0%16.0%
Bid-Ask Spread %65.1118.2594.5618.2586.27
Gamma HHI0.330.140.630.260.14
Net GEX4.4M2.6M7.9M3.2M2.6M
Net DEX-41.1M-53.8M-29.2M-29.2M-31.9M
Net VEX-101.8K-126.2K-82.9K-82.9K-112.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.210.560.420.40
Total Volume1,3909752,0041,6341,063
Total OI4,859.5713,6235,6524,6844,750

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$246.87$235.007.9%2.3%5.9%43.7%7.1%2.5%0.8%3.2M-29.2M-82.9K0.4218.251,1484862,7311,953
2018-01-03$248.61$235.006.1%1.8%6.3%26.2%7.6%2.8%1.3%4.1M-33.2M-84.0K0.4622.631,0845002,7922,024
2018-01-04$249.67$235.006.6%2.2%6.1%31.4%7.7%3.0%1.7%4.8M-35.2M-84.8K0.5139.719214692,8142,040
2018-01-05$251.30$235.007.2%2.4%6.2%37.5%8.9%2.7%1.5%5.8M-40.1M-90.6K0.5229.358884662,8942,085
2018-01-08$251.78$235.007.4%2.4%6.2%39.5%9.7%2.7%1.5%6.0M-41.3M-89.5K0.4940.488914402,8792,118
2018-01-09$252.23$235.008.3%2.5%6.1%47.7%9.5%2.8%1.6%6.5M-42.9M-93.6K0.4626.378894052,9172,146
2018-01-10$251.87$240.008.8%2.5%6.2%52.6%10.2%2.8%1.6%6.1M-41.2M-89.5K0.5642.658764922,9052,153
2018-01-11$253.60$240.008.1%2.3%6.5%45.8%9.5%2.2%1.1%7.2M-46.9M-95.5K0.5147.419544832,9732,238
2018-01-12$255.24$240.008.5%2.4%6.6%49.8%11.0%2.1%1.1%7.0M-53.0M-95.1K0.4583.811,0854923,0542,242
2018-01-16$254.67$245.0010.1%2.9%6.5%65.5%11.0%3.8%0.4%7.9M-49.0M-101.7K0.2794.561,5824223,1312,284
2018-01-17$256.79$245.009.8%2.8%6.6%63.4%11.8%2.8%0.5%4.0M-53.8M-103.1K0.3273.521,2994213,3222,330
2018-01-18$256.58$245.0010.1%2.9%6.5%66.0%12.4%3.1%0.9%3.3M-51.4M-102.3K0.3579.381,1514073,2072,342
2018-01-19$257.58$245.008.0%2.3%6.3%45.3%9.5%3.4%1.0%2.6M-52.7M-100.7K0.2585.831,4213503,2332,346
2018-01-22$259.75$245.008.7%2.5%6.6%52.3%10.3%2.9%0.8%2.7M-35.3M-98.9K0.2279.139782112,642981
2018-01-23$260.41$245.009.6%2.7%6.5%60.6%9.9%2.0%0.5%2.7M-36.9M-103.8K0.2588.498102002,9421,024
2018-01-24$260.34$245.009.7%2.8%6.5%61.6%9.8%2.1%0.9%3.2M-38.0M-122.5K0.2582.157791963,2171,027
2018-01-25$260.32$245.0010.7%3.1%5.8%71.6%12.3%1.0%0.8%3.2M-37.6M-119.3K0.2191.461,0062083,3921,046
2018-01-26$263.05$245.009.6%2.7%6.3%60.5%9.9%1.8%0.5%3.7M-43.0M-126.2K0.2187.921,0122173,6141,091
2018-01-29$261.96$245.0012.5%3.6%6.8%89.5%12.8%3.0%0.1%3.3M-38.3M-123.8K0.2890.771,0322893,4291,112
2018-01-30$259.18$250.0012.9%3.7%8.2%93.6%14.2%4.0%-1.1%2.8M-33.3M-118.3K0.3877.168443233,4401,191
2018-01-31$259.10$250.0012.2%3.5%8.1%86.3%12.0%4.9%-0.6%2.6M-31.9M-112.4K0.4086.277583053,4581,292