VOO Options History — April 2018

In April 2018, VOO traded between $236.44 and $248.66. ATM implied volatility averaged 16.5%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 5.4% (HV 20d: 21.9%). Max pain ranged from $199.00 to $235.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2018-04-20: Highest Volume — 1,927 contracts
  • 2018-04-19: Largest IV spike — 20.2% change
  • 2018-04-02: Highest IV Rank — 68.0%
  • 2018-04-02: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$243.44$236.44$248.66$236.44$243.75
Max Pain$223.71$199.00$235.00$235.00$235.00
ATM IV16.5%11.8%23.3%23.3%14.2%
Expected Move4.6%3.4%6.7%6.7%4.1%
HV 20d21.9%17.1%23.9%21.0%17.1%
HV 60d20.3%19.1%20.9%19.1%20.9%
IV Rank44.7%28.4%68.0%68.0%37.0%
IV Percentile89.3%77.0%98.8%98.8%84.1%
Term Structure-0.2%-2.9%1.1%-2.9%-0.4%
VWIV17.1%12.9%24.7%24.7%14.7%
Skew 25d5.2%3.8%6.3%5.7%4.9%
Skew 10d10.2%6.4%13.4%9.2%10.0%
Call IV 25d13.9%10.5%20.3%20.3%12.4%
Put IV 25d19.1%14.9%26.1%26.1%17.3%
Bid-Ask Spread %68.7651.9581.4665.1481.46
Gamma HHI0.270.130.610.130.26
Net GEX1.3M599.6K3.7M663.0K1.0M
Net DEX-21.7M-37.9M-10.6M-11.5M-13.8M
Net VEX-128.3K-137.4K-119.6K-129.2K-127.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.270.670.340.35
Total Volume1,503.0959511,9271,6131,119
Total OI6,773.9054,5197,9767,0265,108

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-04-02$236.44$235.0023.3%6.7%21.0%68.0%24.7%5.7%-2.9%663.0K-11.5M-129.2K0.3465.141,2034105,1611,865
2018-04-03$239.44$235.0020.4%5.9%21.1%58.3%20.2%5.4%-2.2%599.6K-14.6M-133.4K0.2759.161,3263575,2061,950
2018-04-04$242.80$235.0017.8%5.1%21.9%49.3%18.9%5.6%-1.2%1.1M-20.1M-136.5K0.3173.151,1133495,3331,978
2018-04-05$244.32$199.0017.7%4.6%22.0%48.8%18.9%6.0%0.1%1.5M-24.6M-137.4K0.2851.951,2143455,3421,983
2018-04-06$238.57$199.0020.6%5.2%23.4%59.0%19.9%5.5%0.5%656.1K-15.1M-129.9K0.5363.471,1235935,4301,954
2018-04-09$240.88$215.0022.1%5.4%22.6%64.0%19.8%6.3%-0.8%804.7K-19.7M-127.8K0.4063.681,2134845,4882,000
2018-04-10$243.72$215.0020.0%5.0%23.1%56.7%19.8%5.3%-0.4%1.3M-25.9M-132.7K0.4168.011,0934505,6022,014
2018-04-11$242.46$215.0017.8%5.1%23.1%49.4%19.3%5.7%-0.1%1.2M-24.3M-127.9K0.4369.901,0014325,6242,002
2018-04-12$245.01$220.0015.8%4.5%23.5%42.5%18.0%5.0%0.3%1.6M-30.0M-125.3K0.4268.451,1544825,6262,012
2018-04-13$243.43$220.0015.2%4.4%23.5%40.3%15.3%5.2%-0.3%913.8K-24.3M-119.6K0.5566.591,1726415,5642,013
2018-04-16$245.97$220.0013.8%4.0%23.9%35.6%15.7%4.4%1.1%1.6M-29.3M-127.5K0.5958.951,1216635,6082,218
2018-04-17$248.54$220.0011.8%3.4%23.7%28.4%12.9%3.8%1.0%3.4M-37.0M-126.4K0.6266.641,0596575,6152,207
2018-04-18$248.66$220.0011.8%3.4%23.7%28.7%14.7%4.4%1.1%3.7M-37.9M-126.6K0.6762.029586395,5782,233
2018-04-19$247.23$220.0014.2%4.1%23.7%36.9%14.2%4.1%0.0%1.6M-32.4M-122.5K0.5781.191,1296485,5922,222
2018-04-20$244.60$220.0014.2%4.1%22.4%36.8%14.7%6.1%-0.3%787.9K-26.9M-123.1K0.6071.891,2047235,7442,232
2018-04-23$244.55$235.0014.1%4.1%20.9%36.6%14.3%5.5%0.3%828.9K-14.8M-125.5K0.4473.466592923,1901,329
2018-04-24$240.46$235.0016.8%4.8%20.4%45.9%16.5%5.5%-0.9%681.0K-10.9M-125.7K0.3672.928202993,2611,333
2018-04-25$241.55$235.0016.6%4.7%19.4%45.0%16.9%5.0%0.4%743.8K-10.6M-128.8K0.4075.617843143,3231,422
2018-04-26$244.94$235.0014.1%4.1%19.9%36.7%15.8%4.8%-0.2%1.0M-15.5M-129.3K0.3275.219623033,3641,475
2018-04-27$244.88$235.0013.4%3.8%19.3%34.1%14.7%4.5%0.5%1.3M-16.5M-130.9K0.3575.147832743,5781,473
2018-04-30$243.75$235.0014.2%4.1%17.1%37.0%14.7%4.9%-0.4%1.0M-13.8M-127.8K0.3581.468302893,5921,516