VOO Options History — May 2018

In May 2018, VOO traded between $240.99 and $250.79. ATM implied volatility averaged 12.1%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 0.4% (HV 20d: 12.4%). Max pain ranged from $235.00 to $250.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.30.

Notable Days

  • 2018-05-21: Highest Volume — 1,971 contracts
  • 2018-05-29: Largest IV spike — 64.1% change
  • 2018-05-29: Highest IV Rank — 41.4%
  • 2018-05-29: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$247.93$240.99$250.79$242.77$248.89
Max Pain$245.68$235.00$250.00$235.00$250.00
ATM IV12.1%9.5%15.5%13.7%10.5%
Expected Move3.5%2.7%4.5%3.9%3.0%
HV 20d12.4%8.9%16.7%16.7%10.8%
HV 60d17.6%16.4%20.5%20.5%16.7%
IV Rank29.5%20.6%41.4%35.1%24.2%
IV Percentile72.8%53.6%88.9%80.2%63.9%
Term Structure-0.1%-2.1%0.8%0.0%0.2%
VWIV12.8%10.6%16.6%14.0%11.6%
Skew 25d4.1%2.8%5.8%3.2%4.7%
Skew 10d8.6%6.1%12.5%7.5%9.6%
Call IV 25d10.4%8.4%12.7%12.7%10.1%
Put IV 25d14.6%11.9%17.9%15.9%14.8%
Bid-Ask Spread %47.8125.5272.0035.7029.38
Gamma HHI0.390.210.710.240.36
Net GEX2.7M819.9K5.8M867.3K3.3M
Net DEX-23.7M-33.3M-12.1M-12.3M-22.9M
Net VEX-135.0K-166.2K-120.7K-125.7K-166.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.230.640.300.27
Total Volume1,358.6361,1261,9711,1431,443
Total OI5,805.4554,8966,7425,1286,742

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$242.77$235.0013.7%3.9%16.7%35.1%14.0%3.2%0.0%867.3K-12.3M-125.7K0.3035.708772663,6001,528
2018-05-02$241.95$235.0014.6%4.2%16.0%38.4%15.1%4.5%-0.0%888.4K-12.1M-123.9K0.3156.348582683,6401,539
2018-05-03$240.99$245.0015.2%4.2%15.8%40.2%13.8%4.7%0.4%819.9K-12.9M-124.6K0.2660.039752553,7471,533
2018-05-04$244.57$245.0012.9%3.8%14.2%32.3%13.9%5.0%-0.1%1.4M-19.1M-128.1K0.2945.641,0242963,8281,542
2018-05-07$245.07$245.0013.4%3.8%13.9%34.1%13.8%4.7%0.1%1.4M-19.6M-126.7K0.3452.461,0013413,8551,607
2018-05-08$245.06$245.0013.2%3.7%13.3%33.3%13.3%4.9%0.5%1.5M-19.2M-129.8K0.2461.759792393,9241,669
2018-05-09$247.17$245.0013.3%3.8%13.4%33.9%11.9%4.2%-0.5%2.1M-24.5M-128.6K0.2463.531,1352773,9351,697
2018-05-10$249.73$245.0011.6%3.3%13.4%28.0%11.0%3.7%0.0%2.9M-30.8M-128.2K0.2332.551,1022504,0081,691
2018-05-11$250.32$245.0011.3%3.2%13.1%26.8%13.1%3.6%0.3%3.4M-33.0M-124.6K0.2764.171,0352824,0821,680
2018-05-14$250.64$245.0011.1%3.2%12.7%26.2%11.3%3.2%0.1%3.5M-33.3M-125.2K0.2625.521,1593044,0931,738
2018-05-15$248.42$245.0011.6%3.3%12.6%27.8%15.2%4.9%0.1%3.2M-27.5M-128.6K0.3170.711,0743304,2421,747
2018-05-16$249.94$245.0011.8%3.4%12.8%28.4%13.3%4.0%-0.8%4.5M-32.2M-125.9K0.2840.161,0943114,2651,754
2018-05-17$249.77$245.0011.2%3.2%12.6%26.4%14.8%4.1%-0.1%5.5M-31.3M-125.7K0.2758.171,1403044,3011,747
2018-05-18$249.41$245.0010.9%3.1%11.9%25.4%11.3%4.2%0.2%5.8M-29.6M-121.5K0.2448.061,1102664,2891,750
2018-05-21$250.79$245.0011.0%3.2%12.0%25.9%11.0%3.5%-0.2%2.2M-21.1M-120.7K0.4743.231,3376343,4941,402
2018-05-22$250.50$250.0010.8%3.1%10.0%25.3%10.9%4.0%-0.0%2.2M-23.6M-145.9K0.6438.321,0106443,9961,815
2018-05-23$250.66$250.0010.7%3.1%10.0%24.7%10.9%2.8%0.1%2.5M-26.9M-151.3K0.2631.069622474,1941,836
2018-05-24$250.56$250.0010.2%2.9%8.9%23.0%11.4%3.5%0.2%2.8M-25.0M-154.4K0.3029.389242744,2761,872
2018-05-25$249.83$250.009.5%2.7%9.0%20.6%10.6%4.0%0.8%2.6M-23.7M-154.7K0.2734.999222454,3001,921
2018-05-29$247.03$250.0015.5%4.5%9.8%41.4%16.6%5.8%-2.1%2.1M-14.1M-152.4K0.3558.699153184,4061,925
2018-05-30$250.31$250.0011.7%3.3%10.6%28.1%12.4%4.4%-0.5%3.1M-26.6M-158.2K0.2872.001,1403234,4952,015
2018-05-31$248.89$250.0010.5%3.0%10.8%24.2%11.6%4.7%0.2%3.3M-22.9M-166.2K0.2729.381,1343094,7232,019