VOO Options History — June 2018

In June 2018, VOO traded between $249.09 and $256.32. ATM implied volatility averaged 10.6%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 1.3% (HV 20d: 9.3%). 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 17 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2018-06-22: Highest Volume — 1,673 contracts
  • 2018-06-25: Largest IV spike — 43.7% change
  • 2018-06-27: Highest IV Rank — 34.0%
  • 2018-06-27: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$253.41$249.09$256.32$251.14$249.95
Max Pain$237.62$235.00$250.00$250.00$245.00
ATM IV10.6%8.9%13.4%11.0%12.9%
Expected Move3.0%2.6%3.8%3.1%3.7%
HV 20d9.3%8.4%10.9%10.9%8.4%
HV 60d14.9%12.1%16.8%16.8%12.1%
IV Rank24.5%18.6%34.0%25.7%32.3%
IV Percentile59.6%43.7%77.4%67.9%74.6%
Term Structure1.4%-0.5%2.8%-0.1%-0.5%
VWIV12.4%8.7%16.1%9.6%15.4%
Skew 25d4.5%3.3%6.0%4.0%5.1%
Skew 10d8.8%6.6%13.6%6.6%8.7%
Call IV 25d9.0%7.7%11.8%8.8%10.4%
Put IV 25d13.4%11.6%17.3%12.8%15.5%
Bid-Ask Spread %37.2015.4772.1318.4659.05
Gamma HHI0.340.160.710.380.16
Net GEX4.0M1.1M10.0M4.2M1.1M
Net DEX-37.3M-62.3M-14.1M-31.3M-14.6M
Net VEX-158.3K-164.6K-151.0K-161.2K-156.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.251.680.281.58
Total Volume1,414.7621,0611,6731,4831,498
Total OI7,227.5716,0627,8996,8807,441

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$251.14$250.0011.0%3.1%10.9%25.7%9.6%4.0%-0.1%4.2M-31.3M-161.2K0.2818.461,1563274,8592,021
2018-06-04$252.61$235.009.3%2.6%10.0%19.9%11.3%4.7%2.8%5.3M-39.3M-156.2K0.2541.791,0352614,9842,026
2018-06-05$252.71$235.008.9%2.6%10.0%18.6%11.5%4.3%2.7%5.7M-40.6M-161.2K0.5140.399464835,0742,053
2018-06-06$254.52$235.009.3%2.6%10.1%20.1%11.3%3.8%2.7%6.1M-49.8M-162.9K0.5023.259384655,1862,191
2018-06-07$254.89$235.0010.4%2.7%9.8%23.7%13.7%4.5%2.3%5.7M-50.0M-164.6K0.5231.089044695,1832,195
2018-06-08$255.43$235.009.9%2.7%9.3%22.2%10.6%3.5%2.6%6.1M-53.2M-159.3K0.5759.519785575,2152,222
2018-06-11$256.32$235.0012.7%2.8%9.3%31.6%11.6%4.1%2.3%5.6M-58.0M-157.9K0.7619.818126175,3362,314
2018-06-12$256.05$235.0011.9%2.8%9.3%28.9%15.6%4.1%2.7%5.8M-56.9M-159.7K0.6437.299305915,3612,409
2018-06-13$255.80$235.009.7%2.8%8.6%21.3%12.1%3.3%2.4%6.1M-59.8M-155.4K0.6472.139686165,3962,412
2018-06-14$256.22$235.009.5%2.7%8.4%20.6%12.4%3.9%2.5%6.3M-62.3M-152.8K0.7433.798306145,4412,433
2018-06-15$255.62$235.009.3%2.7%8.5%19.9%9.5%3.8%2.6%10.0M-61.6M-151.0K0.3528.839093225,4702,429
2018-06-18$255.00$235.009.2%2.6%8.5%19.7%8.8%4.2%1.1%2.2M-32.3M-154.9K0.3255.578012604,2331,829
2018-06-19$253.95$235.009.5%2.7%8.6%20.6%13.0%4.5%1.0%1.7M-26.1M-154.5K0.4829.307683724,3491,917
2018-06-20$254.84$235.009.2%2.6%8.6%19.7%14.0%4.3%0.7%2.2M-29.1M-156.0K0.8415.596855784,4101,983
2018-06-21$252.62$235.009.9%2.8%9.3%22.1%10.2%4.6%0.7%1.7M-23.8M-155.4K0.7552.059527144,4202,194
2018-06-22$253.96$240.009.1%2.6%9.4%19.3%8.7%3.8%0.9%2.3M-27.4M-157.8K0.7915.479377364,6002,410
2018-06-25$250.22$240.0013.1%3.8%10.9%33.0%15.1%5.8%0.6%1.8M-17.9M-160.3K1.5863.065739084,8672,440
2018-06-26$251.06$240.0012.0%3.4%10.0%29.4%14.9%5.6%0.2%1.5M-19.6M-161.0K1.6831.955348974,8582,613
2018-06-27$249.62$240.0013.4%3.8%9.1%34.0%14.6%5.6%-0.0%1.3M-14.1M-162.9K1.4130.695547824,8912,642
2018-06-28$249.09$245.0012.7%3.6%8.9%31.7%16.1%6.0%-0.2%1.4M-14.7M-161.9K1.4222.045918424,7992,673
2018-06-29$249.95$245.0012.9%3.7%8.4%32.3%15.4%5.1%-0.5%1.1M-14.6M-156.8K1.5859.055809184,7722,669