VOO Options History — July 2018

In July 2018, VOO traded between $248.79 and $260.70. ATM implied volatility averaged 9.9%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 1.0% (HV 20d: 8.9%). Max pain ranged from $245.00 to $255.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.97.

Notable Days

  • 2018-07-18: Highest Volume — 2,255 contracts
  • 2018-07-19: Largest IV spike — 34.1% change
  • 2018-07-03: Highest IV Rank — 31.1%
  • 2018-07-03: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$256.12$248.79$260.70$249.16$258.43
Max Pain$251.67$245.00$255.00$245.00$255.00
ATM IV9.9%7.9%12.5%12.3%9.0%
Expected Move2.9%2.3%3.6%3.5%2.6%
HV 20d8.9%7.3%10.1%8.2%8.2%
HV 60d10.0%8.8%11.0%11.0%8.8%
IV Rank22.2%15.1%31.1%30.3%19.1%
IV Percentile50.0%23.4%73.0%71.8%37.3%
Term Structure1.2%-0.2%2.4%0.0%0.5%
VWIV11.4%8.0%16.6%16.6%11.3%
Skew 25d4.1%2.7%5.6%4.9%3.8%
Skew 10d8.4%5.9%12.5%9.8%8.1%
Call IV 25d8.5%7.6%10.9%10.9%8.8%
Put IV 25d12.7%10.6%16.3%15.7%12.7%
Bid-Ask Spread %37.1012.5379.2517.6668.42
Gamma HHI0.410.170.630.170.37
Net GEX1.1M-2.7M5.0M750.7K-1.6M
Net DEX-20.3M-36.6M-5.3M-11.2M-9.6M
Net VEX-171.7K-194.5K-150.6K-154.7K-184.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.971.333.841.332.24
Total Volume1,568.2381,1652,2551,6221,279
Total OI7,537.3335,8289,3347,5646,662

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$249.16$245.0012.3%3.5%8.2%30.3%16.6%4.9%0.0%750.7K-11.2M-154.7K1.3317.666979254,8082,756
2018-07-03$248.79$245.0012.5%3.6%8.1%31.1%15.8%5.4%-0.2%1.2M-10.6M-158.0K1.4079.256569164,8332,757
2018-07-05$250.68$250.0012.3%3.5%8.2%30.5%14.0%5.6%1.2%1.3M-15.3M-150.6K1.8143.936571,1884,8392,765
2018-07-06$252.88$250.009.3%2.9%8.8%19.9%10.0%4.8%1.7%1.5M-18.8M-175.3K1.4557.507671,1124,8603,103
2018-07-09$255.17$250.009.3%2.8%9.4%19.8%11.5%4.3%1.9%3.5M-27.1M-171.0K1.6323.976741,1014,9233,110
2018-07-10$256.12$250.009.4%2.9%9.4%20.3%13.5%4.7%1.8%4.2M-29.8M-169.0K2.1354.365651,2064,9173,139
2018-07-11$254.54$250.0010.3%3.0%9.7%23.6%13.0%4.5%1.5%2.5M-24.3M-168.8K2.1636.365931,2814,7973,283
2018-07-12$256.43$250.0010.2%2.9%10.1%23.2%11.2%4.0%1.8%3.7M-30.4M-167.9K2.2456.045481,2274,8313,297
2018-07-13$256.84$250.0010.2%2.9%10.1%23.0%9.9%3.8%1.8%4.1M-32.5M-165.1K2.4913.265481,3634,8383,289
2018-07-16$256.61$250.0010.2%2.9%10.0%23.0%10.2%4.1%1.7%3.1M-31.4M-161.2K2.3049.184611,0604,7483,432
2018-07-17$257.99$250.008.0%2.3%10.1%15.6%10.6%3.1%2.1%5.0M-35.8M-155.5K1.4613.775207594,7543,421
2018-07-18$258.16$250.007.9%2.3%10.0%15.1%10.3%3.4%2.4%4.9M-36.6M-152.8K3.8417.814661,7894,7223,424
2018-07-19$257.35$255.0010.5%3.0%10.0%24.3%11.2%3.6%1.5%452.7K-24.0M-184.3K1.9616.554318464,7844,503
2018-07-20$257.12$255.0010.1%2.9%9.4%22.8%10.2%4.2%1.7%-2.2M-22.8M-182.1K1.4812.535237744,7744,560
2018-07-23$257.43$255.0010.3%2.9%9.3%23.3%10.4%4.0%0.9%-2.2M-6.9M-185.4K2.1064.573767892,2893,539
2018-07-24$258.35$255.008.7%2.5%7.3%17.8%10.6%4.0%0.5%-1.5M-10.0M-179.4K1.7814.574978872,3483,667
2018-07-25$260.70$255.008.7%2.5%7.7%18.0%8.0%2.7%1.2%-1.2M-16.9M-174.7K1.5969.545208272,4003,764
2018-07-26$260.25$255.009.1%2.6%7.3%19.5%9.9%3.1%0.8%-768.1K-16.2M-186.2K1.9714.284528922,5363,775
2018-07-27$258.55$255.008.8%2.5%7.8%18.3%9.8%4.4%1.0%-1.5M-11.7M-194.5K1.8941.924829132,6243,844
2018-07-30$257.02$255.0011.8%3.4%8.3%28.5%11.8%4.1%-0.1%-2.7M-5.3M-184.9K2.1013.614409262,6653,904
2018-07-31$258.43$255.009.0%2.6%8.2%19.1%11.3%3.8%0.5%-1.6M-9.6M-184.2K2.2468.423958842,7153,947