VOO Options History — August 2018

In August 2018, VOO traded between $258.28 and $268.01. ATM implied volatility averaged 9.0%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 1.4% (HV 20d: 7.5%). Max pain ranged from $255.00 to $265.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.34.

Notable Days

  • 2018-08-31: Highest Volume — 1,470 contracts
  • 2018-08-30: Largest IV spike — 26.7% change
  • 2018-08-13: Highest IV Rank — 23.7%
  • 2018-08-15: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$262.55$258.28$268.01$258.28$266.61
Max Pain$262.83$255.00$265.00$255.00$265.00
ATM IV9.0%6.8%11.6%8.6%9.4%
Expected Move2.6%2.1%3.1%2.5%2.7%
HV 20d7.5%6.2%8.3%8.2%7.7%
HV 60d8.5%8.0%8.9%8.9%8.0%
IV Rank15.4%6.3%23.7%17.7%15.9%
IV Percentile37.7%6.3%66.3%31.3%44.8%
Term Structure1.0%0.4%2.0%0.7%1.3%
VWIV10.3%8.1%13.1%11.1%8.1%
Skew 25d4.0%2.5%6.1%4.0%3.9%
Skew 10d8.4%5.8%12.8%8.6%7.7%
Call IV 25d7.8%7.1%8.4%8.3%7.8%
Put IV 25d11.8%10.2%14.5%12.3%11.6%
Bid-Ask Spread %37.6210.9571.7364.9522.48
Gamma HHI0.270.170.460.420.22
Net GEX701.3K-2.9M2.5M-2.2M1.5M
Net DEX-24.6M-39.4M-8.8M-8.8M-34.6M
Net VEX-161.7K-178.7K-147.6K-178.7K-158.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.852.181.801.42
Total Volume1,318.4351,1601,4701,3661,470
Total OI6,692.5655,6927,7826,6936,569

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-08-01$258.28$255.008.6%2.5%8.2%17.7%11.1%4.0%0.7%-2.2M-8.8M-178.7K1.8064.954878792,7203,973
2018-08-02$259.41$255.008.3%2.4%7.9%16.6%10.7%3.1%1.4%-1.6M-13.7M-176.4K2.1810.954179072,7433,978
2018-08-03$260.48$255.008.0%2.3%7.6%15.7%8.6%3.1%1.1%-128.7K-18.9M-172.3K1.9613.344518852,7863,999
2018-08-06$261.54$260.008.5%2.7%7.1%17.2%11.4%3.7%0.8%908.5K-23.3M-167.3K1.7127.434828222,8384,012
2018-08-07$262.43$260.008.3%2.8%7.1%16.6%11.5%3.8%0.4%1.9M-28.2M-156.3K1.5439.745057782,9204,019
2018-08-08$262.61$265.006.8%2.2%6.5%6.3%12.9%3.5%0.9%2.0M-28.6M-156.3K1.5949.224867742,9954,079
2018-08-09$262.24$265.008.1%2.8%6.2%11.3%13.1%3.6%0.7%2.0M-27.4M-153.1K1.3759.215287213,0044,128
2018-08-10$260.09$265.009.5%2.9%7.0%16.3%10.2%5.7%0.7%-589.8K-15.5M-176.2K0.9660.756426153,0104,179
2018-08-13$259.43$265.0011.6%2.9%7.1%23.7%9.8%5.7%0.7%-1.1M-14.1M-169.3K1.4449.285237533,1324,188
2018-08-14$260.95$265.0011.1%2.9%7.2%22.1%9.7%4.7%0.7%212.6K-21.3M-166.3K1.7521.034778353,1614,318
2018-08-15$258.82$265.0010.7%3.1%7.8%20.5%10.7%6.1%0.7%-2.9M-9.5M-171.5K1.1751.396757923,1664,408
2018-08-16$261.07$265.0010.3%2.9%8.3%19.0%9.0%5.5%1.1%1.5M-24.4M-164.4K0.8920.097516713,2464,390
2018-08-17$261.98$265.009.9%2.8%8.3%17.8%8.6%4.1%1.2%2.5M-31.2M-159.1K0.8527.567666543,3794,403
2018-08-20$262.69$265.008.0%2.3%8.3%10.9%10.5%3.9%1.1%1.2M-24.0M-152.7K1.0717.735606002,7412,951
2018-08-21$263.33$260.008.3%2.4%8.3%11.8%10.9%4.0%1.1%1.4M-26.5M-153.7K1.0550.185926212,7622,995
2018-08-22$263.17$260.008.2%2.3%7.7%11.4%11.4%4.1%0.9%1.3M-25.8M-156.9K1.2121.525566742,7783,055
2018-08-23$262.50$265.0010.2%2.9%7.8%18.8%10.8%3.4%1.0%1.1M-23.9M-156.6K1.1223.715596272,7773,119
2018-08-24$264.14$265.007.9%2.3%7.6%10.5%8.5%3.9%1.6%1.3M-28.1M-155.1K1.3324.215767652,7973,118
2018-08-27$266.08$265.008.9%2.5%7.4%14.0%9.6%3.1%1.0%1.2M-32.5M-151.8K1.1961.885816922,8443,287
2018-08-28$266.30$265.008.9%2.5%7.3%14.0%9.0%2.9%2.0%1.2M-31.3M-160.6K0.9163.147436752,8823,333
2018-08-29$268.01$265.007.5%2.1%7.4%8.9%10.1%2.5%1.2%1.7M-39.4M-147.6K1.1113.716477162,9913,347
2018-08-30$266.51$265.009.4%2.7%7.8%16.1%10.0%3.7%1.2%1.6M-34.8M-158.9K1.2171.736317633,0143,395
2018-08-31$266.61$265.009.4%2.7%7.7%15.9%8.1%3.9%1.3%1.5M-34.6M-158.7K1.4222.486088623,1123,457