VOO Options History — November 2018

In November 2018, VOO traded between $242.01 and $257.95. ATM implied volatility averaged 18.6%, placing in the 47.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 2.3% (HV 20d: 20.9%). Max pain ranged from $250.00 to $260.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2018-11-07: Highest Volume — 1,786 contracts
  • 2018-11-12: Largest IV spike — 59.1% change
  • 2018-11-12: Highest IV Rank — 63.7%
  • 2018-11-23: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$250.14$242.01$257.95$251.05$253.66
Max Pain$256.67$250.00$260.00$250.00$255.00
ATM IV18.6%14.2%23.0%18.8%17.5%
Expected Move5.1%4.1%5.8%5.4%5.0%
HV 20d20.9%18.3%22.4%22.1%18.3%
HV 60d15.3%14.0%16.9%14.0%16.9%
IV Rank47.4%31.4%63.7%49.3%43.0%
IV Percentile87.8%74.2%97.2%91.3%82.5%
Term Structure-0.9%-2.0%0.4%-1.3%-1.8%
VWIV17.9%15.0%21.5%16.8%19.6%
Skew 25d5.7%4.2%7.1%5.7%5.0%
Skew 10d10.7%8.8%12.7%10.8%11.5%
Call IV 25d15.4%12.7%17.9%16.0%17.2%
Put IV 25d21.1%17.6%24.3%21.7%22.2%
Bid-Ask Spread %60.6124.0884.8659.1681.21
Gamma HHI0.200.160.250.210.20
Net GEX529.2K-164.0K1.5M640.0K870.3K
Net DEX2.9M-14.0M17.7M-949.5K-1.8M
Net VEX-138.4K-151.5K-120.4K-143.5K-151.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.641.731.731.07
Total Volume1,215.9059461,7861,0331,051
Total OI5,362.2384,8066,0434,8065,536

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$251.05$250.0018.8%5.4%22.1%49.3%16.8%5.7%-1.3%640.0K-949.5K-143.5K1.7359.163786552,6732,133
2018-11-02$249.75$250.0019.4%5.6%22.1%51.8%18.6%6.5%-1.5%484.0K1.1M-142.9K1.3664.274736422,6852,156
2018-11-05$251.14$260.0020.7%5.2%22.3%56.4%16.7%6.2%-0.7%668.2K-959.1K-144.8K1.4549.894947182,8332,216
2018-11-06$252.07$260.0020.8%5.2%22.4%56.9%17.7%5.9%-0.7%663.3K-2.1M-145.8K1.1133.356397102,8312,277
2018-11-07$257.95$260.0014.2%4.1%21.7%32.1%15.9%4.8%0.4%1.5M-14.0M-148.8K0.6442.721,0906962,9832,330
2018-11-08$257.08$260.0014.9%4.4%20.5%33.2%15.0%4.9%-0.4%1.3M-11.2M-139.9K1.1171.466467162,8342,357
2018-11-09$255.90$260.0014.4%4.4%20.5%31.4%15.4%5.8%0.1%1.2M-7.4M-138.5K0.7357.939607002,8882,379
2018-11-12$250.91$260.0023.0%5.1%21.7%63.7%16.7%7.1%-0.9%905.0K369.3K-143.6K0.6624.081,0677063,2442,407
2018-11-13$249.95$260.0022.7%5.0%20.8%62.7%17.6%6.8%-0.4%515.4K4.6M-139.7K1.1851.946037113,2892,478
2018-11-14$248.99$255.0017.6%5.1%20.8%43.5%16.8%6.4%-0.5%552.8K4.3M-143.4K1.4231.895257433,4332,546
2018-11-15$250.36$255.0018.4%5.3%20.6%46.6%17.5%6.7%-1.1%454.0K3.4M-147.3K1.1546.836627593,4442,599
2018-11-16$251.86$260.0016.7%4.8%20.7%39.9%15.6%5.8%-0.1%378.6K853.1K-143.6K1.3035.765236783,2992,637
2018-11-19$246.83$260.0019.2%5.5%21.8%49.5%19.2%5.5%-0.9%335.7K7.4M-130.8K1.2270.374905962,8222,138
2018-11-20$243.31$255.0020.3%5.8%22.3%53.6%21.5%6.4%-1.3%-13.9K15.5M-127.0K1.1578.404895642,8682,286
2018-11-21$243.81$255.0018.1%5.2%21.2%45.1%19.7%5.7%0.0%-111.4K14.6M-127.1K0.9676.994914702,9072,322
2018-11-23$242.01$255.0020.3%5.8%21.1%53.7%20.8%5.8%-1.5%-164.0K17.7M-120.4K1.0875.594795152,9622,336
2018-11-26$245.63$255.0018.6%5.3%20.5%47.0%19.3%4.6%-1.3%-112.1K14.0M-120.5K0.9773.934834702,9672,349
2018-11-27$246.31$255.0018.7%5.4%19.5%47.5%19.0%5.6%-1.5%-16.0K13.1M-123.2K0.9777.554814652,9772,353
2018-11-28$251.75$255.0018.6%5.3%19.2%47.3%17.8%4.2%-2.0%442.9K3.4M-138.3K0.8984.715314702,9912,364
2018-11-29$252.54$255.0017.3%5.0%18.3%42.3%19.1%5.0%-1.1%718.2K-992.0K-145.4K0.9684.865084873,0982,380
2018-11-30$253.66$255.0017.5%5.0%18.3%43.0%19.6%5.0%-1.8%870.3K-1.8M-151.5K1.0781.215075443,1412,395