VOO Options History — December 2018

In December 2018, VOO traded between $216.33 and $256.34. ATM implied volatility averaged 23.3%, placing in the 64.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.4% (HV 20d: 21.9%). Max pain ranged from $235.00 to $255.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2018-12-28: Highest Volume — 804 contracts
  • 2018-12-04: Largest IV spike — 27.2% change
  • 2018-12-24: Highest IV Rank — 100.0%
  • 2018-12-24: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$236.30$216.33$256.34$256.34$229.18
Max Pain$249.75$235.00$255.00$255.00$235.00
ATM IV23.3%16.3%32.9%16.3%24.9%
Expected Move6.5%4.7%9.4%4.7%7.1%
HV 20d21.9%18.5%27.7%18.5%26.6%
HV 60d19.5%17.0%22.5%17.0%22.5%
IV Rank64.8%38.5%100.0%38.5%70.2%
IV Percentile94.0%78.2%100.0%78.2%96.8%
Term Structure-1.5%-4.6%0.6%-0.7%-1.2%
VWIV22.6%16.3%33.4%16.3%23.7%
Skew 25d6.5%2.4%11.2%5.5%7.4%
Skew 10d11.2%1.1%22.0%7.8%22.0%
Call IV 25d20.1%13.8%27.4%13.8%22.2%
Put IV 25d26.6%19.2%36.1%19.2%29.6%
Bid-Ask Spread %74.9155.3389.3587.9075.78
Gamma HHI0.140.080.220.220.08
Net GEX-75.2K-947.4K1.3M1.3M353.2K
Net DEX16.3M-10.3M34.8M-10.3M4.5M
Net VEX-98.8K-145.0K-54.9K-145.0K-82.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.461.770.461.50
Total Volume460.45120804320120
Total OI5,915.44,5906,6965,5775,277

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$256.34$255.0016.3%4.7%18.5%38.5%16.3%5.5%-0.7%1.3M-10.3M-145.0K0.4687.902191013,1852,392
2018-12-04$248.76$255.0020.8%5.9%21.5%55.3%21.9%2.4%-3.2%431.1K6.1M-132.5K0.5689.352751543,2772,431
2018-12-05$248.46$255.0021.3%6.1%21.4%57.4%22.5%6.4%-3.3%433.8K6.4M-131.1K0.5788.392771593,2772,431
2018-12-06$247.67$255.0020.2%5.1%19.5%53.3%17.2%8.6%0.4%164.8K12.4M-123.4K1.0273.752762813,3192,435
2018-12-07$244.42$255.0022.9%5.6%19.9%63.6%17.4%4.8%-0.7%-12.9K14.2M-126.9K0.5276.753771953,4312,515
2018-12-10$242.99$255.0022.8%5.7%19.9%63.1%21.2%7.6%-0.3%-104.8K17.9M-119.2K0.6369.993161993,6942,589
2018-12-11$243.39$255.0021.6%5.4%18.9%58.6%19.6%7.1%0.2%-202.5K16.6M-119.2K0.9676.341791713,7452,634
2018-12-12$245.06$255.0019.1%5.5%19.1%49.2%19.2%5.5%-0.7%-71.4K14.3M-122.4K1.2676.341622043,7972,723
2018-12-13$243.97$255.0018.2%5.2%19.1%45.7%17.4%5.0%0.6%-418.3K18.1M-118.5K1.0879.781701833,8102,767
2018-12-14$238.78$255.0019.7%5.7%20.3%51.4%19.9%4.9%-0.4%-947.4K26.5M-104.8K0.6178.472611583,8492,768
2018-12-17$231.86$255.0022.8%6.5%22.1%63.2%21.0%4.5%-0.8%-786.6K34.7M-84.7K1.7777.161071893,8672,779
2018-12-18$233.74$255.0022.5%6.4%21.7%61.8%21.8%5.5%-0.7%-932.8K34.8M-86.6K1.3768.071351853,8842,812
2018-12-19$229.46$250.0022.6%6.5%22.0%62.4%21.6%6.2%-1.3%-701.4K33.0M-69.2K1.3382.202022683,9402,505
2018-12-20$225.47$250.0024.0%6.9%22.5%67.7%24.5%5.8%-1.7%-419.7K29.5M-66.4K1.6075.391612573,9632,284
2018-12-21$221.82$250.0027.1%7.8%22.9%79.1%25.7%6.7%-3.7%-86.3K30.9M-59.6K1.1166.692933253,9652,260
2018-12-24$216.33$240.0032.9%9.4%22.9%100.0%31.4%8.2%-4.6%-64.3K13.8M-54.9K0.5155.334482303,2301,360
2018-12-26$224.74$240.0028.6%8.2%27.7%84.2%31.2%9.1%-2.0%185.2K9.2M-67.9K0.8560.033162703,4511,466
2018-12-27$226.35$235.0030.9%8.9%26.3%92.6%33.4%11.2%-4.1%189.1K7.5M-79.7K0.7565.523332493,4871,593
2018-12-28$227.16$235.0027.2%7.8%26.3%78.8%25.7%7.6%-1.8%205.8K6.1M-81.6K1.5574.903154893,4941,622
2018-12-31$229.18$235.0024.9%7.1%26.6%70.2%23.7%7.4%-1.2%353.2K4.5M-82.5K1.5075.7848723,5881,689