VOO Options History — July 2019

In July 2019, VOO traded between $271.24 and $277.42. ATM implied volatility averaged 10.6%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 3.0% (HV 20d: 7.6%). Max pain ranged from $255.00 to $270.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.74.

Notable Days

  • 2019-07-25: Highest Volume — 851 contracts
  • 2019-07-10: Largest IV spike — 23.1% change
  • 2019-07-30: Highest IV Rank — 22.3%
  • 2019-07-30: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$274.52$271.24$277.42$271.24$274.32
Max Pain$263.86$255.00$270.00$265.00$270.00
ATM IV10.6%8.6%12.6%11.5%12.1%
Expected Move3.1%2.5%3.6%3.3%3.5%
HV 20d7.6%6.5%10.6%10.6%7.1%
HV 60d12.2%12.1%12.4%12.2%12.2%
IV Rank14.7%7.2%22.3%18.2%20.6%
IV Percentile29.4%8.7%45.6%35.3%40.1%
Term Structure1.3%-0.0%2.0%1.2%0.8%
VWIV11.5%10.0%13.3%12.3%12.2%
Skew 25d4.3%2.3%5.2%4.0%4.5%
Skew 10d8.5%5.7%11.2%7.5%10.7%
Call IV 25d9.2%8.1%10.8%9.6%10.8%
Put IV 25d13.5%10.7%15.3%13.6%15.3%
Bid-Ask Spread %80.1174.0588.3985.2288.39
Gamma HHI0.180.140.230.190.17
Net GEX1.4M-401.3K3.1M1.4M1.9M
Net DEX-29.4M-41.4M-17.0M-24.0M-17.6M
Net VEX-151.9K-175.3K-136.1K-167.7K-175.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.121.641.230.60
Total Volume362.45579851241388
Total OI6,086.2734,3586,9926,2515,774

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-07-01$271.24$265.0011.5%3.3%10.6%18.2%12.3%4.0%1.2%1.4M-24.0M-167.7K1.2385.221081332,7243,527
2019-07-02$271.79$265.0010.3%2.9%8.4%13.5%10.5%3.7%1.6%1.4M-26.2M-157.6K0.5187.64134682,7683,603
2019-07-03$273.94$265.008.6%2.5%8.2%7.2%10.0%2.3%2.0%1.2M-33.2M-154.9K0.4984.58169822,7853,622
2019-07-05$273.77$255.008.7%3.1%8.0%7.3%13.3%4.6%1.2%1.2M-33.6M-154.7K0.6574.941661082,7823,617
2019-07-08$272.73$260.008.9%3.1%7.7%8.1%11.1%4.9%1.2%1.3M-30.3M-152.9K0.7974.05106842,8273,646
2019-07-09$272.65$260.008.8%3.2%7.6%7.8%11.9%5.2%1.1%1.3M-30.3M-154.0K0.6574.361591032,8863,695
2019-07-10$274.16$260.0010.8%3.1%7.7%15.6%12.6%4.5%1.6%1.2M-34.3M-154.8K0.9979.651341322,8983,740
2019-07-11$274.50$260.0010.9%3.1%7.6%15.9%13.0%4.7%1.5%1.0M-35.2M-148.7K1.3277.431652182,9003,755
2019-07-12$275.95$265.0010.9%3.1%7.7%15.8%12.5%4.3%1.5%1.1M-40.7M-148.2K1.5778.851842882,9473,855
2019-07-15$276.06$265.0011.0%3.1%7.7%16.2%12.2%4.1%1.5%829.6K-41.4M-144.0K0.4977.3582402,9613,833
2019-07-16$275.54$260.0010.6%3.0%7.8%14.7%11.0%4.3%1.9%364.7K-40.3M-144.6K0.2577.55110272,9843,863
2019-07-17$273.90$265.0010.7%3.1%7.7%15.0%10.6%4.9%1.7%461.5K-33.8M-147.8K0.2378.35237543,0173,873
2019-07-18$274.20$260.0010.9%3.1%7.6%16.0%11.5%5.1%1.5%-401.3K-35.4M-146.8K0.4078.882631063,0573,885
2019-07-19$273.48$265.0011.0%3.1%7.2%16.2%11.8%5.2%1.6%838.4K-31.7M-143.7K1.4778.782413543,0503,942
2019-07-22$273.44$265.0010.8%3.1%7.2%15.5%10.4%4.8%1.2%1.2M-17.0M-141.2K0.6579.3048311,9052,453
2019-07-23$275.39$265.0010.6%3.0%7.4%14.9%10.8%4.0%1.2%1.5M-20.6M-136.1K0.1276.74543661,9172,458
2019-07-24$276.60$265.0010.5%3.0%6.5%14.5%10.2%3.6%1.3%2.5M-24.9M-138.8K0.1678.00587932,4282,493
2019-07-25$275.38$265.0010.8%3.1%6.8%15.4%10.0%3.8%1.0%2.4M-23.1M-144.8K0.1882.297231282,5082,521
2019-07-26$277.42$265.0010.9%3.1%7.1%15.7%10.4%3.7%1.0%3.1M-27.5M-150.5K1.6484.543185202,6172,548
2019-07-29$276.99$270.0011.3%3.2%7.1%17.4%11.2%4.0%0.8%2.6M-23.7M-161.9K1.3982.00771072,6112,938
2019-07-30$275.99$270.0012.6%3.6%6.6%22.3%12.6%4.2%-0.0%2.3M-21.1M-172.5K0.5883.531841062,6623,023
2019-07-31$274.32$270.0012.1%3.5%7.1%20.6%12.2%4.5%0.8%1.9M-17.6M-175.3K0.6088.392421462,7273,047