VOO Options History — July 2022

In July 2022, VOO traded between $347.29 and $379.39. ATM implied volatility averaged 23.3%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.9% (HV 20d: 24.2%). Max pain ranged from $340.00 to $375.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.52.

Notable Days

  • 2022-07-13: Highest Volume — 12,620 contracts
  • 2022-07-11: Largest IV spike — 27.7% change
  • 2022-07-12: Highest IV Rank — 85.5%
  • 2022-07-05: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$358.33$347.29$379.39$350.48$379.39
Max Pain$348.25$340.00$375.00$375.00$360.00
ATM IV23.3%18.1%31.7%24.5%18.1%
Expected Move6.5%5.2%7.3%7.0%5.2%
HV 20d24.2%18.5%30.9%30.8%19.7%
HV 60d28.7%28.1%29.2%28.9%28.4%
IV Rank53.1%32.8%85.5%59.2%32.8%
IV Percentile69.1%47.2%98.8%76.2%47.2%
Term Structure0.3%-0.5%1.3%0.3%1.3%
VWIV22.9%19.5%26.1%24.2%19.5%
Skew 25d6.1%3.9%7.5%5.0%3.9%
Skew 10d10.9%7.7%12.9%8.3%7.7%
Call IV 25d19.8%16.8%22.2%22.2%16.8%
Put IV 25d25.9%20.7%28.9%27.2%20.7%
Bid-Ask Spread %64.0557.1771.3969.8071.39
Gamma HHI0.130.060.340.120.06
Net GEX-22.4M-51.9M8.4M-50.8M8.4M
Net DEX214.5M-349.6M660.0M640.0M-349.6M
Net VEX-3.8M-4.3M-3.4M-4.3M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.311.130.760.51
Total Volume6,341.94,90612,6205,7516,264
Total OI92,244.0574,743108,754101,60881,183

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-07-01$350.48$375.0024.5%7.0%30.8%59.2%24.2%5.0%0.3%-50.8M640.0M-4.3M0.7669.803,2702,48132,56269,046
2022-07-05$350.27$350.0027.2%7.3%30.5%69.3%25.6%7.4%-0.5%-51.9M660.0M-4.1M0.3257.178,3742,70632,89469,292
2022-07-06$353.34$345.0025.3%7.0%30.8%60.7%24.8%7.0%-0.1%-43.9M526.4M-4.1M0.6061.723,1561,90636,48469,708
2022-07-07$357.39$345.0024.3%7.0%30.9%57.0%23.5%7.3%-0.0%-46.2M431.0M-4.1M0.6762.193,3052,19836,77769,690
2022-07-08$357.80$345.0021.1%6.5%30.8%44.5%22.9%6.9%0.6%-49.4M404.0M-4.0M0.4659.353,8611,78237,03969,742
2022-07-11$352.84$345.0027.0%6.9%30.4%67.2%26.1%7.1%0.0%-47.0M574.2M-3.9M0.5460.623,2791,78536,99569,818
2022-07-12$349.18$345.0031.7%7.2%28.9%85.5%24.7%7.5%-0.2%-41.6M643.8M-3.8M0.5364.623,3091,74836,87468,773
2022-07-13$348.74$350.0024.4%7.0%23.8%57.3%22.5%6.8%-0.4%-41.6M642.6M-3.7M0.7161.067,3845,23636,90068,146
2022-07-14$347.29$350.0025.1%7.2%23.9%60.2%25.8%6.5%-0.2%-49.9M605.7M-3.7M0.5262.604,7222,43540,72267,824
2022-07-15$353.30$340.0022.2%6.4%24.0%48.6%21.1%6.6%0.5%-42.2M309.2M-3.6M1.1364.654,4805,05242,05366,701
2022-07-18$350.35$340.0024.1%6.9%19.7%56.3%22.3%6.9%-0.0%-8.6M105.9M-3.7M0.3162.694,4851,37526,36948,374
2022-07-19$360.77$345.0022.9%6.6%22.0%51.4%22.1%6.7%0.1%-2.5M-34.6M-3.7M0.3361.734,0271,31427,53148,718
2022-07-20$363.32$345.0021.8%6.3%20.5%47.3%21.6%6.1%0.5%140.5K-86.4M-3.7M0.3765.843,8851,44028,80648,940
2022-07-21$365.59$345.0021.1%6.1%20.5%44.5%21.6%5.2%0.9%2.6M-132.4M-3.6M0.3961.703,5381,36829,34349,077
2022-07-22$362.36$345.0021.4%6.1%20.8%45.7%22.3%5.2%0.8%982.8K-72.5M-3.7M0.4068.053,7321,49729,64749,138
2022-07-25$362.45$345.0021.9%6.3%18.5%47.4%21.7%5.4%0.6%2.1M-89.1M-3.7M0.3665.343,7111,33830,32049,284
2022-07-26$359.14$350.0022.5%6.5%18.8%49.9%22.7%5.8%0.0%201.0K-31.5M-3.7M0.3863.693,8571,45830,40149,274
2022-07-27$369.66$350.0020.5%5.9%19.8%41.9%21.2%5.4%0.7%6.5M-217.2M-3.4M0.5068.993,6251,80230,44649,501
2022-07-28$372.91$350.0019.0%5.4%19.6%36.2%21.0%4.3%1.0%7.3M-240.3M-3.6M0.5867.743,5702,08330,85249,637
2022-07-29$379.39$360.0018.1%5.2%19.7%32.8%19.5%3.9%1.3%8.4M-349.6M-3.4M0.5171.394,1492,11531,01550,168