VOO Options History — November 2022

In November 2022, VOO traded between $342.06 and $373.15. ATM implied volatility averaged 23.5%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 2.7% (HV 20d: 26.2%). Max pain ranged from $350.00 to $360.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2022-11-10: Highest Volume — 13,807 contracts
  • 2022-11-28: Largest IV spike — 13.4% change
  • 2022-11-08: Highest IV Rank — 69.4%
  • 2022-11-02: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$359.55$342.06$373.15$353.73$373.15
Max Pain$354.29$350.00$360.00$350.00$360.00
ATM IV23.5%19.2%28.0%26.9%21.7%
Expected Move6.6%5.5%7.7%7.7%6.2%
HV 20d26.2%23.5%29.8%25.0%27.0%
HV 60d25.9%24.4%27.2%24.5%26.8%
IV Rank50.8%33.1%69.4%65.4%43.4%
IV Percentile50.5%25.8%84.1%75.4%35.7%
Term Structure-0.7%-1.9%0.4%-1.8%-1.9%
VWIV23.8%18.9%30.0%27.1%21.2%
Skew 25d3.8%2.7%4.7%3.0%2.7%
Skew 10d7.5%5.1%10.0%5.1%5.7%
Call IV 25d21.1%17.3%25.3%25.3%20.4%
Put IV 25d24.9%21.2%28.4%28.4%23.2%
Bid-Ask Spread %49.6024.5270.8350.0870.83
Gamma HHI0.080.060.130.080.07
Net GEX2.6M-35.7M22.4M-11.4M22.3M
Net DEX-134.5M-318.6M207.3M-25.3M-318.6M
Net VEX-2.9M-3.4M-2.4M-3.4M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.331.660.660.33
Total Volume7,113.85722713,8078,2903,880
Total OI95,474.38181,078102,65099,48884,902

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$353.73$350.0026.9%7.7%25.0%65.4%27.1%3.0%-1.8%-11.4M-25.3M-3.4M0.6650.084,9973,29334,66664,822
2022-11-02$346.14$350.0026.9%7.7%26.2%65.4%26.5%2.9%-1.4%-25.8M112.8M-3.4M0.6968.525,9714,12035,85566,132
2022-11-03$342.06$355.0026.6%7.3%26.2%64.2%24.9%3.9%-1.0%-35.7M207.3M-3.4M1.0258.995,0645,16435,64266,320
2022-11-04$345.39$355.0025.7%7.1%23.7%60.4%22.7%3.6%-0.6%-28.8M126.7M-3.3M0.7041.414,7593,32235,79266,030
2022-11-07$349.20$355.0026.1%7.0%23.8%61.7%22.8%3.3%-0.8%-20.3M38.6M-3.2M0.6636.945,0863,35136,16266,063
2022-11-08$352.13$350.0028.0%7.2%23.5%69.4%28.4%3.7%-0.9%-13.0M-25.6M-3.1M1.4261.764,8606,88936,44366,207
2022-11-09$344.10$355.0025.7%7.4%25.3%60.0%29.6%4.2%-1.0%-30.6M131.1M-3.2M1.4040.284,5226,34336,68365,604
2022-11-10$361.98$350.0023.8%6.8%29.8%52.1%26.3%3.6%-0.5%8.7M-201.0M-3.0M1.1553.806,4317,37636,75364,742
2022-11-11$366.68$350.0022.6%6.5%28.3%47.1%27.6%3.8%-0.1%19.0M-294.7M-3.0M1.6658.874,0766,76938,08163,889
2022-11-14$364.91$355.0022.6%6.5%27.5%47.1%30.0%4.1%-0.3%19.4M-278.4M-2.9M1.6324.523,5925,86338,25662,423
2022-11-15$366.24$355.0022.9%6.6%27.4%48.1%22.5%4.6%-0.3%22.4M-305.3M-2.9M0.8763.743,7133,22038,69062,554
2022-11-16$363.51$355.0022.6%6.5%27.3%46.9%22.7%4.7%-0.5%21.0M-256.2M-2.8M0.6863.303,6222,47339,03262,559
2022-11-17$361.16$355.0022.9%6.6%27.3%48.6%23.4%4.3%-0.2%16.3M-212.8M-2.8M0.8961.093,5093,11439,23962,601
2022-11-18$364.16$355.0021.7%6.2%26.2%43.5%21.6%4.0%-0.1%19.8M-265.8M-2.7M0.7840.693,5022,71839,66062,838
2022-11-21$362.50$355.0022.1%6.3%26.1%45.0%20.9%3.7%-0.5%6.9M-169.6M-2.6M0.6443.092,8921,86233,73547,343
2022-11-22$367.41$355.0020.8%6.0%26.0%39.7%19.6%3.9%-0.2%11.6M-220.8M-2.6M0.6428.163,0021,91334,22047,572
2022-11-23$369.45$355.0019.2%5.5%25.9%33.1%18.9%3.8%0.4%16.1M-258.6M-2.6M0.6143.512,9761,82534,80547,874
2022-11-25$369.94$355.0019.6%5.6%25.7%34.6%20.7%4.1%0.3%17.8M-267.3M-2.6M1.1043.1510811935,20948,129
2022-11-28$363.68$355.0022.2%6.4%25.6%45.4%21.9%4.6%-1.1%9.7M-172.4M-2.6M0.8847.5675366235,28248,173
2022-11-29$363.00$360.0022.4%6.4%25.5%46.3%20.9%4.0%-1.6%8.4M-169.4M-2.4M0.4541.391,15752335,48848,492
2022-11-30$373.15$360.0021.7%6.2%27.0%43.4%21.2%2.7%-1.9%22.3M-318.6M-2.6M0.3370.832,91496636,12548,777