VOO Options History — December 2022

In December 2022, VOO traded between $346.07 and $375.02. ATM implied volatility averaged 23.7%, placing in the 46.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 2.6% (HV 20d: 21.0%). Max pain ranged from $345.00 to $360.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2022-12-13: Highest Volume — 3,930 contracts
  • 2022-12-12: Largest IV spike — 42.8% change
  • 2022-12-12: Highest IV Rank — 100.0%
  • 2022-12-12: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$358.75$346.07$375.02$375.02$350.44
Max Pain$349.76$345.00$360.00$360.00$350.00
ATM IV23.7%19.3%40.4%20.9%20.9%
Expected Move6.0%5.5%6.6%6.0%6.0%
HV 20d21.0%17.1%26.6%25.5%18.6%
HV 60d25.0%23.8%26.6%26.6%23.8%
IV Rank46.1%27.6%100.0%40.2%33.3%
IV Percentile47.3%21.4%100.0%33.3%31.0%
Term Structure1.0%-1.5%2.3%-1.5%1.2%
VWIV20.7%19.2%21.9%20.4%20.5%
Skew 25d3.9%2.6%5.0%2.8%3.1%
Skew 10d7.5%4.7%10.5%5.6%5.9%
Call IV 25d18.9%17.6%20.4%19.7%19.2%
Put IV 25d22.8%20.8%25.2%22.5%22.2%
Bid-Ask Spread %60.3241.3675.9746.5963.04
Gamma HHI0.110.070.270.080.13
Net GEX3.5M-26.6M31.1M31.1M-7.4M
Net DEX-116.0M-372.9M19.4M-372.9M-25.8M
Net VEX-2.3M-2.5M-2.1M-2.5M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.243.140.420.73
Total Volume1,908.4297093,9301,2531,133
Total OI78,184.28660,75392,77286,95564,790

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-12-01$375.02$360.0020.9%6.0%25.5%40.2%20.4%2.8%-1.5%31.1M-372.9M-2.5M0.4246.5988337037,97548,980
2022-12-02$373.41$360.0020.3%5.8%25.0%37.6%20.1%2.6%-1.5%30.2M-340.5M-2.5M0.8446.6652043838,32349,117
2022-12-05$366.67$345.0024.3%5.9%26.1%53.9%21.2%4.9%1.8%18.2M-212.3M-2.4M1.8154.245691,03038,41549,224
2022-12-06$361.84$350.0027.4%6.2%26.6%66.8%21.5%4.9%1.1%9.2M-143.8M-2.4M1.9858.627911,56838,43849,794
2022-12-07$361.08$345.0028.4%6.3%26.5%70.9%21.9%5.0%1.1%8.2M-122.3M-2.5M0.5360.5349626538,50750,314
2022-12-08$363.50$345.0027.3%6.0%24.9%66.4%20.7%4.7%1.5%12.0M-153.2M-2.5M1.0068.2281380938,60550,382
2022-12-09$362.31$345.0028.3%6.2%17.4%70.6%20.8%5.0%1.4%8.9M-140.6M-2.4M0.5262.1946624338,72850,926
2022-12-12$365.93$345.0040.4%6.6%17.1%100.0%21.9%4.8%0.3%16.4M-207.0M-2.4M0.2450.251,37133438,94551,120
2022-12-13$370.03$350.0033.9%5.9%17.4%77.8%20.4%4.1%1.3%27.2M-286.1M-2.3M1.7172.611,4492,48139,53951,227
2022-12-14$366.83$350.0019.8%5.7%17.7%29.6%19.6%4.1%2.3%15.3M-204.3M-2.2M0.7975.971,2741,00239,58352,352
2022-12-15$357.69$350.0020.3%5.8%19.7%31.3%21.5%3.9%1.4%-10.5M-53.7M-2.2M1.5552.521,5292,37639,60652,223
2022-12-16$355.02$350.0020.5%5.9%19.8%31.7%20.3%3.9%1.6%-26.6M-10.0M-2.2M1.1665.371,2331,42939,65953,113
2022-12-19$350.23$350.0020.9%6.0%19.9%33.4%20.6%3.9%1.4%-9.5M4.0M-2.1M1.0056.781,4341,42930,74230,011
2022-12-20$350.35$350.0020.4%5.9%19.9%31.5%19.8%3.6%1.5%-7.5M3.5M-2.2M0.4162.071,18548130,81730,807
2022-12-21$354.48$350.0019.3%5.5%19.8%27.6%19.2%3.2%1.7%-3.1M-66.5M-2.1M0.4759.141,13953431,22030,341
2022-12-22$348.32$350.0020.7%5.9%20.3%32.5%21.7%3.7%1.3%-8.3M-4.7M-2.2M3.1462.597682,41331,86930,487
2022-12-23$351.21$350.0020.2%5.8%20.7%30.7%19.5%3.7%1.4%-6.2M-34.2M-2.2M0.3368.2686528432,00031,533
2022-12-27$350.87$350.0021.0%6.0%19.9%33.4%21.0%3.4%1.0%-6.8M-34.3M-2.1M0.7841.3651840432,06031,664
2022-12-28$346.07$350.0021.9%6.3%20.4%36.5%20.4%3.2%0.8%-11.1M19.4M-2.1M0.8368.6392176432,31331,817
2022-12-29$352.55$350.0020.4%5.8%18.8%31.4%20.7%3.4%0.9%-5.6M-49.8M-2.1M0.7171.021,20785932,17032,134
2022-12-30$350.44$350.0020.9%6.0%18.6%33.3%20.5%3.1%1.2%-7.4M-25.8M-2.1M0.7363.0465647732,68232,108