VOO Options History — July 2023

In July 2023, VOO traded between $403.28 and $419.44. ATM implied volatility averaged 11.2%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 0.9% (HV 20d: 10.3%). Max pain ranged from $375.00 to $395.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.53.

Notable Days

  • 2023-07-05: Highest Volume — 10,908 contracts
  • 2023-07-27: Largest IV spike — 13.6% change
  • 2023-07-11: Highest IV Rank — 7.6%
  • 2023-07-06: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$412.93$403.28$419.44$407.83$419.44
Max Pain$382.50$375.00$395.00$390.00$395.00
ATM IV11.2%10.0%12.1%10.0%10.8%
Expected Move3.3%2.9%3.6%2.9%3.1%
HV 20d10.3%8.9%11.3%10.3%8.9%
HV 60d11.7%10.8%12.2%12.0%10.8%
IV Rank4.7%0.8%7.6%0.8%3.4%
IV Percentile4.5%0.4%11.9%0.4%2.4%
Term Structure0.8%0.5%1.2%1.2%1.0%
VWIV12.0%10.8%14.2%10.9%11.1%
Skew 25d3.0%2.0%4.6%2.0%2.1%
Skew 10d6.5%3.9%10.3%5.3%3.9%
Call IV 25d10.3%9.7%10.8%9.7%10.1%
Put IV 25d13.3%11.7%15.3%11.7%12.2%
Bid-Ask Spread %55.9635.1075.5244.9750.67
Gamma HHI0.190.100.310.100.28
Net GEX40.0M12.3M55.5M33.5M55.5M
Net DEX-542.7M-659.3M-374.2M-479.7M-654.0M
Net VEX-2.2M-2.4M-2.1M-2.1M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.231.760.720.23
Total Volume2,465.680510,9089752,166
Total OI50,821.1541,42256,56241,42251,328

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-07-03$407.83$390.0010.0%2.9%10.3%0.8%10.9%2.0%1.2%33.5M-479.7M-2.1M0.7244.9756740825,29016,132
2023-07-05$407.45$390.0011.3%3.2%10.2%5.2%12.4%2.3%1.2%32.7M-464.8M-2.1M1.7652.103,9476,96125,09716,336
2023-07-06$403.86$375.0011.5%3.6%10.9%5.7%14.2%4.6%0.7%15.9M-374.2M-2.3M0.6666.1991260428,48922,945
2023-07-07$403.84$375.0010.5%3.5%10.7%2.3%13.0%4.0%0.8%15.3M-383.5M-2.3M0.6850.1549834028,78223,214
2023-07-10$403.28$375.0011.3%3.6%10.6%5.2%12.9%4.3%0.8%12.3M-387.5M-2.2M0.3169.7077023529,13823,267
2023-07-11$406.11$375.0012.1%3.6%10.8%7.6%12.8%3.7%0.8%23.2M-432.0M-2.3M0.4340.2756424129,48023,304
2023-07-12$409.88$375.0011.3%3.2%10.9%5.2%11.7%3.4%0.9%36.1M-516.1M-2.2M0.4148.701,38857329,59523,374
2023-07-13$413.75$375.0011.0%3.2%11.2%4.1%11.9%2.8%0.8%42.7M-587.0M-2.2M0.3935.101,47858229,72823,501
2023-07-14$412.62$375.0010.8%3.1%11.3%3.4%11.8%2.8%1.0%41.4M-569.7M-2.1M0.4262.8599141429,81723,578
2023-07-17$414.68$380.0011.3%3.2%10.2%5.1%11.9%2.6%0.9%47.1M-607.8M-2.1M0.7765.711,3421,03029,86023,751
2023-07-18$417.57$380.0011.0%3.2%10.3%4.1%11.9%2.1%0.8%50.9M-657.9M-2.1M0.5571.022,3501,30330,17024,251
2023-07-19$418.49$385.0011.2%3.2%10.0%4.8%12.1%2.9%0.8%54.5M-659.3M-2.3M0.3070.151,77152930,83325,068
2023-07-20$415.28$385.0011.8%3.4%10.2%6.8%12.1%2.6%0.7%50.4M-616.7M-2.2M0.4954.431,38768331,24525,204
2023-07-21$415.71$385.0011.4%3.3%10.2%5.4%11.9%2.3%0.8%50.3M-618.6M-2.2M0.4075.522,06281831,30225,260
2023-07-24$417.23$385.0011.8%3.4%9.9%6.8%11.7%2.7%0.5%43.7M-532.3M-2.2M0.6561.721,44293927,38717,348
2023-07-25$418.74$380.0011.3%3.3%9.6%5.2%11.4%2.6%0.6%47.3M-579.5M-2.3M0.4553.641,07848728,33717,974
2023-07-26$418.21$385.0010.5%3.0%9.2%2.6%12.1%3.6%0.7%51.1M-558.0M-2.2M0.3954.362,01077728,67818,219
2023-07-27$415.18$390.0012.0%3.4%9.7%7.3%12.4%3.7%0.5%42.9M-538.9M-2.4M0.3553.072,65392729,95918,744
2023-07-28$419.42$395.0010.4%3.0%10.1%2.3%10.8%2.6%1.0%52.9M-636.7M-2.4M0.2838.951,62546031,24119,197
2023-07-31$419.44$395.0010.8%3.1%8.9%3.4%11.1%2.1%1.0%55.5M-654.0M-2.4M0.2350.671,75441231,93519,393