VOO Options History — August 2023

In August 2023, VOO traded between $400.58 and $419.40. ATM implied volatility averaged 13.3%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.9% (HV 20d: 10.4%). Max pain ranged from $380.00 to $400.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.04.

Notable Days

  • 2023-08-10: Highest Volume — 4,477 contracts
  • 2023-08-02: Largest IV spike — 15.8% change
  • 2023-08-17: Highest IV Rank — 19.6%
  • 2023-08-17: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$408.92$400.58$419.40$419.40$414.93
Max Pain$386.96$380.00$400.00$400.00$390.00
ATM IV13.3%10.6%15.8%11.0%10.6%
Expected Move3.8%3.0%4.5%3.1%3.0%
HV 20d10.4%8.9%13.0%8.9%12.1%
HV 60d10.6%10.4%10.9%10.5%10.8%
IV Rank11.6%2.8%19.6%4.0%2.8%
IV Percentile18.3%2.4%31.3%4.8%2.4%
Term Structure0.7%0.3%1.5%0.9%1.5%
VWIV13.6%10.6%17.9%17.9%10.6%
Skew 25d4.1%1.9%5.1%2.6%1.9%
Skew 10d8.4%4.1%11.0%6.6%4.1%
Call IV 25d11.5%9.9%13.1%10.2%9.9%
Put IV 25d15.6%11.9%18.2%12.8%11.9%
Bid-Ask Spread %53.5546.4065.5053.0365.50
Gamma HHI0.110.060.270.270.11
Net GEX31.9M15.3M54.2M54.2M44.1M
Net DEX-521.0M-659.7M-413.1M-656.4M-659.7M
Net VEX-2.5M-2.6M-2.3M-2.5M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.116.846.840.78
Total Volume2,128.9571,0404,4774,2981,467
Total OI52,911.04349,19957,18152,49053,325

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-08-01$419.40$400.0011.0%3.1%8.9%4.0%17.9%2.6%0.9%54.2M-656.4M-2.5M6.8453.035483,75032,87619,614
2023-08-02$413.70$400.0012.7%3.6%10.4%9.7%13.5%3.5%0.7%42.1M-555.0M-2.5M0.5348.211,59083532,87617,789
2023-08-03$412.77$380.0012.7%3.8%9.8%9.6%14.9%4.8%0.7%39.5M-529.3M-2.5M1.0752.751,0891,17033,20418,044
2023-08-04$410.26$385.0014.0%4.1%10.1%13.9%14.7%5.0%0.3%32.6M-483.1M-2.5M1.2354.4076794433,55718,217
2023-08-07$413.39$385.0012.3%3.8%10.4%8.5%12.8%5.0%0.5%40.6M-537.3M-2.5M0.2853.531,01227933,73118,902
2023-08-08$412.66$385.0012.3%3.7%10.2%8.3%14.1%5.0%0.7%29.5M-506.2M-2.4M0.7448.1482661134,20019,051
2023-08-09$410.53$385.0013.9%4.0%9.9%13.5%12.5%4.8%0.6%33.0M-488.5M-2.4M0.1153.053,90844734,28719,267
2023-08-10$409.01$385.0013.8%3.9%9.3%13.1%15.9%4.7%0.5%24.2M-453.6M-2.4M0.1152.894,02944832,33319,534
2023-08-11$409.37$385.0013.2%3.8%9.3%11.2%13.0%4.5%0.6%27.5M-560.1M-2.5M1.0153.7767067735,54119,621
2023-08-14$411.19$385.0013.2%3.8%9.3%11.3%12.2%4.3%0.7%29.8M-593.8M-2.5M0.5353.731,06756835,60319,901
2023-08-15$406.62$385.0014.7%4.2%9.6%16.2%14.0%4.7%0.3%24.2M-513.3M-2.5M1.0846.401,1281,22335,85420,190
2023-08-16$404.62$385.0014.4%4.1%9.6%15.0%13.8%4.5%0.5%20.1M-473.4M-2.5M1.0150.4895095535,93120,757
2023-08-17$400.58$385.0015.8%4.5%9.8%19.6%14.5%5.1%0.4%15.3M-413.1M-2.5M0.7949.391,6301,29236,09520,635
2023-08-18$401.59$385.0015.2%4.4%9.9%17.8%14.3%4.5%0.3%23.0M-460.7M-2.5M1.9350.601,4772,85136,73020,451
2023-08-21$404.10$385.0014.1%4.1%10.1%14.3%14.1%4.2%0.7%25.7M-454.1M-2.5M0.3653.451,38349730,12119,078
2023-08-22$402.19$385.0015.2%4.4%9.9%17.7%14.6%4.4%0.3%26.3M-432.2M-2.6M1.3251.8946461330,76019,315
2023-08-23$407.29$385.0013.9%4.0%11.2%13.7%13.5%3.8%0.7%30.4M-510.3M-2.5M0.6757.4865443830,87519,552
2023-08-24$402.18$385.0014.9%4.3%11.7%16.9%14.0%4.3%0.6%27.0M-439.4M-2.5M1.0054.3661761731,14619,634
2023-08-25$404.88$385.0012.8%3.7%11.3%10.0%12.3%3.5%1.2%29.8M-484.8M-2.4M0.5558.9267136931,24819,890
2023-08-28$406.72$390.0013.0%3.7%11.5%10.5%12.0%3.1%0.9%32.3M-508.8M-2.4M0.4957.081,16756731,47320,045
2023-08-29$412.93$390.0011.6%3.3%13.0%6.0%12.1%2.8%0.9%40.6M-622.0M-2.4M0.4359.341,08547032,33020,313
2023-08-30$414.23$390.0011.0%3.2%12.1%4.1%11.5%2.3%1.4%42.2M-647.4M-2.4M1.1353.3153960732,59520,463
2023-08-31$414.93$390.0010.6%3.0%12.1%2.8%10.6%1.9%1.5%44.1M-659.7M-2.3M0.7865.5082264532,68120,644