VOO Options History — November 2023

In November 2023, VOO traded between $388.68 and $418.35. ATM implied volatility averaged 12.0%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 3.4% (HV 20d: 15.4%). Max pain ranged from $365.00 to $385.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2023-11-14: Highest Volume — 3,968 contracts
  • 2023-11-03: Largest IV drop — 9.8% change
  • 2023-11-01: Highest IV Rank — 18.1%
  • 2023-11-01: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$409.12$388.68$418.35$388.68$418.35
Max Pain$369.52$365.00$385.00$385.00$370.00
ATM IV12.0%10.2%15.3%15.3%11.1%
Expected Move3.5%2.9%4.4%4.4%3.2%
HV 20d15.4%11.9%17.9%15.3%11.9%
HV 60d13.7%12.9%14.3%12.9%13.4%
IV Rank7.5%1.6%18.1%18.1%4.4%
IV Percentile16.2%1.2%42.5%42.5%10.3%
Term Structure0.4%-0.2%0.9%-0.2%0.2%
VWIV12.8%10.7%17.2%17.2%11.8%
Skew 25d2.7%1.6%4.0%3.5%2.1%
Skew 10d6.1%3.8%8.3%7.6%6.2%
Call IV 25d11.1%9.8%13.9%13.9%10.6%
Put IV 25d13.8%11.7%17.4%17.4%12.7%
Bid-Ask Spread %56.8726.6974.2370.6426.69
Gamma HHI0.120.070.260.070.13
Net GEX40.1M19.5M55.1M19.5M39.8M
Net DEX-584.5M-720.9M-305.0M-305.0M-633.2M
Net VEX-1.8M-2.0M-1.5M-2.0M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.141.161.160.88
Total Volume1,754.2865903,9682,155974
Total OI53,357.52449,32957,56551,35652,381

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$388.68$385.0015.3%4.4%15.3%18.1%17.2%3.5%-0.2%19.5M-305.0M-2.0M1.1670.649991,15630,72120,635
2023-11-02$395.59$365.0014.0%4.2%16.5%13.9%17.0%4.0%0.1%28.6M-411.3M-1.9M1.0069.651,5391,53431,03120,703
2023-11-03$399.88$365.0012.6%3.9%16.4%9.4%13.9%4.0%0.2%34.4M-483.8M-1.9M0.4969.621,64179631,55721,572
2023-11-06$399.51$365.0012.9%3.9%16.3%10.2%14.4%3.6%0.3%35.7M-472.8M-1.9M0.5862.9896756032,00021,522
2023-11-07$402.02$365.0013.0%3.9%16.3%10.6%13.7%3.6%0.2%39.2M-508.9M-1.9M0.8758.4793080932,22721,741
2023-11-08$402.06$365.0013.3%3.8%16.2%11.6%14.1%3.4%0.3%39.6M-513.3M-1.9M1.0852.7474280232,36922,264
2023-11-09$398.38$370.0013.5%3.9%16.5%12.4%14.2%3.6%0.2%33.4M-452.2M-1.8M0.6766.4676551332,45222,552
2023-11-10$404.69$370.0012.6%3.6%17.1%9.3%13.0%3.1%0.4%41.9M-553.1M-1.8M0.4770.951,28861032,50222,771
2023-11-13$404.85$370.0013.0%3.7%16.6%10.5%13.4%3.1%0.2%44.7M-569.1M-1.7M0.9074.2396286332,94522,866
2023-11-14$413.00$370.0011.8%3.4%17.9%6.6%12.6%2.3%0.6%54.1M-720.9M-1.7M0.3257.122,99797133,24323,158
2023-11-15$413.32$370.0011.7%3.3%17.0%6.3%12.2%2.5%0.5%54.4M-712.5M-1.8M0.3962.131,80571033,57623,460
2023-11-16$413.40$370.0011.3%3.3%16.6%5.2%11.9%2.5%0.6%55.1M-701.4M-1.8M0.4766.2091642933,79323,722
2023-11-17$413.87$370.0011.3%3.3%15.9%5.2%11.9%2.4%0.7%52.2M-718.0M-1.7M0.1471.152,16829833,81723,748
2023-11-20$417.93$370.0011.0%3.1%16.0%4.1%11.6%1.9%0.7%36.5M-655.6M-1.6M0.6445.411,24580229,15720,172
2023-11-21$416.25$370.0011.4%3.3%16.1%5.4%11.6%2.3%0.5%35.9M-610.8M-1.7M0.7445.1239429329,53620,539
2023-11-22$418.27$370.0010.5%3.0%14.5%2.4%10.9%2.1%0.8%38.4M-658.4M-1.6M0.5639.2778643729,65220,673
2023-11-24$418.07$370.0010.2%2.9%13.3%1.6%10.7%1.9%0.9%38.6M-648.4M-1.6M0.4143.6141817229,90520,952
2023-11-27$418.11$370.0010.5%3.0%12.6%2.6%10.9%1.9%0.6%39.9M-657.7M-1.5M0.8246.9476262830,05721,016
2023-11-28$417.76$370.0010.4%3.0%12.2%2.2%11.2%1.6%0.5%40.3M-646.2M-1.6M0.9146.8053849130,22221,329
2023-11-29$417.63$370.0011.1%3.2%12.3%4.6%11.3%2.0%0.1%39.3M-642.8M-1.6M0.6548.1468344730,40621,564
2023-11-30$418.35$370.0011.1%3.2%11.9%4.4%11.8%2.1%0.2%39.8M-633.2M-1.7M0.8826.6951745730,58421,797