VOO Options History — November 2019

In November 2019, VOO traded between $280.88 and $289.60. ATM implied volatility averaged 10.1%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 3.5% (HV 20d: 6.6%). Max pain ranged from $275.00 to $290.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.06.

Notable Days

2019-11-07: Highest Volume — 1,336 contracts
2019-11-13: Largest IV spike — 29.5% change
2019-11-19: Highest IV Rank — 16.0%
2019-11-06: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$284.87	$280.88	$289.60	$280.88	$288.69
Max Pain	$284.75	$275.00	$290.00	$275.00	$285.00
ATM IV	10.1%	7.5%	11.5%	9.6%	10.0%
Expected Move	3.1%	2.5%	3.6%	2.8%	2.9%
HV 20d	6.6%	5.0%	10.6%	10.6%	5.6%
HV 60d	11.9%	9.9%	14.6%	14.6%	9.9%
IV Rank	10.7%	0.5%	16.0%	8.8%	10.4%
IV Percentile	12.7%	0.4%	26.6%	3.2%	10.3%
Term Structure	0.8%	0.4%	2.3%	2.3%	1.0%
VWIV	10.8%	8.9%	12.7%	9.4%	8.9%
Skew 25d	4.7%	2.7%	5.7%	2.7%	4.9%
Skew 10d	9.2%	7.0%	11.1%	7.6%	11.1%
Call IV 25d	9.3%	8.3%	10.4%	8.5%	9.0%
Put IV 25d	14.0%	11.2%	15.2%	11.2%	13.9%
Bid-Ask Spread %	78.86	69.95	86.97	86.97	84.34
Gamma HHI	0.22	0.15	0.40	0.17	0.17
Net GEX	1.3M	-1.6M	4.8M	1.6M	1.7M
Net DEX	-16.0M	-33.3M	-3.4M	-17.3M	-26.0M
Net VEX	-363.7K	-407.7K	-309.4K	-359.9K	-341.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.06	0.02	16.88	1.97	0.18
Total Volume	476.6	125	1,336	537	308
Total OI	14,286.15	12,961	16,068	12,980	14,064

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2019-11-01	$280.88	$275.00	9.6%	2.8%	10.6%	8.8%	9.4%	2.7%	2.3%	1.6M	-17.3M	-359.9K	1.97	86.97	181	356	3,491	9,489
2019-11-04	$282.12	$285.00	10.5%	3.5%	10.5%	12.3%	10.9%	4.7%	0.6%	1.5M	-19.4M	-358.0K	0.57	69.95	416	238	3,538	9,753
2019-11-05	$282.28	$285.00	10.6%	3.6%	8.4%	12.7%	10.6%	4.7%	0.5%	1.8M	-18.9M	-360.8K	1.06	71.60	534	567	3,755	9,886
2019-11-06	$281.90	$290.00	10.0%	3.6%	8.4%	10.3%	12.2%	4.9%	0.4%	2.4M	-15.2M	-372.3K	16.88	74.37	72	1,215	4,019	10,165
2019-11-07	$282.69	$285.00	8.6%	3.2%	8.3%	4.7%	9.8%	4.7%	0.8%	2.8M	-16.1M	-389.0K	4.86	79.46	228	1,108	4,049	11,200
2019-11-08	$283.49	$285.00	7.5%	3.1%	6.9%	0.5%	11.3%	4.6%	0.7%	2.9M	-12.7M	-407.7K	2.51	75.68	63	158	4,125	11,482
2019-11-11	$283.08	$285.00	9.2%	3.2%	6.6%	7.3%	12.2%	4.5%	0.7%	2.2M	-10.1M	-393.2K	0.16	76.39	216	35	4,152	11,645
2019-11-12	$283.54	$285.00	8.6%	3.2%	5.8%	4.9%	12.2%	4.8%	0.6%	3.2M	-12.2M	-384.1K	0.55	76.97	155	85	4,249	11,656
2019-11-13	$284.00	$285.00	11.2%	3.2%	5.5%	14.8%	12.5%	4.7%	0.8%	3.5M	-13.6M	-391.2K	0.21	78.39	364	75	4,239	11,707
2019-11-14	$284.21	$285.00	11.2%	3.2%	5.5%	14.9%	12.7%	5.2%	0.8%	4.8M	-15.5M	-380.4K	0.52	78.07	147	76	4,256	11,751
2019-11-15	$285.95	$285.00	11.0%	3.1%	5.4%	14.1%	11.4%	4.6%	0.8%	999.8K	-31.4M	-365.4K	0.90	78.83	344	311	4,286	11,782
2019-11-18	$286.41	$285.00	11.4%	3.3%	5.3%	15.6%	11.0%	4.3%	0.6%	-1.5M	-9.8M	-352.3K	1.10	77.59	145	160	3,262	9,699
2019-11-19	$286.78	$285.00	11.5%	3.3%	5.0%	16.0%	10.8%	4.8%	0.5%	-1.3M	-11.0M	-352.2K	0.92	80.00	65	60	3,295	9,759
2019-11-20	$285.35	$285.00	11.4%	3.3%	5.6%	15.7%	10.7%	5.5%	0.6%	-1.5M	-3.6M	-368.0K	0.64	82.08	120	77	3,312	9,801
2019-11-21	$285.00	$285.00	11.4%	3.3%	5.7%	15.9%	9.7%	5.7%	0.7%	-1.6M	-3.4M	-354.1K	0.02	79.00	486	12	3,292	9,811
2019-11-22	$285.54	$285.00	11.3%	3.2%	5.6%	15.3%	11.3%	5.2%	0.6%	-245.0K	-8.0M	-366.6K	7.46	80.79	28	209	3,625	9,815
2019-11-25	$287.55	$285.00	8.8%	2.5%	5.8%	5.6%	10.3%	4.7%	1.4%	411.8K	-19.2M	-334.1K	0.43	81.63	200	86	3,641	9,992
2019-11-26	$288.37	$285.00	8.9%	2.6%	5.7%	6.1%	9.4%	4.6%	1.2%	888.3K	-23.4M	-334.2K	0.07	84.52	254	18	3,745	10,040
2019-11-27	$289.60	$285.00	9.2%	2.6%	5.8%	7.3%	8.9%	3.7%	1.3%	1.5M	-33.3M	-309.4K	0.19	80.52	303	57	3,855	10,040
2019-11-29	$288.69	$285.00	10.0%	2.9%	5.6%	10.4%	8.9%	4.9%	1.0%	1.7M	-26.0M	-341.6K	0.18	84.34	261	47	4,042	10,022