VOO Options History — December 2019

In December 2019, VOO traded between $283.99 and $296.46. ATM implied volatility averaged 11.2%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 3.2% (HV 20d: 7.9%). Max pain ranged from $275.00 to $285.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2019-12-18: Highest Volume — 1,252 contracts
  • 2019-12-06: Largest IV drop — 25.1% change
  • 2019-12-03: Highest IV Rank — 27.4%
  • 2019-12-03: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$291.75$283.99$296.46$286.72$295.54
Max Pain$280.48$275.00$285.00$285.00$285.00
ATM IV11.2%8.7%14.3%13.7%11.3%
Expected Move3.2%2.5%4.1%3.9%3.2%
HV 20d7.9%5.5%8.6%5.5%8.0%
HV 60d9.9%8.2%10.5%10.0%8.2%
IV Rank15.5%5.1%27.4%24.7%21.4%
IV Percentile26.9%2.4%60.3%55.6%30.6%
Term Structure1.9%-0.5%3.8%-0.3%1.0%
VWIV11.7%9.2%17.0%16.9%10.8%
Skew 25d4.9%2.8%7.3%5.6%4.8%
Skew 10d8.9%6.0%11.8%10.1%8.9%
Call IV 25d9.4%8.0%11.7%10.6%9.2%
Put IV 25d14.4%11.9%18.9%16.2%14.0%
Bid-Ask Spread %79.4473.4891.0880.8780.79
Gamma HHI0.180.150.240.170.18
Net GEX4.0M-990.6K8.1M586.9K4.5M
Net DEX-38.4M-81.4M2.3M-13.8M-32.2M
Net VEX-288.7K-360.3K-212.1K-342.2K-292.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.075.023.113.94
Total Volume428.429521,2523411,086
Total OI14,589.76213,06416,57214,00313,374

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$286.72$285.0013.7%3.9%5.5%24.7%16.9%5.6%-0.3%586.9K-13.8M-342.2K3.1180.87832583,96110,042
2019-12-03$283.99$285.0014.3%4.1%6.5%27.4%14.0%7.3%-0.4%-990.6K2.3M-360.3K0.6078.142461473,97110,185
2019-12-04$286.38$285.0014.3%4.1%7.1%27.1%12.3%6.5%-0.5%149.1K-12.0M-337.9K0.2881.16170484,02210,263
2019-12-05$286.69$275.0014.3%3.9%7.1%27.2%10.9%6.0%1.3%613.8K-15.9M-312.6K0.1474.78615874,05710,277
2019-12-06$289.46$275.0010.7%3.3%7.7%13.1%11.5%5.5%2.4%3.1M-36.3M-304.6K0.4176.71200824,62410,342
2019-12-09$288.54$275.0012.3%3.5%7.8%19.3%14.0%6.4%2.1%2.4M-27.7M-316.7K0.4175.7974304,68010,379
2019-12-10$287.91$275.0012.6%3.5%7.9%20.4%15.1%6.3%2.2%1.9M-22.6M-324.6K1.1773.4824284,70310,396
2019-12-11$288.68$275.0011.9%3.4%7.9%17.9%17.0%6.0%2.3%2.8M-28.3M-304.9K0.3273.6256184,71310,404
2019-12-12$291.46$275.0011.5%3.3%8.5%16.3%12.7%5.1%2.6%4.6M-47.2M-264.2K0.2277.26325734,73010,402
2019-12-13$291.46$275.0010.2%2.9%8.5%11.3%10.1%4.5%3.3%5.8M-51.4M-239.5K0.3077.62277824,64310,417
2019-12-16$293.51$280.008.7%2.5%8.5%5.2%10.8%3.5%3.7%7.6M-67.8M-216.6K0.4277.35230974,86010,438
2019-12-17$293.73$280.008.7%2.5%8.5%5.1%9.2%3.6%3.8%7.6M-67.9M-212.1K0.4278.95231974,85010,478
2019-12-18$293.92$280.008.9%2.6%8.6%6.1%10.2%3.8%3.7%8.1M-68.9M-218.0K5.0281.622081,0444,91610,512
2019-12-19$294.60$280.009.0%2.6%8.2%6.3%9.5%2.8%2.4%7.8M-66.2M-279.9K0.0886.77254215,00811,509
2019-12-20$296.34$280.009.6%2.7%8.3%8.6%9.4%3.7%2.4%5.4M-81.4M-258.8K0.0791.08763555,05011,522
2019-12-23$295.15$285.009.6%2.8%8.6%8.9%9.3%4.8%1.6%3.6M-29.8M-294.0K0.3077.18248743,4429,622
2019-12-24$295.02$285.009.7%2.8%8.4%9.1%9.2%4.3%1.8%4.4M-32.4M-302.0K1.2480.5434423,6699,654
2019-12-26$296.33$285.0010.0%2.9%8.4%11.0%10.9%4.2%1.6%5.2M-39.3M-268.7K0.8382.472762303,6989,684
2019-12-27$296.46$285.0011.1%3.2%8.3%15.9%9.7%3.9%1.2%4.8M-38.9M-293.3K0.6782.693112093,7799,744
2019-12-30$294.96$285.0011.9%3.4%8.5%23.1%11.2%4.9%0.9%4.1M-28.7M-319.7K2.0879.411833813,6979,668
2019-12-31$295.54$285.0011.3%3.2%8.0%21.4%10.8%4.8%1.0%4.5M-32.2M-292.8K3.9480.792208663,7369,638