VOO Options History — January 2020

In January 2020, VOO traded between $295.41 and $304.89. ATM implied volatility averaged 11.8%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 4.6% (HV 20d: 7.2%). Max pain ranged from $290.00 to $305.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2020-01-09: Highest Volume — 1,188 contracts
  • 2020-01-03: Largest IV spike — 48.6% change
  • 2020-01-31: Highest IV Rank — 57.9%
  • 2020-01-31: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$300.38$295.41$304.89$297.78$295.41
Max Pain$301.90$290.00$305.00$290.00$305.00
ATM IV11.8%8.3%17.9%8.3%17.9%
Expected Move3.5%2.4%5.1%2.4%5.1%
HV 20d7.2%5.8%10.9%7.1%10.9%
HV 60d7.2%6.6%8.5%8.2%8.5%
IV Rank24.1%5.3%57.9%5.3%57.9%
IV Percentile38.0%0.8%92.1%0.8%92.1%
Term Structure1.1%-0.5%2.3%2.3%-0.5%
VWIV12.3%9.7%17.6%9.7%17.6%
Skew 25d5.4%4.1%7.2%4.1%7.2%
Skew 10d9.8%7.2%12.7%7.2%12.1%
Call IV 25d9.9%8.2%13.9%8.2%13.9%
Put IV 25d15.2%12.3%21.1%12.3%21.1%
Bid-Ask Spread %70.9356.5384.6484.6469.59
Gamma HHI0.220.080.900.170.08
Net GEX5.3M-1.5M45.9M4.2M-1.5M
Net DEX-33.5M-76.7M7.8M-36.3M7.8M
Net VEX-293.0K-364.9K-239.3K-306.9K-364.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.143.710.790.80
Total Volume668.813601,188980893
Total OI14,472.04811,31016,72514,09214,042

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$297.78$290.008.3%2.4%7.1%5.3%9.7%4.1%2.3%4.2M-36.3M-306.9K0.7984.645484323,78710,305
2020-01-03$296.57$290.0012.4%3.6%7.1%27.6%12.5%5.1%0.6%3.3M-25.4M-358.3K0.8784.632902524,03710,620
2020-01-06$296.88$300.0012.3%3.7%7.1%27.1%12.5%6.1%1.2%3.4M-30.4M-324.8K0.7766.782381834,17210,838
2020-01-07$296.80$305.0011.5%3.6%6.4%22.8%11.6%5.8%1.3%3.3M-29.7M-301.2K1.0970.181781944,26611,007
2020-01-08$298.95$300.009.4%3.1%6.6%11.3%11.3%5.5%1.8%5.1M-46.9M-288.8K1.9869.302865674,40611,083
2020-01-09$299.85$300.009.4%3.1%6.4%10.9%9.7%5.0%1.7%5.8M-52.1M-280.8K2.3671.013548344,44211,325
2020-01-10$299.18$300.009.0%3.1%6.6%9.1%12.8%5.3%1.7%5.0M-43.5M-301.0K0.5872.803281914,47111,590
2020-01-13$300.93$300.0010.6%3.1%6.1%17.7%10.6%5.0%1.5%7.2M-56.7M-264.2K0.3571.524711634,64911,635
2020-01-14$300.94$305.0011.0%3.1%6.1%19.9%11.3%5.0%1.5%7.4M-55.2M-270.8K0.3372.423761254,77211,733
2020-01-15$301.05$305.0010.9%3.1%5.8%19.1%10.6%4.5%1.7%7.1M-57.2M-258.1K0.2471.61400964,95911,766
2020-01-16$303.68$305.009.5%2.7%6.3%11.6%10.1%4.3%2.1%15.4M-73.3M-249.8K0.3272.045621824,85411,813
2020-01-17$304.78$305.0010.0%2.9%6.3%14.6%9.7%4.7%1.7%45.9M-76.7M-239.3K0.2065.468921774,68411,926
2020-01-21$304.49$305.0010.5%3.0%6.4%17.0%10.9%4.4%1.4%46.3K-27.8M-261.4K0.6269.725243252,6888,622
2020-01-22$304.62$305.0010.8%3.1%6.2%18.7%10.8%4.6%1.2%979.8K-31.7M-240.3K0.3871.833271242,9538,841
2020-01-23$304.89$305.0011.1%3.2%5.9%20.3%11.2%5.0%1.2%732.9K-29.5M-264.3K3.7169.051094043,1228,890
2020-01-24$301.76$305.0014.1%4.0%7.2%36.8%14.3%6.1%0.5%-505.0K-10.9M-298.0K1.3471.084195633,1809,262
2020-01-27$297.67$305.0014.8%4.2%8.8%40.8%16.1%7.1%0.3%-1.1M2.8M-313.1K0.8363.023522913,3759,445
2020-01-28$300.67$300.0014.7%4.2%9.5%40.2%16.1%6.1%0.2%-252.1K-8.4M-318.5K1.8056.531592873,5609,577
2020-01-29$300.60$305.0014.5%4.2%9.2%39.3%14.1%5.9%0.3%-163.1K-9.0M-310.4K0.1470.54517723,6389,771
2020-01-30$300.54$300.0014.5%4.2%9.2%39.2%14.9%6.1%-0.2%62.3K-13.4M-337.4K2.8775.71932674,0299,778
2020-01-31$295.41$305.0017.9%5.1%10.9%57.9%17.6%7.2%-0.5%-1.5M7.8M-364.9K0.8069.594973964,0529,990