VOO Options History — February 2020

In February 2020, VOO traded between $265.70 and $311.02. ATM implied volatility averaged 17.5%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.7% (HV 20d: 14.8%). Max pain ranged from $300.00 to $325.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.07.

Notable Days

  • 2020-02-24: Highest Volume — 11,351 contracts
  • 2020-02-28: Largest IV spike — 46.1% change
  • 2020-02-26: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$300.76$265.70$311.02$298.03$265.70
Max Pain$310.79$300.00$325.00$305.00$300.00
ATM IV17.5%10.4%49.8%14.8%49.8%
Expected Move5.1%3.3%14.3%4.3%14.3%
HV 20d14.8%11.3%25.9%11.3%25.9%
HV 60d10.6%8.6%17.1%8.6%17.1%
IV Rank46.0%16.5%100.0%41.0%100.0%
IV Percentile65.1%19.4%100.0%79.8%100.0%
Term Structure-1.5%-11.6%1.0%0.2%-11.6%
VWIV17.8%10.0%45.7%15.3%45.7%
Skew 25d7.5%4.4%23.5%6.2%23.5%
Skew 10d12.9%8.3%32.0%10.9%32.0%
Call IV 25d14.4%10.0%36.6%12.7%36.6%
Put IV 25d21.9%14.6%60.1%18.9%60.1%
Bid-Ask Spread %64.5546.4876.2563.1750.34
Gamma HHI0.150.080.290.080.14
Net GEX422.4K-9.5M6.7M-893.9K-9.5M
Net DEX-10.7M-79.6M205.9M-583.0K205.9M
Net VEX-412.9K-912.7K-283.9K-345.2K-912.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.154.700.601.03
Total Volume1,824.42134811,3515203,056
Total OI18,482.42114,48829,33814,48829,338

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$298.03$305.0014.8%4.3%11.3%41.0%15.3%6.2%0.2%-893.9K-583.0K-345.2K0.6063.173261944,29210,196
2020-02-04$302.55$305.0012.2%3.5%12.4%26.6%13.0%5.1%0.9%513.1K-22.5M-316.5K0.5272.287483924,38710,217
2020-02-05$305.73$305.0012.3%3.5%12.9%27.2%12.4%4.4%1.0%1.2M-41.5M-320.5K0.4876.254542174,63110,499
2020-02-06$306.84$315.0012.0%3.7%12.7%25.4%13.6%5.7%-0.4%1.4M-46.5M-309.4K1.3565.674155604,60610,533
2020-02-07$305.58$315.0012.1%3.9%12.9%26.2%12.6%6.3%-0.4%931.7K-39.0M-322.3K0.2365.02406934,72310,836
2020-02-10$306.91$315.0012.9%3.9%12.8%30.2%15.5%6.2%-0.5%1.5M-46.9M-311.5K0.5267.522291194,94910,850
2020-02-11$308.21$315.0010.4%3.5%12.8%16.5%13.7%5.6%-0.1%2.1M-55.4M-290.2K0.3566.926272174,94810,940
2020-02-12$310.04$315.0011.6%3.3%12.9%23.0%10.0%4.9%0.3%3.1M-63.9M-283.9K2.3472.663949235,07610,911
2020-02-13$309.51$325.0012.3%3.5%12.9%26.8%12.3%5.1%-0.3%2.7M-50.8M-288.2K0.4368.683751615,17111,519
2020-02-14$309.87$315.0011.7%3.3%12.6%23.5%16.3%5.3%0.2%4.7M-59.5M-294.3K0.4769.256943285,69711,582
2020-02-18$309.43$310.0012.1%3.5%12.6%25.8%11.7%5.8%-0.1%5.5M-67.0M-297.8K0.1568.939171396,26311,737
2020-02-19$311.02$310.0012.3%3.5%12.7%27.0%11.8%5.3%-0.2%6.7M-79.6M-299.4K0.1761.879421586,75611,801
2020-02-20$309.54$310.0012.6%3.6%12.9%28.9%12.7%6.5%-0.3%5.1M-65.3M-301.5K0.4571.574361946,78611,870
2020-02-21$306.18$310.0015.6%4.5%13.5%44.9%14.4%7.2%-0.7%2.8M-47.1M-316.8K0.3969.534951956,97211,978
2020-02-24$297.32$310.0022.5%6.4%16.8%83.0%21.2%10.0%-2.8%321.8K1.2M-377.2K4.7054.831,9929,3595,36110,229
2020-02-25$288.32$310.0025.2%7.2%19.4%97.7%24.2%9.8%-3.3%-5.8M66.3M-699.5K1.8862.206221,1686,99717,504
2020-02-26$287.02$310.0026.0%7.4%18.9%100.0%23.1%7.9%-4.1%-6.1M75.4M-726.8K1.7653.197631,3467,27517,757
2020-02-27$276.58$305.0034.1%9.8%22.6%100.0%38.5%11.6%-6.0%-8.2M134.3M-831.6K2.5246.481,4233,5877,57818,401
2020-02-28$265.70$300.0049.8%14.3%25.9%100.0%45.7%23.5%-11.6%-9.5M205.9M-912.7K1.0350.341,5061,5508,34120,997