VOO Options History — March 2020

In March 2020, VOO traded between $203.70 and $286.02. ATM implied volatility averaged 56.2%, placing in the 79.2% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 0.2% (HV 20d: 56.4%). Max pain ranged from $270.00 to $295.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 1.32.

Notable Days

  • 2020-03-18: Highest Volume — 3,256 contracts
  • 2020-03-05: Largest IV spike — 55.4% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 22.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$242.68$203.70$286.02$280.56$236.96
Max Pain$277.27$270.00$295.00$295.00$270.00
ATM IV56.2%28.6%78.6%29.8%50.4%
Expected Move15.6%8.2%22.5%8.5%14.4%
HV 20d56.4%33.0%79.0%33.2%75.5%
HV 60d35.0%20.5%47.5%20.5%47.5%
IV Rank79.2%50.1%100.0%52.8%60.4%
IV Percentile98.3%93.7%100.0%99.2%93.7%
Term Structure-10.6%-25.6%-2.3%-2.3%-5.1%
VWIV54.7%26.0%75.5%29.6%55.5%
Skew 25d20.2%13.1%30.6%14.7%20.9%
Skew 10d35.0%23.3%52.1%25.8%38.3%
Call IV 25d43.2%22.7%62.5%22.7%39.7%
Put IV 25d63.4%36.0%88.9%37.4%60.6%
Bid-Ask Spread %47.4134.4064.3258.8253.55
Gamma HHI0.120.090.170.120.12
Net GEX-7.5M-9.9M-3.6M-8.5M-8.1M
Net DEX249.8M84.2M389.4M116.4M234.9M
Net VEX-747.7K-949.0K-341.1K-820.0K-704.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.412.860.570.75
Total Volume2,331.2731,1113,2561,4551,694
Total OI33,436.72729,57137,53430,61034,058

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$280.56$295.0029.8%8.5%33.2%52.8%29.6%14.7%-2.3%-8.5M116.4M-820.0K0.5758.829295269,12321,487
2020-03-03$278.13$295.0034.4%9.9%33.0%63.7%33.9%14.2%-4.4%-9.0M134.2M-886.7K0.9262.871,2411,1429,12321,634
2020-03-04$286.02$295.0028.6%8.2%34.3%50.1%26.0%13.1%-3.9%-5.7M84.2M-823.2K0.4157.579053759,60121,788
2020-03-05$276.74$285.0044.4%9.9%35.5%87.4%29.0%16.3%-7.3%-8.5M145.9M-919.3K0.6564.321,0626889,30821,992
2020-03-06$271.51$280.0044.2%10.7%35.7%86.9%41.0%17.5%-5.8%-9.5M172.4M-949.0K1.3647.9568392610,00921,828
2020-03-09$255.80$280.0062.1%13.9%40.4%100.0%52.1%16.5%-12.4%-9.9M250.7M-902.6K1.6844.009911,66410,30121,987
2020-03-10$261.62$280.0055.7%12.9%41.7%88.4%45.1%18.4%-9.6%-9.6M211.1M-919.5K1.6140.279651,55310,81322,203
2020-03-11$251.11$280.0050.4%14.5%43.0%78.7%47.2%17.9%-10.3%-9.8M261.0M-883.1K0.7435.981,4911,09911,00322,827
2020-03-12$230.08$280.0067.0%19.2%50.5%100.0%67.5%22.0%-18.7%-7.6M327.0M-727.3K2.6234.408462,21811,64822,813
2020-03-13$239.43$280.0057.1%16.4%53.9%83.4%61.5%24.3%-13.9%-9.4M314.8M-777.4K2.7158.977231,96212,03523,127
2020-03-16$224.28$275.0076.6%22.0%56.7%100.0%75.5%27.2%-20.1%-6.2M312.9M-723.6K2.8660.218232,35512,58423,714
2020-03-17$229.99$275.0075.0%21.5%58.4%97.7%72.8%30.6%-25.6%-8.1M321.6M-713.0K1.0446.101,3651,41612,97323,628
2020-03-18$213.06$270.0078.6%22.5%61.8%100.0%74.7%26.4%-16.6%-5.4M367.6M-571.2K1.8640.491,1382,11813,07424,107
2020-03-19$222.98$270.0066.4%19.0%65.8%83.0%67.1%24.6%-16.7%-7.1M357.3M-611.2K1.1842.431,2421,46513,45524,016
2020-03-20$212.65$270.0060.4%17.3%66.6%74.4%60.7%22.8%-12.0%-5.3M389.4M-445.5K0.6549.861,8321,19313,66423,870
2020-03-23$203.70$270.0060.5%17.3%67.1%74.6%59.0%16.9%-5.0%-3.6M320.1M-341.1K0.6640.491,8391,2179,94719,624
2020-03-24$221.94$270.0058.8%16.9%76.5%72.3%58.1%14.4%-9.8%-5.9M279.0M-595.1K0.6937.601,33291410,42120,057
2020-03-25$231.27$270.0060.0%17.2%78.8%74.0%62.5%19.4%-7.9%-6.3M233.9M-784.1K0.7939.321,3081,02811,13820,817
2020-03-26$236.13$270.0059.5%17.1%79.0%73.2%63.7%22.1%-9.4%-7.1M223.5M-794.3K1.8537.948741,62011,30821,235
2020-03-27$234.96$270.0062.4%17.9%78.0%77.2%65.5%24.1%-10.4%-6.8M223.3M-787.8K1.7345.7440770411,64321,882
2020-03-30$240.13$270.0053.7%15.4%75.5%65.1%56.3%20.6%-6.7%-7.7M215.4M-768.7K1.7544.0451490111,70022,043
2020-03-31$236.96$270.0050.4%14.4%75.5%60.4%55.5%20.9%-5.1%-8.1M234.9M-704.9K0.7553.5596772711,81222,246