VOO Options History — April 2020

In April 2020, VOO traded between $225.27 and $270.72. ATM implied volatility averaged 37.8%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 21.0% (HV 20d: 58.7%). Max pain ranged from $235.00 to $270.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.56.

Notable Days

  • 2020-04-28: Highest Volume — 6,224 contracts
  • 2020-04-20: Largest IV spike — 16.5% change
  • 2020-04-01: Highest IV Rank — 71.8%
  • 2020-04-01: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$253.24$225.27$270.72$225.27$266.53
Max Pain$254.29$235.00$270.00$270.00$260.00
ATM IV37.8%26.7%58.5%58.5%30.2%
Expected Move10.7%7.7%16.8%16.8%8.7%
HV 20d58.7%36.2%78.3%75.7%36.2%
HV 60d51.7%48.5%53.2%48.5%53.1%
IV Rank42.7%27.2%71.8%71.8%32.1%
IV Percentile88.6%82.9%95.2%95.2%84.5%
Term Structure-2.3%-6.8%2.0%-6.5%-0.1%
VWIV42.0%25.0%58.2%58.2%33.0%
Skew 25d14.8%10.1%20.5%20.5%11.7%
Skew 10d26.8%20.3%34.0%33.3%23.1%
Call IV 25d30.1%22.7%47.0%47.0%24.5%
Put IV 25d44.9%32.8%67.5%67.5%36.2%
Bid-Ask Spread %49.7334.7672.5350.5868.24
Gamma HHI0.110.080.160.100.10
Net GEX-5.3M-11.3M871.3K-6.2M-434.5K
Net DEX93.8M-27.4M288.6M281.5M-2.5M
Net VEX-734.4K-817.2K-577.6K-626.3K-779.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.560.136.452.551.38
Total Volume2,106.0958516,2241,2711,368
Total OI32,446.76222,26840,99835,09027,813

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$225.27$270.0058.5%16.8%75.7%71.8%58.2%20.5%-6.5%-6.2M281.5M-626.3K2.5550.5835891312,61922,471
2020-04-02$230.08$240.0049.4%13.2%76.1%59.0%47.1%20.0%-6.8%-7.0M272.3M-633.7K2.3845.0125259912,65222,585
2020-04-03$226.44$240.0047.3%12.9%76.1%56.1%47.9%17.1%-5.6%-6.9M288.6M-577.6K1.8641.1136467612,74822,830
2020-04-06$242.29$235.0042.8%11.2%78.3%49.7%45.2%17.6%-4.0%-9.8M204.1M-705.1K4.6334.765232,42212,79823,078
2020-04-07$246.42$245.0043.0%11.6%78.1%50.0%43.6%16.6%-5.1%-10.3M177.2M-766.2K2.3039.277601,75112,90024,387
2020-04-08$250.86$250.0039.1%11.2%77.0%44.6%43.4%16.5%-3.5%-10.4M140.3M-802.1K1.4337.3559585012,98324,817
2020-04-09$256.03$250.0037.6%10.8%70.0%42.5%42.6%15.3%-3.2%-10.7M96.5M-817.2K2.2738.157691,74513,15025,158
2020-04-13$253.22$255.0037.3%10.7%69.0%42.0%43.1%15.1%-3.1%-11.3M119.2M-743.9K1.8341.396521,19413,33425,975
2020-04-14$261.01$255.0034.2%9.8%64.7%37.7%42.2%12.9%-3.1%-10.4M49.6M-743.9K3.2244.627472,40413,55926,210
2020-04-15$255.67$255.0036.5%10.5%65.1%41.0%46.7%14.7%-2.3%-10.8M97.8M-745.9K4.3242.994141,78813,62327,375
2020-04-16$256.18$255.0037.1%10.7%57.5%41.8%36.3%15.0%-2.2%-7.4M87.0M-725.4K0.9538.5270266413,75326,529
2020-04-17$262.62$255.0032.5%9.3%56.3%35.3%44.4%13.2%-0.6%-897.7K31.3M-733.2K1.1944.691,5991,90314,03626,646
2020-04-20$259.29$255.0037.9%10.9%53.0%42.8%41.2%15.8%-1.9%-1.4M21.2M-756.7K1.8642.525039359,69712,571
2020-04-21$251.75$260.0042.2%12.1%51.4%49.0%49.3%14.8%-1.8%-2.2M48.6M-750.2K5.5946.204342,4279,95113,181
2020-04-22$257.35$260.0038.8%11.1%43.4%44.2%48.9%15.0%-1.6%-1.4M27.6M-746.7K6.4552.542641,70410,11712,889
2020-04-23$257.51$260.0034.6%9.9%41.5%38.3%41.1%14.3%-0.3%-1.9M31.4M-757.6K1.8961.3647790310,23214,068
2020-04-24$260.53$260.0031.4%9.0%41.2%33.7%40.4%12.1%1.2%-1.6M20.2M-765.5K5.2267.4717892910,52814,646
2020-04-27$264.74$260.0027.1%7.8%41.2%27.8%31.3%11.2%2.0%-951.6K237.8K-746.1K1.2472.5364179410,62915,232
2020-04-28$263.59$260.0028.7%8.2%40.9%29.9%25.0%11.9%0.4%-1.0M5.2M-741.2K0.1368.765,48973510,81315,594
2020-04-29$270.72$260.0026.7%7.7%41.0%27.2%30.8%10.1%0.6%871.3K-27.4M-757.7K1.0966.3486394011,50915,696
2020-04-30$266.53$260.0030.2%8.7%36.2%32.1%33.0%11.7%-0.1%-434.5K-2.5M-779.8K1.3868.2457579311,58216,231