VOO Options History — May 2020

In May 2020, VOO traded between $257.51 and $279.47. ATM implied volatility averaged 26.6%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 1.7% (HV 20d: 28.4%). Max pain ranged from $260.00 to $265.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.41.

Notable Days

  • 2020-05-05: Highest Volume — 1,675 contracts
  • 2020-05-12: Largest IV spike — 32.0% change
  • 2020-05-01: Highest IV Rank — 36.3%
  • 2020-05-01: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$268.14$257.51$279.47$259.61$279.47
Max Pain$262.75$260.00$265.00$260.00$265.00
ATM IV26.6%21.1%33.2%33.2%22.6%
Expected Move7.7%6.4%9.5%9.5%6.5%
HV 20d28.4%24.4%37.8%37.8%24.4%
HV 60d53.4%51.4%54.6%53.3%51.4%
IV Rank27.0%19.3%36.3%36.3%21.5%
IV Percentile79.5%73.8%85.3%85.3%74.2%
Term Structure0.0%-0.7%0.7%-0.4%0.7%
VWIV28.3%23.0%35.5%35.5%24.9%
Skew 25d11.5%8.7%14.2%12.8%8.7%
Skew 10d20.3%16.4%24.2%22.6%17.6%
Call IV 25d21.9%19.2%27.5%27.5%19.6%
Put IV 25d33.4%28.3%40.3%40.3%28.3%
Bid-Ask Spread %60.2037.5172.6368.3572.63
Gamma HHI0.110.090.150.100.09
Net GEX321.0K-2.0M2.5M-1.6M2.4M
Net DEX-15.0M-73.3M42.7M29.4M-72.4M
Net VEX-722.3K-761.3K-691.8K-761.3K-736.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.682.671.691.21
Total Volume1,069.154361,6751,637699
Total OI26,897.121,38531,87528,54124,192

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$259.61$260.0033.2%9.5%37.8%36.3%35.5%12.8%-0.4%-1.6M29.4M-761.3K1.6968.356081,02912,40816,133
2020-05-04$260.71$265.0032.9%9.1%36.9%35.9%34.0%14.2%-0.2%-1.3M22.7M-748.2K1.9137.5138974212,57916,174
2020-05-05$262.84$260.0028.4%8.3%29.2%29.6%33.3%13.4%-0.1%-636.0K10.8M-751.0K2.6741.274571,21812,73516,630
2020-05-06$261.77$260.0031.4%8.9%28.9%33.8%32.8%14.0%-0.5%-1.3M19.2M-740.1K1.4344.4726337512,78116,994
2020-05-07$264.35$265.0027.2%8.2%28.5%27.9%28.0%12.8%-0.0%-546.9K5.8M-733.9K0.8147.2041333412,81617,226
2020-05-08$268.74$265.0021.1%7.1%28.2%19.3%28.0%11.8%0.7%1.9M-24.0M-724.9K1.5859.9154486213,03217,293
2020-05-11$269.44$265.0022.7%6.7%27.8%21.6%26.1%10.4%0.7%2.5M-30.2M-706.3K1.4956.8054681413,16817,447
2020-05-12$264.66$265.0030.0%7.8%26.8%31.8%30.0%12.5%-0.5%615.6K-995.0K-718.8K1.6965.8635159213,32917,477
2020-05-13$257.51$265.0031.2%8.9%27.6%33.4%34.2%13.9%-0.7%-2.0M42.7M-702.7K2.1257.215051,07013,32617,647
2020-05-14$261.06$260.0030.2%8.7%28.0%32.1%32.4%13.7%-0.3%-1.2M22.6M-699.9K1.8958.895711,08213,41017,640
2020-05-15$261.98$260.0028.8%8.3%26.6%30.1%30.9%12.6%-0.5%-1.2M10.1M-698.0K0.9257.7443840413,67318,202
2020-05-18$272.52$260.0023.0%6.6%29.6%21.9%24.1%10.3%0.6%431.0K-31.4M-699.8K0.7462.2187564710,41610,969
2020-05-19$270.00$260.0025.5%7.3%27.5%25.4%26.1%10.4%-0.2%295.1K-20.7M-726.8K1.3868.3525234810,89111,301
2020-05-20$273.05$260.0023.3%6.7%26.8%22.4%24.9%9.6%0.1%980.1K-36.7M-725.5K1.0466.2342844411,01211,382
2020-05-21$271.19$260.0025.6%7.3%27.0%25.6%23.0%9.9%0.2%705.5K-29.3M-729.6K1.7163.9221336411,20011,444
2020-05-22$271.24$265.0025.3%7.3%26.8%25.2%25.7%10.2%0.4%576.9K-26.4M-727.2K1.7869.1315727911,32911,635
2020-05-26$275.23$265.0024.0%6.9%26.7%23.3%23.3%9.3%0.3%1.6M-50.6M-693.3K0.6868.8164743811,31711,665
2020-05-27$278.38$265.0022.2%6.4%26.8%20.9%24.4%9.2%0.3%1.9M-67.6M-691.8K0.7270.1049035311,53411,747
2020-05-28$279.01$265.0023.5%6.7%25.2%22.6%23.7%9.5%0.2%2.3M-73.3M-729.9K0.7367.3466148111,81811,970
2020-05-29$279.47$265.0022.6%6.5%24.4%21.5%24.9%8.7%0.7%2.4M-72.4M-736.5K1.2172.6331738211,88112,311