VOO Options History — June 2020

In June 2020, VOO traded between $277.76 and $296.34. ATM implied volatility averaged 25.7%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 0.4% (HV 20d: 26.2%). Max pain ranged from $265.00 to $275.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.95.

Notable Days

  • 2020-06-11: Highest Volume — 3,962 contracts
  • 2020-06-11: Largest IV spike — 46.4% change
  • 2020-06-11: Highest IV Rank — 35.3%
  • 2020-06-11: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$285.30$277.76$296.34$280.98$283.47
Max Pain$272.27$265.00$275.00$265.00$275.00
ATM IV25.7%19.2%32.5%24.3%23.8%
Expected Move7.4%5.5%9.3%7.0%6.8%
HV 20d26.2%21.9%29.9%21.9%29.1%
HV 60d39.1%29.8%51.0%51.0%29.8%
IV Rank25.8%16.6%35.3%23.7%23.0%
IV Percentile75.8%67.1%84.5%76.2%70.2%
Term Structure0.2%-2.3%2.4%-0.8%0.8%
VWIV27.5%21.2%38.2%24.3%24.6%
Skew 25d10.1%6.8%15.7%9.0%9.3%
Skew 10d18.4%13.3%27.2%17.2%17.0%
Call IV 25d21.9%18.1%27.0%20.2%20.6%
Put IV 25d31.9%25.3%42.7%29.3%29.9%
Bid-Ask Spread %64.5255.2974.4874.4874.02
Gamma HHI0.080.070.100.100.09
Net GEX1.6M-2.0M4.8M1.8M696.1K
Net DEX-84.9M-165.2M-19.2M-72.7M-61.7M
Net VEX-778.3K-857.3K-709.8K-747.8K-749.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.213.020.630.31
Total Volume1,625.9555853,9625851,110
Total OI27,806.68225,23830,96025,23828,226

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$280.98$265.0024.3%7.0%21.9%23.7%24.3%9.0%-0.8%1.8M-72.7M-747.8K0.6374.4836022511,99413,244
2020-06-02$281.83$265.0023.7%6.8%21.9%22.9%25.2%8.3%-0.4%2.0M-78.6M-735.5K0.4573.7852723712,10513,266
2020-06-03$287.51$265.0019.5%5.6%22.6%17.0%22.1%6.8%1.1%3.3M-115.4M-709.8K1.1474.368961,02512,02613,424
2020-06-04$285.08$270.0021.5%6.3%22.9%19.8%23.9%8.8%1.7%2.5M-98.5M-758.2K0.6055.291,7011,02612,20014,211
2020-06-05$292.96$270.0019.2%5.5%24.3%16.6%22.1%7.2%2.4%4.6M-148.0M-731.5K0.4064.852,08484012,65814,243
2020-06-08$296.34$270.0022.5%6.2%24.0%21.3%21.2%7.4%0.6%4.8M-165.2M-719.9K0.2163.661,54731812,36114,785
2020-06-09$295.57$270.0023.7%6.6%24.2%23.0%24.0%8.5%-0.2%4.8M-157.2M-747.1K0.3059.721,12233412,67514,962
2020-06-10$294.00$270.0022.2%6.4%23.0%20.8%23.7%8.6%0.5%4.7M-148.0M-756.9K0.3762.4766925013,02715,032
2020-06-11$277.76$270.0032.5%9.3%29.9%35.3%38.2%15.7%-2.3%329.0K-32.0M-857.1K2.2956.251,2032,75913,21815,151
2020-06-12$278.90$275.0030.2%8.7%29.6%32.1%37.9%13.5%0.1%728.3K-43.5M-817.1K3.0260.898462,55513,61314,791
2020-06-15$280.84$275.0030.0%8.6%29.7%31.8%31.8%11.9%-1.3%897.3K-55.5M-853.0K1.0461.1568371013,77016,252
2020-06-16$286.42$275.0029.4%8.4%27.2%30.9%28.4%11.4%-1.2%2.6M-98.5M-857.3K0.4659.911,26458614,05716,416
2020-06-17$286.37$275.0028.9%8.3%26.9%30.2%28.3%11.2%-1.1%1.7M-96.3M-833.2K0.4459.7647421014,04916,666
2020-06-18$285.97$275.0027.7%7.9%26.7%28.6%31.9%10.6%0.6%1.1M-95.0M-819.1K1.1962.2435341914,02216,687
2020-06-19$285.73$275.0027.0%7.7%26.6%27.6%29.5%10.9%0.9%568.9K-97.5M-810.6K1.0363.2262464414,06616,894
2020-06-22$286.56$275.0026.6%7.6%26.5%27.1%25.8%10.4%0.6%583.9K-72.1M-766.4K1.5564.4237257711,35514,201
2020-06-23$288.86$275.0024.4%7.0%26.2%23.9%25.4%8.7%0.9%1.2M-89.7M-749.4K0.5562.481,43078711,50514,638
2020-06-24$281.88$275.0029.0%8.3%27.7%30.4%32.0%10.4%-0.3%-512.6K-44.7M-773.2K2.2367.277081,57711,81614,795
2020-06-25$283.06$275.0025.6%7.3%27.7%25.6%26.1%10.5%0.9%-511.2K-54.2M-767.4K0.6266.5154934212,09715,294
2020-06-26$278.00$275.0027.5%7.9%28.5%28.2%30.2%10.9%0.4%-2.0M-19.2M-778.9K1.1265.6952358712,37015,446
2020-06-29$278.46$275.0027.3%7.8%28.4%27.9%29.3%11.3%0.0%-1.2M-24.6M-784.4K1.0467.0535236612,46815,671
2020-06-30$283.47$275.0023.8%6.8%29.1%23.0%24.6%9.3%0.8%696.1K-61.7M-749.2K0.3174.0285026012,54915,677