VOO Options History — July 2020

In July 2020, VOO traded between $286.38 and $300.18. ATM implied volatility averaged 21.9%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.7% (HV 20d: 18.2%). Max pain ranged from $275.00 to $290.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.97.

Notable Days

  • 2020-07-06: Highest Volume — 3,869 contracts
  • 2020-07-13: Largest IV spike — 29.2% change
  • 2020-07-14: Highest IV Rank — 31.0%
  • 2020-07-13: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$294.01$286.38$300.18$286.38$298.86
Max Pain$287.95$275.00$290.00$275.00$290.00
ATM IV21.9%18.5%29.4%23.2%18.8%
Expected Move6.3%5.3%7.4%6.6%5.4%
HV 20d18.2%11.7%28.5%28.5%11.7%
HV 60d24.1%21.8%26.7%26.7%21.9%
IV Rank20.4%15.7%31.0%22.2%16.1%
IV Percentile62.6%52.0%80.2%68.3%52.0%
Term Structure1.2%0.6%2.1%1.3%1.9%
VWIV22.8%19.2%27.1%22.9%19.9%
Skew 25d8.9%6.7%11.0%7.8%7.5%
Skew 10d16.0%11.2%20.2%14.4%13.8%
Call IV 25d18.4%16.1%21.2%19.7%16.2%
Put IV 25d27.3%23.7%32.1%27.5%23.7%
Bid-Ask Spread %65.3256.0376.3872.8174.82
Gamma HHI0.100.070.370.090.08
Net GEX5.9M2.5M12.4M2.5M6.0M
Net DEX-103.5M-161.5M-67.1M-88.5M-85.7M
Net VEX-752.5K-805.5K-703.9K-752.4K-787.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.152.130.591.74
Total Volume1,062.0912473,869532619
Total OI27,27019,21533,34728,80523,471

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$286.38$275.0023.2%6.6%28.5%22.2%22.9%7.8%1.3%2.5M-88.5M-752.4K0.5972.8133519713,08615,719
2020-07-02$287.32$275.0022.0%6.3%28.3%20.5%20.7%6.7%2.1%3.4M-100.6M-731.5K0.6973.7340628213,10215,773
2020-07-06$290.83$280.0022.4%6.8%26.9%21.1%24.8%9.7%0.9%4.7M-116.2M-703.9K0.2860.513,03083912,98815,914
2020-07-07$288.80$285.0023.0%6.9%26.6%22.0%25.6%10.3%1.0%4.1M-103.3M-743.4K1.5656.0321934214,78016,127
2020-07-08$290.03$290.0021.4%6.8%26.7%19.8%24.3%10.5%1.2%5.3M-116.1M-708.0K0.9856.0641640614,80616,217
2020-07-09$288.64$290.0022.0%6.9%26.6%20.5%27.1%11.0%0.9%4.0M-102.2M-727.4K0.9763.4239237915,05716,462
2020-07-10$291.49$290.0020.8%6.8%16.8%18.9%25.5%9.9%1.3%6.7M-124.9M-714.0K0.9960.4744644115,06016,597
2020-07-13$290.43$290.0026.9%7.4%16.9%27.5%26.1%10.9%0.8%6.0M-119.5M-727.2K1.3959.111,0631,47915,34416,683
2020-07-14$292.18$290.0029.4%7.3%16.9%31.0%24.9%10.9%0.6%6.6M-126.5M-726.9K1.9158.2627853115,42317,393
2020-07-15$295.87$290.0023.5%6.7%16.0%22.6%23.7%9.5%1.2%9.2M-156.9M-732.0K0.6059.031,35080615,49117,469
2020-07-16$294.72$290.0022.7%6.5%16.2%21.5%24.0%9.3%1.0%9.8M-150.7M-729.6K0.4060.9041216615,70317,516
2020-07-17$295.90$290.0021.4%6.2%16.1%19.8%23.0%8.0%1.1%12.4M-161.5M-713.8K0.2562.8398324115,76217,585
2020-07-20$298.48$290.0019.4%5.6%16.3%16.9%21.0%7.5%1.3%4.5M-79.2M-718.4K0.1562.772,62538410,4518,764
2020-07-21$298.72$290.0020.1%5.8%16.3%17.9%22.5%8.3%1.0%5.5M-88.7M-792.7K1.6064.3344371012,8378,963
2020-07-22$300.18$290.0019.9%5.7%16.2%17.6%19.6%8.2%1.0%6.0M-92.9M-803.5K0.8468.0621217813,0099,155
2020-07-23$296.46$290.0021.9%6.3%14.0%20.3%22.6%9.2%0.6%5.3M-76.8M-805.5K2.1365.2820443413,1499,291
2020-07-24$294.38$290.0021.1%6.0%14.4%19.3%22.3%8.7%1.2%4.8M-67.1M-785.8K1.2067.7421826113,2009,441
2020-07-27$296.84$290.0020.9%6.0%12.4%19.0%20.1%8.2%1.3%5.4M-77.2M-786.4K0.5272.2826713813,2389,586
2020-07-28$295.63$290.0020.8%6.0%12.7%18.9%20.0%8.2%0.7%5.2M-72.3M-772.1K0.4569.501707713,3849,642
2020-07-29$298.74$290.0018.5%5.3%11.8%15.7%19.2%7.6%1.9%6.2M-88.3M-789.5K0.5676.3832418113,3879,660
2020-07-30$297.38$290.0021.1%6.1%11.7%19.3%20.9%7.9%1.6%5.8M-81.5M-804.5K1.6272.7718429813,4969,759
2020-07-31$298.86$290.0018.8%5.4%11.7%16.1%19.9%7.5%1.9%6.0M-85.7M-787.4K1.7474.8222639313,5499,922