VOO Options History — August 2020

In August 2020, VOO traded between $302.49 and $322.47. ATM implied volatility averaged 17.7%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 7.6% (HV 20d: 10.2%). Max pain ranged from $290.00 to $315.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2020-08-19: Highest Volume — 1,787 contracts
  • 2020-08-11: Largest IV spike — 29.7% change
  • 2020-08-03: Highest IV Rank — 18.1%
  • 2020-08-11: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$311.29$302.49$322.47$302.49$322.47
Max Pain$306.67$290.00$315.00$290.00$315.00
ATM IV17.7%15.1%20.3%20.3%19.4%
Expected Move5.2%4.6%5.9%5.8%5.5%
HV 20d10.2%7.6%11.7%11.7%7.6%
HV 60d19.4%17.4%21.9%21.9%17.4%
IV Rank14.5%10.9%18.1%18.1%16.8%
IV Percentile49.9%44.0%56.3%56.3%55.2%
Term Structure1.4%0.3%2.2%1.3%0.7%
VWIV18.9%16.7%22.2%19.0%18.4%
Skew 25d7.5%5.3%8.9%6.8%6.9%
Skew 10d14.5%11.5%17.3%13.8%15.3%
Call IV 25d15.4%14.1%16.7%16.7%16.5%
Put IV 25d22.9%20.7%25.5%23.4%23.4%
Bid-Ask Spread %70.3560.6778.0576.3471.76
Gamma HHI0.110.080.200.080.09
Net GEX10.8M7.2M15.1M7.2M10.2M
Net DEX-147.0M-184.2M-106.2M-106.2M-180.5M
Net VEX-785.0K-855.5K-727.1K-794.9K-855.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.233.300.620.39
Total Volume933.4293431,7871,0861,026
Total OI25,044.8123,01527,30023,86924,901

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$302.49$290.0020.3%5.8%11.7%18.1%19.0%6.8%1.3%7.2M-106.2M-794.9K0.6276.3467141513,64210,227
2020-08-04$302.60$290.0017.5%5.0%11.3%14.3%21.2%6.6%2.2%8.1M-109.5M-790.2K1.7177.3221136013,86310,246
2020-08-05$304.79$290.0017.1%4.9%11.4%13.6%16.9%5.9%2.1%9.3M-123.8M-804.6K0.9378.0553749714,02010,255
2020-08-06$306.90$295.0017.3%5.6%11.2%13.9%19.8%8.1%1.3%10.1M-134.5M-792.1K0.3560.6757320113,97510,254
2020-08-07$307.31$295.0017.3%5.6%10.9%13.9%16.7%8.2%1.5%10.3M-136.3M-790.1K1.3566.3834947214,10910,266
2020-08-10$307.84$315.0015.1%5.2%10.6%10.9%18.8%7.8%1.4%10.8M-135.9M-790.2K0.8666.0835930814,27510,576
2020-08-11$306.22$315.0019.6%5.9%10.9%17.2%19.7%8.9%0.3%10.1M-127.9M-785.7K0.5166.4968034914,37310,657
2020-08-12$310.38$315.0018.4%5.3%11.1%15.6%19.8%7.7%1.2%12.1M-152.6M-795.8K0.5168.2262832314,84310,865
2020-08-13$309.49$315.0018.1%5.2%11.0%15.1%18.4%7.6%1.7%12.2M-145.9M-797.5K0.3068.4045413814,83110,979
2020-08-14$308.80$315.0017.8%5.1%11.1%14.6%20.9%8.5%2.0%12.4M-140.2M-789.3K1.3367.7914719614,91011,014
2020-08-17$310.57$315.0017.6%5.0%10.9%14.3%18.5%7.8%1.8%14.1M-155.3M-742.7K0.4868.2179038115,07811,115
2020-08-18$311.24$315.0017.6%5.0%10.9%14.3%21.0%7.6%1.1%14.7M-158.6M-744.7K0.2369.0973316715,44411,121
2020-08-19$310.14$305.0017.6%5.0%11.0%14.4%19.3%8.1%1.3%14.7M-151.0M-727.1K3.3069.634161,37115,50511,191
2020-08-20$311.14$305.0018.0%5.1%9.7%14.9%18.5%8.1%0.8%15.1M-154.9M-759.2K0.5871.0547127415,68211,384
2020-08-21$311.73$305.0017.8%5.1%9.0%14.6%18.1%8.6%1.1%8.9M-162.8M-752.4K0.2870.3461317115,76911,531
2020-08-24$314.60$305.0016.2%4.6%9.1%12.4%17.2%7.5%2.0%8.4M-139.5M-740.7K1.0271.3459860713,3389,677
2020-08-25$316.08$310.0016.9%4.8%8.7%13.4%22.2%7.0%1.1%9.1M-151.7M-763.9K1.0071.8049249313,63010,156
2020-08-26$319.29$310.0016.9%4.8%8.7%13.4%18.0%7.1%1.4%9.3M-163.4M-809.5K0.6474.7464941413,64310,092
2020-08-27$320.78$310.0018.1%5.2%8.2%15.1%18.0%7.5%1.2%9.5M-172.8M-844.9K0.2770.6691724413,75510,370
2020-08-28$322.20$310.0017.4%5.0%8.2%14.1%17.3%5.3%1.4%10.3M-184.2M-813.4K0.3572.8967423313,93110,448
2020-08-31$322.47$315.0019.4%5.5%7.6%16.8%18.4%6.9%0.7%10.2M-180.5M-855.5K0.3971.7673728914,31610,585