VOO Options History — September 2020

In September 2020, VOO traded between $298.21 and $329.35. ATM implied volatility averaged 23.0%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.1% (HV 20d: 22.0%). Max pain ranged from $270.00 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 0.75.

Notable Days

  • 2020-09-24: Highest Volume — 2,580 contracts
  • 2020-09-03: Largest IV spike — 48.0% change
  • 2020-09-08: Highest IV Rank — 34.2%
  • 2020-09-03: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$309.35$298.21$329.35$323.38$307.41
Max Pain$278.81$270.00$315.00$315.00$290.00
ATM IV23.0%18.0%31.8%18.0%24.1%
Expected Move6.5%5.2%7.7%5.2%6.9%
HV 20d22.0%7.5%27.0%7.5%27.0%
HV 60d17.2%15.3%19.5%17.2%17.6%
IV Rank22.0%14.9%34.2%14.9%23.5%
IV Percentile63.9%51.6%83.7%51.6%68.7%
Term Structure2.9%1.4%4.1%1.4%2.9%
VWIV23.7%18.9%29.1%18.9%22.2%
Skew 25d7.8%5.2%10.9%8.0%7.3%
Skew 10d14.0%10.8%22.1%16.2%12.6%
Call IV 25d19.8%16.4%22.7%16.4%20.3%
Put IV 25d27.5%23.6%33.6%24.4%27.7%
Bid-Ask Spread %71.0464.5876.9874.1976.98
Gamma HHI0.080.060.100.090.07
Net GEX6.9M3.7M10.8M10.5M6.1M
Net DEX-105.9M-225.4M-55.4M-187.7M-66.0M
Net VEX-744.6K-926.0K-659.9K-859.3K-717.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.261.760.550.26
Total Volume1,156.815432,5808831,112
Total OI26,868.14324,92629,10325,24827,565

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$323.38$315.0018.0%5.2%7.5%14.9%18.9%8.0%1.4%10.5M-187.7M-859.3K0.5574.1957031314,53610,712
2020-09-02$329.35$315.0019.2%5.5%9.2%16.7%20.0%5.2%1.5%10.8M-225.4M-897.2K0.4072.901,19547414,52710,985
2020-09-03$316.43$270.0028.5%7.7%18.0%29.7%28.0%10.9%2.1%7.5M-139.1M-926.0K0.3864.581,80169014,66411,030
2020-09-04$315.83$270.0025.8%6.7%18.0%25.8%24.2%10.3%3.5%8.3M-137.5M-862.8K1.0465.9770472915,60011,062
2020-09-08$307.28$270.0031.8%7.5%20.7%34.2%26.0%9.5%1.5%6.2M-93.0M-777.5K0.6667.5074949115,81011,047
2020-09-09$313.17$270.0022.6%6.5%21.7%21.4%23.6%8.6%2.6%8.7M-132.1M-815.5K0.4067.7639015716,17211,094
2020-09-10$307.79$270.0023.7%6.8%22.1%22.9%28.0%9.1%2.8%6.8M-100.3M-757.4K0.9270.3345842016,25611,105
2020-09-11$306.85$270.0023.2%6.6%22.1%22.2%24.2%8.2%2.5%6.5M-94.0M-744.7K0.9269.8856551716,31411,302
2020-09-14$311.71$270.0021.6%6.2%22.8%20.0%20.8%7.2%3.3%8.7M-121.6M-707.9K0.3369.7741713716,50111,448
2020-09-15$312.15$270.0021.8%6.2%22.7%20.2%23.6%7.3%3.4%8.8M-123.4M-708.2K0.4772.1470733416,57611,472
2020-09-16$312.51$270.0020.1%5.7%22.7%17.8%20.6%7.2%4.0%9.2M-125.4M-701.0K1.7672.2450989617,04311,498
2020-09-17$307.58$275.0021.4%6.1%23.4%19.7%21.8%7.8%3.2%6.5M-95.0M-711.0K0.4771.2150223817,21211,822
2020-09-18$305.69$275.0021.5%6.2%23.5%19.8%21.7%6.8%3.5%6.0M-88.6M-668.4K0.5769.5370240017,22911,874
2020-09-21$300.29$275.0023.8%6.8%24.2%23.0%25.0%7.5%2.8%4.5M-68.1M-659.9K1.0367.8581483814,30810,618
2020-09-22$305.16$275.0021.9%6.3%24.7%20.4%21.0%6.9%4.0%5.3M-85.3M-688.0K0.3770.8539614714,17510,964
2020-09-23$298.21$275.0023.9%6.9%25.7%23.3%24.3%7.9%3.5%3.7M-56.0M-667.2K0.6271.4338824114,36910,981
2020-09-24$298.72$280.0024.6%7.0%25.3%24.1%28.8%7.1%2.8%3.9M-55.4M-668.0K1.4571.541,0521,52814,26211,035
2020-09-25$302.85$280.0021.5%6.2%25.9%19.9%23.2%6.8%4.0%4.3M-70.7M-699.0K1.0175.0829029314,99812,133
2020-09-28$308.26$280.0021.3%6.1%26.8%19.5%22.2%6.4%4.1%6.3M-99.3M-691.4K0.2974.6675421515,14612,123
2020-09-29$305.82$290.0023.9%6.9%26.9%23.2%29.1%6.9%2.7%5.9M-61.1M-709.1K1.7675.5542173914,50512,158
2020-09-30$307.41$290.0024.1%6.9%27.0%23.5%22.2%7.3%2.9%6.1M-66.0M-717.3K0.2676.9888123114,77112,794