VOO Options History — October 2020

In October 2020, VOO traded between $298.16 and $324.07. ATM implied volatility averaged 24.9%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 5.0% (HV 20d: 19.9%). Max pain ranged from $290.00 to $310.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.41.

Notable Days

  • 2020-10-27: Highest Volume — 7,547 contracts
  • 2020-10-28: Largest IV spike — 22.0% change
  • 2020-10-28: Highest IV Rank — 41.1%
  • 2020-10-28: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$313.45$298.16$324.07$308.56$298.16
Max Pain$306.14$290.00$310.00$290.00$310.00
ATM IV24.9%16.6%36.7%23.1%35.3%
Expected Move7.5%6.0%10.5%6.6%10.1%
HV 20d19.9%16.1%25.9%25.9%22.1%
HV 60d18.6%17.6%20.6%17.6%20.6%
IV Rank24.7%12.9%41.1%22.1%39.1%
IV Percentile65.3%36.9%87.3%63.1%86.5%
Term Structure-0.0%-2.9%3.6%3.2%-2.9%
VWIV27.6%22.6%36.6%24.0%34.9%
Skew 25d9.4%5.6%12.3%6.2%12.3%
Skew 10d16.3%9.4%23.0%10.4%23.0%
Call IV 25d21.8%17.9%29.8%21.3%29.2%
Put IV 25d31.2%26.2%41.6%27.5%41.6%
Bid-Ask Spread %64.4458.1582.3074.8363.90
Gamma HHI0.120.050.560.080.09
Net GEX7.8M-5.3M23.3M7.6M-5.3M
Net DEX-69.8M-168.1M66.3M-78.8M66.3M
Net VEX-728.0K-965.8K-658.9K-731.3K-965.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.107.840.100.86
Total Volume1,380.8642107,5471,757701
Total OI25,895.13617,95730,58328,35629,919

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$308.56$290.0023.1%6.6%25.9%22.1%24.0%6.2%3.2%7.6M-78.8M-731.3K0.1074.831,59915815,41112,945
2020-10-02$307.46$290.0024.0%6.9%22.0%23.4%24.8%5.6%3.6%6.8M-69.8M-712.0K1.4882.3015923615,15312,980
2020-10-05$311.93$300.0022.9%7.6%22.7%21.8%27.5%9.6%0.3%9.2M-91.4M-724.0K0.2460.5882419515,11913,060
2020-10-06$307.90$300.0023.2%7.5%21.0%22.2%29.6%10.0%0.5%7.4M-71.9M-693.3K0.6966.8546932515,50213,112
2020-10-07$313.32$305.0020.5%7.1%20.8%18.5%26.2%9.2%0.6%10.4M-101.0M-710.7K1.3958.1517123715,62013,196
2020-10-08$315.60$305.0018.6%6.8%19.9%15.8%26.0%8.7%0.9%12.3M-114.9M-700.1K0.8160.2818314915,67113,245
2020-10-09$318.30$305.0016.6%6.0%20.0%12.9%26.5%8.0%1.4%14.3M-128.1M-675.0K1.4863.0938556815,71113,306
2020-10-12$324.07$305.0018.2%6.0%20.2%15.2%23.2%8.3%1.2%18.8M-168.1M-709.7K0.5162.8174037615,79213,585
2020-10-13$322.52$305.0018.9%6.2%20.3%16.2%25.0%8.9%0.8%18.0M-152.5M-705.7K0.4761.571,08250615,87513,731
2020-10-14$320.36$310.0022.7%6.5%20.6%21.6%26.1%8.9%0.3%17.0M-137.0M-715.9K0.8063.1829023216,51613,885
2020-10-15$319.39$310.0023.2%6.6%19.6%22.2%26.3%9.3%0.3%14.3M-124.4M-679.3K1.1960.8224929616,56913,978
2020-10-16$320.14$310.0023.2%6.6%19.4%22.2%22.6%9.1%0.3%23.3M-124.0M-697.9K0.2962.9861117916,46914,114
2020-10-19$314.33$310.0025.3%7.3%19.5%25.2%25.6%10.2%0.0%3.3M-43.1M-658.9K0.7062.5748434111,2126,745
2020-10-20$316.56$310.0026.1%7.5%18.9%26.2%26.7%10.0%-0.1%3.8M-50.9M-715.5K0.3560.5678627911,5637,014
2020-10-21$315.17$310.0025.9%7.4%16.6%26.0%27.0%9.4%-0.5%3.6M-45.7M-706.5K3.8067.647127012,1467,118
2020-10-22$316.66$310.0025.5%7.3%16.6%25.5%28.4%9.6%-0.6%3.8M-48.9M-700.6K1.9364.2619537712,1717,339
2020-10-23$317.34$310.0025.0%7.2%16.1%24.8%24.1%9.4%-0.4%4.1M-52.4M-704.5K0.9465.7510810212,2847,443
2020-10-26$310.49$310.0030.4%8.7%17.2%32.4%31.3%10.0%-1.8%2.7M-32.8M-694.9K2.1663.3333572212,3177,525
2020-10-27$311.34$310.0030.1%8.6%16.9%31.9%36.6%10.5%-1.7%2.5M-30.0M-704.9K7.8464.648546,69312,3277,961
2020-10-28$301.56$310.0036.7%10.5%20.5%41.1%34.0%11.8%-2.7%-3.5M36.7M-841.0K2.2367.571,3292,96812,85113,401
2020-10-29$304.79$310.0033.4%9.6%20.8%36.4%30.6%12.3%-2.7%-2.8M26.4M-869.6K0.6960.112,0921,45313,50314,309
2020-10-30$298.16$310.0035.3%10.1%22.1%39.1%34.9%12.3%-2.9%-5.3M66.3M-965.8K0.8663.9037732414,59215,327