VOO Options History — November 2020

In November 2020, VOO traded between $302.26 and $333.78. ATM implied volatility averaged 21.5%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 2.0% (HV 20d: 23.4%). Max pain ranged from $285.00 to $320.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.70.

Notable Days

  • 2020-11-20: Highest Volume — 2,754 contracts
  • 2020-11-06: Largest IV drop — 18.8% change
  • 2020-11-02: Highest IV Rank — 41.0%
  • 2020-11-02: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$325.81$302.26$333.78$302.26$332.18
Max Pain$314.25$285.00$320.00$310.00$320.00
ATM IV21.5%17.0%36.7%36.7%19.1%
Expected Move6.1%4.9%10.5%10.5%5.5%
HV 20d23.4%17.4%25.6%22.1%17.4%
HV 60d22.2%20.8%22.8%20.8%20.9%
IV Rank18.9%12.3%41.0%41.0%15.3%
IV Percentile44.4%25.0%86.9%86.9%35.3%
Term Structure-0.3%-4.5%1.0%-4.5%0.0%
VWIV22.9%17.3%35.8%35.8%20.8%
Skew 25d7.7%5.5%12.5%12.5%5.9%
Skew 10d14.8%10.6%22.7%22.7%11.8%
Call IV 25d18.5%15.7%29.6%29.6%16.4%
Put IV 25d26.2%21.2%42.1%42.1%22.2%
Bid-Ask Spread %70.0163.2376.4363.5876.43
Gamma HHI0.100.070.240.080.08
Net GEX10.7M-3.4M21.2M-3.4M8.7M
Net DEX-104.8M-175.5M43.7M43.7M-103.7M
Net VEX-909.0K-994.0K-837.7K-950.9K-849.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.0614.670.722.47
Total Volume1,306.95142,7541,253733
Total OI33,488.2529,52738,36330,66831,677

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$302.26$310.0036.7%10.5%22.1%41.0%35.8%12.5%-4.5%-3.4M43.7M-950.9K0.7263.5872852515,25815,410
2020-11-03$309.95$310.0032.0%9.2%23.6%34.5%35.1%10.8%-3.9%36.4K-1.1M-964.5K1.1565.9275586615,25815,410
2020-11-04$316.03$310.0027.3%7.8%23.8%27.9%27.3%9.0%-2.2%3.3M-43.0M-971.4K0.8673.6249142415,91916,356
2020-11-05$321.24$310.0025.1%6.9%24.3%24.8%22.2%9.4%-0.8%7.3M-82.6M-994.0K1.6163.236981,12716,00816,448
2020-11-06$322.60$310.0020.4%6.0%24.2%18.1%31.2%8.7%-0.1%9.2M-92.3M-945.9K1.0366.0466869016,15816,687
2020-11-09$328.78$285.0021.1%5.8%24.3%19.2%21.8%7.2%-0.1%13.8M-148.2M-908.9K1.7169.059041,54916,61217,008
2020-11-10$325.45$315.0022.4%6.1%24.5%20.0%22.3%8.0%-0.2%10.5M-108.1M-900.9K1.2668.9728235516,65917,511
2020-11-11$327.29$315.0020.4%5.9%24.4%17.2%21.3%7.6%-0.1%14.4M-131.0M-891.6K0.8768.7653946816,73117,422
2020-11-12$323.35$315.0021.5%6.2%24.8%18.7%23.9%9.1%-0.0%10.8M-98.0M-935.9K2.1668.9634775017,15317,708
2020-11-13$329.38$315.0019.1%5.5%25.6%15.4%20.9%7.0%0.5%15.9M-146.9M-924.5K1.0768.9949152417,20318,135
2020-11-16$331.93$315.0019.6%5.6%24.6%16.0%21.5%6.9%0.3%19.9M-175.5M-932.4K1.0870.4251155217,35718,628
2020-11-17$331.09$315.0019.3%5.5%24.6%15.7%22.6%7.0%0.4%19.8M-166.6M-891.8K1.0371.0425326117,47318,899
2020-11-18$328.77$320.0019.1%5.5%24.7%15.2%18.5%7.3%0.5%19.7M-142.4M-890.5K0.0671.682,18213217,52519,010
2020-11-19$328.82$320.0018.4%5.3%24.7%14.3%19.8%6.7%1.0%21.2M-143.1M-878.1K0.2670.7657115019,18319,137
2020-11-20$327.56$320.0018.2%5.2%24.8%14.0%20.5%7.2%0.8%6.3M-127.8M-854.9K0.1071.522,50225219,19519,168
2020-11-23$328.61$320.0018.0%5.2%23.2%13.8%18.5%7.0%0.7%6.6M-87.7M-837.7K1.0769.5942846017,80811,719
2020-11-24$333.78$320.0017.2%4.9%23.7%12.7%17.3%5.5%0.8%10.5M-120.4M-905.5K0.2173.8398220918,05412,046
2020-11-25$333.43$320.0017.0%4.9%19.8%12.3%19.1%5.6%0.8%9.9M-112.3M-883.0K14.6773.881331,95118,50912,136
2020-11-27$333.72$320.0017.2%4.9%19.7%12.6%17.5%5.6%1.0%9.1M-109.7M-867.0K0.5873.8343925618,55912,628
2020-11-30$332.18$320.0019.1%5.5%17.4%15.3%20.8%5.9%0.0%8.7M-103.7M-849.4K2.4776.4321152218,88312,794