VOO Options History — December 2020

In December 2020, VOO traded between $335.53 and $343.12. ATM implied volatility averaged 17.7%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 6.5% (HV 20d: 11.3%). Max pain ranged from $305.00 to $320.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.01.

Notable Days

  • 2020-12-08: Highest Volume — 1,780 contracts
  • 2020-12-09: Largest IV spike — 22.8% change
  • 2020-12-22: Highest IV Rank — 17.4%
  • 2020-12-22: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$339.00$335.53$343.12$336.04$343.12
Max Pain$309.09$305.00$320.00$320.00$315.00
ATM IV17.7%15.1%20.5%18.3%16.5%
Expected Move5.2%4.7%5.9%5.2%4.7%
HV 20d11.3%8.4%17.3%17.3%8.4%
HV 60d18.6%17.0%21.1%21.1%17.0%
IV Rank13.4%9.7%17.4%14.1%11.6%
IV Percentile26.8%15.5%41.7%32.1%15.5%
Term Structure1.4%0.2%2.5%0.3%1.4%
VWIV19.3%15.6%24.9%18.0%19.6%
Skew 25d7.0%4.9%8.2%4.9%6.9%
Skew 10d12.7%9.1%14.9%9.1%14.2%
Call IV 25d15.2%13.9%16.5%16.5%14.7%
Put IV 25d22.2%20.5%24.7%21.4%21.6%
Bid-Ask Spread %74.5369.0977.3876.7673.64
Gamma HHI0.120.090.280.090.13
Net GEX12.5M7.1M20.7M11.9M10.6M
Net DEX-119.0M-162.1M-75.9M-129.4M-89.8M
Net VEX-869.6K-924.6K-830.1K-897.5K-874.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.243.150.570.61
Total Volume820.51871,780721661
Total OI32,031.529,04734,20931,85430,654

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$336.04$320.0018.3%5.2%17.3%14.1%18.0%4.9%0.3%11.9M-129.4M-897.5K0.5776.7645926218,88312,971
2020-12-02$336.84$320.0018.2%5.2%15.6%14.1%17.8%5.1%0.4%12.2M-132.3M-878.5K0.6676.6448631919,09013,000
2020-12-03$336.60$305.0018.1%5.4%14.6%13.8%21.3%6.3%1.3%12.8M-132.0M-890.2K0.3973.0476429719,24913,111
2020-12-04$339.36$305.0016.2%5.0%13.9%11.1%18.4%6.6%1.7%15.1M-154.6M-924.6K1.0672.3224225719,57613,248
2020-12-07$338.30$305.0015.8%5.0%14.1%10.6%19.2%7.1%1.9%13.9M-142.0M-890.6K0.3669.1062822619,66613,334
2020-12-08$340.18$305.0015.1%4.8%12.7%9.7%17.5%6.0%2.5%15.3M-152.4M-865.6K3.1569.094291,35119,85513,438
2020-12-09$337.26$310.0018.6%5.3%12.5%14.6%17.9%7.2%1.5%12.6M-128.3M-893.9K1.2074.5535542519,97913,498
2020-12-10$337.50$305.0018.7%5.4%12.5%14.7%18.0%6.8%1.5%12.9M-130.0M-873.2K0.9575.6427726220,00413,547
2020-12-11$336.18$305.0019.1%5.5%11.6%15.3%20.9%7.8%1.6%12.0M-120.3M-890.1K1.9175.1318735720,07713,559
2020-12-14$335.53$305.0019.5%5.6%9.8%15.9%24.9%8.2%1.3%11.8M-116.2M-882.7K2.4373.7033180520,11913,755
2020-12-15$339.09$305.0017.8%5.1%10.2%13.4%17.9%7.8%2.1%15.0M-135.7M-883.0K0.2473.2466715820,06413,704
2020-12-16$340.68$305.0017.4%5.0%10.1%12.8%18.6%7.0%2.3%17.2M-150.2M-856.0K0.4474.6750722420,33413,730
2020-12-17$341.81$305.0017.1%4.9%9.6%12.5%17.9%6.0%1.6%18.9M-162.1M-852.1K0.4774.4160528420,45013,759
2020-12-18$339.83$305.0017.6%5.0%10.0%13.1%19.3%7.5%1.5%20.7M-144.3M-837.7K0.7676.7849137320,49813,667
2020-12-21$338.84$305.0019.0%5.5%10.0%15.2%21.0%7.6%0.9%8.7M-102.9M-830.1K1.5973.4050780717,95911,088
2020-12-22$337.41$310.0020.5%5.9%10.2%17.4%23.0%8.2%0.2%7.1M-75.9M-841.1K1.0775.5131233517,63211,686
2020-12-23$339.16$310.0016.9%4.8%8.8%12.1%19.3%8.0%1.7%8.2M-80.2M-850.5K0.6476.1835522717,76511,770
2020-12-24$338.66$310.0016.5%4.7%8.8%11.6%19.9%7.9%1.4%7.8M-79.2M-851.4K0.9977.38949317,97011,755
2020-12-28$342.10$315.0017.3%4.9%9.4%12.7%15.6%6.6%1.2%10.1M-87.5M-832.0K0.7375.4674154217,71611,766
2020-12-29$341.60$315.0017.9%5.1%9.2%13.6%18.2%7.7%1.5%10.1M-86.3M-863.2K1.1877.1134340518,20212,011
2020-12-30$341.85$315.0018.2%5.2%8.4%14.0%20.8%7.2%1.1%10.6M-87.4M-872.5K0.8775.9732128018,26712,287
2020-12-31$343.12$315.0016.5%4.7%8.4%11.6%19.6%6.9%1.4%10.6M-89.8M-874.4K0.6173.6441025118,31012,344