VOO Options History — January 2021

In January 2021, VOO traded between $339.05 and $353.80. ATM implied volatility averaged 18.7%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 7.1% (HV 20d: 11.6%). Max pain ranged from $340.00 to $350.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.92.

Notable Days

2021-01-11: Highest Volume — 3,526 contracts
2021-01-27: Largest IV spike — 56.6% change
2021-01-27: Highest IV Rank — 24.0%
2021-01-27: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$347.91	$339.05	$353.80	$339.05	$340.93
Max Pain	$343.42	$340.00	$350.00	$345.00	$345.00
ATM IV	18.7%	14.7%	26.7%	21.4%	26.2%
Expected Move	5.4%	4.5%	7.7%	6.0%	7.5%
HV 20d	11.6%	9.5%	18.1%	9.6%	18.1%
HV 60d	16.2%	14.2%	16.9%	16.9%	15.5%
IV Rank	13.0%	7.9%	24.0%	17.7%	23.2%
IV Percentile	28.0%	9.5%	70.2%	44.8%	69.0%
Term Structure	1.5%	0.4%	2.2%	0.7%	0.6%
VWIV	20.3%	16.6%	28.8%	24.4%	24.6%
Skew 25d	8.7%	7.0%	11.9%	10.0%	11.9%
Skew 10d	16.8%	13.2%	23.9%	18.3%	23.1%
Call IV 25d	15.9%	13.8%	21.5%	17.6%	19.7%
Put IV 25d	24.6%	20.9%	33.3%	27.5%	31.6%
Bid-Ask Spread %	65.66	56.73	75.03	62.23	72.36
Gamma HHI	0.15	0.07	0.31	0.11	0.07
Net GEX	8.3M	981.7K	17.8M	7.6M	981.7K
Net DEX	-81.8M	-133.4M	-21.6M	-67.9M	-21.6M
Net VEX	-1.0M	-1.2M	-855.8K	-855.8K	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.16	2.12	1.38	0.78
Total Volume	1,251.684	582	3,526	1,209	1,764
Total OI	26,597.211	16,852	36,789	30,972	20,037

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-01-04	$339.05	$345.00	21.4%	6.0%	9.6%	17.7%	24.4%	10.0%	0.7%	7.6M	-67.9M	-855.8K	1.38	62.23	509	700	18,456	12,516
2021-01-05	$341.44	$345.00	21.3%	5.9%	9.5%	17.6%	20.4%	9.0%	0.8%	8.6M	-76.5M	-897.8K	0.98	56.73	294	288	18,538	13,421
2021-01-06	$343.38	$345.00	19.9%	5.6%	9.6%	15.7%	21.2%	9.6%	1.0%	9.9M	-83.7M	-906.7K	1.34	62.46	522	699	18,659	13,671
2021-01-07	$349.03	$340.00	14.7%	5.0%	10.9%	8.2%	16.7%	7.5%	1.8%	14.7M	-120.3M	-891.3K	0.51	60.86	584	300	18,849	13,859
2021-01-08	$350.22	$350.00	14.9%	5.0%	10.3%	8.5%	20.3%	7.3%	1.7%	15.7M	-130.0M	-883.0K	0.96	63.91	597	576	18,946	13,933
2021-01-11	$348.13	$345.00	18.8%	5.5%	10.7%	14.1%	18.2%	8.6%	1.0%	12.5M	-110.3M	-883.2K	1.45	61.91	1,441	2,085	19,136	14,116
2021-01-12	$348.51	$340.00	16.5%	5.2%	10.5%	10.1%	19.2%	8.2%	1.6%	14.0M	-115.5M	-918.2K	0.54	64.69	1,194	648	20,023	14,229
2021-01-13	$349.58	$340.00	17.4%	5.0%	10.4%	11.5%	21.5%	7.9%	2.2%	17.8M	-133.4M	-1.0M	2.12	63.31	543	1,153	20,808	14,531
2021-01-14	$348.74	$340.00	17.4%	5.0%	10.0%	11.5%	25.3%	7.9%	1.7%	14.5M	-111.9M	-1.1M	1.46	64.66	571	831	20,796	15,470
2021-01-15	$345.41	$340.00	19.2%	5.5%	10.6%	14.1%	19.2%	8.6%	1.2%	9.6M	-84.9M	-1.1M	0.64	62.70	737	473	20,783	16,006
2021-01-19	$348.48	$340.00	17.6%	5.0%	11.0%	11.0%	16.8%	8.5%	1.6%	1.7M	-43.4M	-1.1M	0.36	60.95	1,042	375	7,407	9,445
2021-01-20	$353.67	$340.00	16.2%	4.6%	11.7%	8.6%	17.3%	7.0%	1.8%	3.8M	-65.9M	-1.1M	0.58	63.68	882	508	7,803	9,580
2021-01-21	$353.80	$345.00	16.0%	4.6%	11.6%	8.2%	17.7%	7.1%	2.0%	5.6M	-76.3M	-1.1M	0.84	68.00	337	282	8,425	9,698
2021-01-22	$352.93	$345.00	15.8%	4.5%	11.5%	7.9%	17.0%	7.0%	2.2%	5.1M	-70.0M	-1.1M	0.51	66.72	622	318	8,509	9,870
2021-01-25	$352.67	$345.00	17.1%	4.9%	11.5%	9.8%	18.5%	8.1%	2.1%	5.0M	-74.5M	-1.2M	0.81	70.33	349	284	8,992	10,125
2021-01-26	$353.37	$345.00	17.1%	4.9%	11.4%	9.8%	16.6%	8.2%	2.1%	5.5M	-79.0M	-1.2M	0.16	73.17	506	82	9,139	10,205
2021-01-27	$343.01	$345.00	26.7%	7.7%	15.7%	24.0%	28.8%	11.8%	0.4%	2.2M	-35.2M	-1.2M	1.65	73.86	385	635	9,328	10,208
2021-01-28	$347.96	$345.00	21.1%	6.1%	16.5%	15.8%	21.9%	11.1%	1.8%	3.7M	-54.1M	-1.2M	0.46	75.03	457	209	9,350	10,480
2021-01-29	$340.93	$345.00	26.2%	7.5%	18.1%	23.2%	24.6%	11.9%	0.6%	981.7K	-21.6M	-1.2M	0.78	72.36	990	774	9,444	10,593