VOO Options History — February 2021

In February 2021, VOO traded between $346.32 and $361.00. ATM implied volatility averaged 17.6%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 0.0% (HV 20d: 17.7%). Max pain ranged from $345.00 to $350.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.58.

Notable Days

2021-02-02: Highest Volume — 2,225 contracts
2021-02-25: Largest IV spike — 54.8% change
2021-02-25: Highest IV Rank — 18.9%
2021-02-25: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$356.54	$346.32	$361.00	$346.32	$353.09
Max Pain	$346.58	$345.00	$350.00	$345.00	$350.00
ATM IV	17.6%	13.3%	25.7%	22.8%	20.6%
Expected Move	5.3%	4.7%	7.4%	6.5%	5.9%
HV 20d	17.7%	15.0%	19.0%	18.9%	15.0%
HV 60d	13.6%	12.7%	15.0%	15.0%	13.7%
IV Rank	8.9%	4.3%	18.9%	18.2%	11.2%
IV Percentile	19.9%	3.6%	67.1%	53.6%	40.1%
Term Structure	0.9%	-3.2%	2.9%	1.4%	-0.6%
VWIV	18.7%	15.6%	23.4%	20.9%	22.2%
Skew 25d	8.1%	7.0%	11.4%	11.4%	10.1%
Skew 10d	16.4%	12.8%	20.9%	20.8%	20.5%
Call IV 25d	15.2%	13.8%	19.0%	17.4%	17.1%
Put IV 25d	23.3%	21.1%	28.8%	28.8%	27.3%
Bid-Ask Spread %	69.11	56.02	81.58	67.81	75.11
Gamma HHI	0.12	0.07	0.26	0.07	0.07
Net GEX	9.6M	1.8M	17.4M	1.8M	3.8M
Net DEX	-96.0M	-130.8M	-39.5M	-39.5M	-60.5M
Net VEX	-1.1M	-1.2M	-1.1M	-1.2M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.27	1.95	0.46	0.39
Total Volume	979.895	569	2,225	942	1,019
Total OI	21,665.421	17,462	24,563	20,653	18,915

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
2021-02-01	$346.32	$345.00	22.8%	6.5%	18.9%	18.2%	20.9%	11.4%	1.4%	1.8M	-39.5M	-1.2M	0.46	67.81	644	298	9,604	11,049
2021-02-02	$351.55	$345.00	19.3%	5.5%	19.0%	13.1%	18.5%	8.6%	2.0%	5.5M	-71.6M	-1.2M	1.95	71.87	755	1,470	9,775	11,166
2021-02-03	$351.86	$345.00	17.6%	5.0%	18.9%	10.6%	16.7%	7.2%	2.9%	6.7M	-75.5M	-1.2M	0.28	73.45	524	146	10,159	11,400
2021-02-04	$354.16	$345.00	14.9%	5.2%	18.9%	6.7%	18.5%	7.9%	0.9%	8.5M	-88.3M	-1.2M	0.35	56.02	423	146	10,395	11,432
2021-02-05	$356.27	$345.00	14.1%	5.2%	18.2%	5.4%	18.8%	7.9%	1.0%	9.8M	-97.8M	-1.2M	0.44	57.41	1,170	520	10,514	11,484
2021-02-08	$358.21	$345.00	13.3%	4.9%	18.3%	4.3%	17.7%	8.0%	1.2%	12.0M	-113.3M	-1.1M	0.33	61.94	798	263	11,191	11,593
2021-02-09	$359.22	$345.00	13.6%	5.0%	18.1%	4.7%	20.7%	7.7%	1.2%	13.6M	-118.6M	-1.2M	0.68	60.75	357	243	11,512	11,732
2021-02-10	$358.24	$345.00	17.9%	5.1%	18.1%	11.0%	17.9%	8.4%	1.0%	12.3M	-111.0M	-1.2M	0.49	69.30	543	265	11,504	11,816
2021-02-11	$358.78	$345.00	17.3%	5.0%	18.1%	8.6%	20.3%	7.6%	1.4%	13.4M	-116.0M	-1.2M	0.87	63.04	444	387	11,660	11,880
2021-02-12	$360.28	$345.00	16.5%	4.7%	18.1%	7.3%	17.1%	7.3%	1.4%	15.1M	-125.0M	-1.1M	0.87	70.28	305	265	11,716	12,153
2021-02-16	$361.00	$350.00	17.0%	4.9%	17.6%	8.0%	18.1%	7.2%	1.4%	17.4M	-130.8M	-1.1M	0.42	69.12	721	300	11,754	12,235
2021-02-17	$360.66	$345.00	16.8%	4.8%	17.5%	7.2%	17.4%	7.4%	1.4%	17.0M	-129.5M	-1.1M	0.37	69.98	718	268	12,055	12,297
2021-02-18	$359.78	$345.00	17.1%	4.9%	16.8%	7.3%	17.7%	7.8%	1.3%	13.6M	-123.1M	-1.1M	0.59	74.61	449	267	12,147	12,416
2021-02-19	$358.95	$345.00	16.4%	4.7%	16.8%	5.8%	15.6%	7.9%	1.4%	12.4M	-112.3M	-1.1M	0.27	73.19	752	202	12,128	12,425
2021-02-22	$356.50	$350.00	18.8%	5.4%	17.0%	8.3%	18.2%	8.2%	0.4%	4.9M	-78.9M	-1.1M	0.49	69.81	710	345	8,648	8,814
2021-02-23	$357.18	$350.00	18.7%	5.4%	17.0%	8.2%	18.5%	8.5%	-0.1%	4.9M	-77.9M	-1.1M	0.49	75.57	551	272	8,634	9,069
2021-02-24	$360.24	$350.00	16.6%	4.7%	17.2%	4.9%	17.4%	7.0%	1.0%	6.3M	-91.4M	-1.1M	0.52	72.36	565	296	8,846	9,153
2021-02-25	$352.06	$350.00	25.7%	7.4%	15.7%	18.9%	23.4%	8.7%	-3.2%	4.1M	-62.6M	-1.1M	0.74	81.58	699	518	9,175	9,197
2021-02-26	$353.09	$350.00	20.6%	5.9%	15.0%	11.2%	22.2%	10.1%	-0.6%	3.8M	-60.5M	-1.1M	0.39	75.11	734	285	9,350	9,565