VOO Options History — March 2021

In March 2021, VOO traded between $345.66 and $364.74. ATM implied volatility averaged 17.2%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.3% (HV 20d: 15.9%). Max pain ranged from $345.00 to $350.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.54.

Notable Days

  • 2021-03-04: Highest Volume — 1,178 contracts
  • 2021-03-05: Largest IV drop — 24.0% change
  • 2021-03-04: Highest IV Rank — 18.7%
  • 2021-03-04: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$359.32$345.66$364.74$358.26$364.70
Max Pain$346.96$345.00$350.00$350.00$350.00
ATM IV17.2%13.6%25.6%18.0%13.6%
Expected Move4.9%3.9%6.6%5.2%3.9%
HV 20d15.9%12.6%17.8%13.5%14.0%
HV 60d15.1%13.8%15.5%13.8%15.2%
IV Rank6.2%0.6%18.7%7.2%0.6%
IV Percentile17.5%0.4%67.9%22.6%0.4%
Term Structure1.6%-1.7%3.6%-0.0%1.9%
VWIV17.3%13.6%22.3%17.6%13.6%
Skew 25d6.7%4.9%11.6%7.5%5.0%
Skew 10d12.7%8.0%20.2%14.8%9.7%
Call IV 25d14.6%12.3%18.4%15.8%12.6%
Put IV 25d21.3%17.5%30.0%23.3%17.5%
Bid-Ask Spread %78.4771.9886.9473.7781.87
Gamma HHI0.110.060.250.080.12
Net GEX8.2M1.1M14.7M6.1M11.9M
Net DEX-93.8M-133.7M-28.7M-87.0M-116.7M
Net VEX-1.0M-1.1M-945.8K-1.1M-999.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.222.220.320.42
Total Volume700.3044201,1781,112570
Total OI20,292.34817,81122,12119,56819,910

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-03-01$358.26$350.0018.0%5.2%13.5%7.2%17.6%7.5%-0.0%6.1M-87.0M-1.1M0.3273.778452679,8619,707
2021-03-02$356.74$350.0020.2%5.8%12.8%10.5%20.8%7.3%-1.4%6.3M-82.4M-1.1M2.2281.9017538810,0879,754
2021-03-03$352.44$350.0022.2%6.4%12.6%13.6%19.7%8.6%-1.7%3.5M-58.0M-1.1M0.4878.0538418610,08910,059
2021-03-04$345.66$345.0025.6%6.6%14.4%18.7%22.3%11.6%0.4%1.1M-28.7M-1.1M0.9974.6259358510,10110,123
2021-03-05$353.32$345.0019.4%5.3%16.3%9.3%20.8%8.5%2.1%3.2M-59.1M-1.1M0.3974.2663224410,16810,289
2021-03-08$352.71$345.0020.9%5.5%16.2%11.6%19.8%8.8%2.2%3.4M-58.6M-1.1M0.3173.8539012210,31010,338
2021-03-09$356.62$345.0020.8%5.5%16.6%11.4%19.3%8.2%1.6%6.0M-79.6M-1.1M0.4472.6848221310,40210,376
2021-03-10$358.59$345.0017.5%5.0%16.7%6.3%18.0%7.1%2.3%7.9M-92.1M-1.0M0.2772.353639710,52510,394
2021-03-11$362.04$345.0017.7%5.1%17.0%6.7%18.2%6.2%2.3%10.2M-112.0M-1.1M0.7771.9836928410,64710,391
2021-03-12$362.20$345.0017.2%4.9%17.0%5.9%18.4%6.1%2.6%10.5M-113.7M-1.0M0.3176.5245914310,77910,496
2021-03-15$363.54$345.0015.2%4.4%16.9%2.9%15.7%5.2%3.5%13.3M-125.2M-985.5K0.2577.4946411710,99810,565
2021-03-16$364.43$345.0015.4%4.4%17.0%3.1%18.7%5.5%3.4%13.4M-129.3M-1.0M0.8177.2642134011,22910,609
2021-03-17$364.74$345.0014.7%4.2%16.9%2.1%16.3%4.9%3.6%14.7M-133.7M-1.0M0.4078.4536814811,32110,670
2021-03-18$359.75$345.0017.3%5.0%17.7%6.1%17.8%5.9%1.3%9.5M-101.7M-1.0M0.3977.0575829411,38310,674
2021-03-19$360.77$345.0015.4%4.4%17.7%3.9%15.4%6.0%1.6%11.9M-104.8M-967.1K0.9377.4743740811,33310,788
2021-03-22$362.21$345.0014.9%4.3%17.5%3.1%13.9%4.9%2.0%6.1M-98.7M-949.2K0.2280.738931968,6409,171
2021-03-23$358.99$345.0015.3%4.4%17.8%4.1%15.3%5.8%1.2%6.7M-88.2M-969.9K0.5682.214662599,2639,230
2021-03-24$358.69$350.0015.2%4.4%17.6%3.8%15.5%6.2%1.0%6.6M-84.8M-972.4K0.2583.57336849,4169,423
2021-03-25$359.62$350.0014.6%4.2%15.4%2.7%15.0%6.3%1.3%7.2M-88.5M-945.8K0.2785.616131659,4829,490
2021-03-26$361.74$350.0015.0%4.3%15.5%3.4%14.3%6.1%1.4%8.5M-99.0M-980.4K0.2782.81360979,5599,602
2021-03-29$363.85$350.0015.8%4.5%14.8%5.1%14.8%6.2%2.0%10.0M-109.3M-996.0K0.5486.944342369,7479,662
2021-03-30$362.74$350.0014.0%4.0%14.7%1.5%15.7%5.6%1.3%10.5M-105.8M-987.3K0.5383.412751479,9439,720
2021-03-31$364.70$350.0013.6%3.9%14.0%0.6%13.6%5.0%1.9%11.9M-116.7M-999.9K0.4281.8740216810,0869,824