VOO Options History — May 2021

In May 2021, VOO traded between $373.74 and $388.29. ATM implied volatility averaged 15.4%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.2% (HV 20d: 13.3%). Max pain ranged from $375.00 to $385.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.75.

Notable Days

2021-05-13: Highest Volume — 9,919 contracts
2021-05-11: Largest IV spike — 29.5% change
2021-05-12: Highest IV Rank — 41.0%
2021-05-12: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$382.60	$373.74	$388.29	$384.51	$386.68
Max Pain	$380.25	$375.00	$385.00	$375.00	$385.00
ATM IV	15.4%	11.3%	21.4%	13.6%	12.2%
Expected Move	4.5%	3.5%	6.2%	3.9%	3.5%
HV 20d	13.3%	9.2%	15.5%	9.2%	15.1%
HV 60d	13.4%	12.3%	14.5%	12.3%	12.5%
IV Rank	17.7%	1.6%	41.0%	10.6%	5.2%
IV Percentile	19.4%	0.4%	65.1%	6.0%	2.4%
Term Structure	0.5%	-1.2%	1.3%	1.3%	1.0%
VWIV	16.4%	12.2%	22.4%	13.3%	12.2%
Skew 25d	7.1%	5.0%	10.3%	5.7%	5.0%
Skew 10d	13.8%	10.0%	17.2%	11.8%	10.3%
Call IV 25d	12.8%	10.2%	17.5%	11.7%	10.2%
Put IV 25d	20.0%	15.2%	27.8%	17.4%	15.2%
Bid-Ask Spread %	72.85	66.63	80.43	78.06	78.94
Gamma HHI	0.18	0.08	0.43	0.10	0.21
Net GEX	897.0K	-12.0M	28.1M	6.8M	-4.7M
Net DEX	-75.6M	-143.9M	16.1M	-116.4M	-77.8M
Net VEX	-1.4M	-1.7M	-1.2M	-1.2M	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.75	0.03	23.37	0.34	1.47
Total Volume	1,465	368	9,919	704	1,024
Total OI	24,457.1	18,186	32,280	18,186	27,470

Daily Data (20 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
2021-05-03	$384.51	$375.00	13.6%	3.9%	9.2%	10.6%	13.3%	5.7%	1.3%	6.8M	-116.4M	-1.2M	0.34	78.06	525	179	9,002	9,184
2021-05-04	$380.54	$375.00	16.1%	4.6%	10.0%	20.4%	16.2%	6.7%	0.8%	5.3M	-94.4M	-1.2M	1.11	78.96	430	477	9,258	9,276
2021-05-05	$382.45	$375.00	15.7%	4.5%	10.1%	18.8%	18.1%	6.4%	0.7%	5.7M	-102.0M	-1.2M	1.58	80.43	266	421	9,333	9,572
2021-05-06	$384.02	$385.00	13.7%	4.4%	10.1%	11.1%	16.6%	8.5%	0.7%	5.3M	-107.3M	-1.2M	0.28	69.87	489	137	9,398	9,866
2021-05-07	$388.29	$385.00	11.3%	3.9%	10.6%	1.6%	14.7%	5.8%	0.9%	9.5M	-143.9M	-1.2M	0.26	69.57	796	206	9,689	9,925
2021-05-10	$385.68	$385.00	14.4%	4.3%	11.0%	13.8%	15.6%	6.6%	0.7%	7.6M	-126.5M	-1.2M	0.68	75.38	298	203	9,855	9,968
2021-05-11	$380.44	$380.00	18.7%	5.0%	12.1%	30.2%	19.4%	7.9%	0.4%	4.9M	-96.0M	-1.2M	0.39	72.01	686	269	9,897	9,885
2021-05-12	$373.74	$380.00	21.4%	6.2%	13.6%	41.0%	22.4%	10.3%	-1.2%	1.9M	-60.4M	-1.3M	0.50	70.14	689	346	10,131	10,007
2021-05-13	$378.93	$380.00	18.0%	5.2%	13.9%	27.6%	20.9%	8.5%	0.3%	3.7M	-89.6M	-1.2M	23.37	66.63	407	9,512	10,297	10,227
2021-05-14	$383.15	$380.00	14.7%	4.2%	14.4%	14.7%	16.4%	6.9%	0.8%	-3.7M	-52.7M	-1.6M	0.40	68.37	566	228	10,471	18,615
2021-05-17	$381.96	$380.00	17.0%	4.9%	14.2%	23.8%	15.5%	7.9%	0.1%	-4.9M	-37.0M	-1.6M	0.45	69.71	418	187	10,772	18,656
2021-05-18	$380.60	$380.00	16.5%	4.7%	14.2%	21.6%	16.9%	7.8%	0.3%	-5.9M	-26.1M	-1.6M	0.44	69.95	255	113	10,956	18,735
2021-05-19	$376.19	$380.00	18.8%	5.4%	14.4%	30.7%	18.3%	8.8%	-0.1%	-12.0M	16.1M	-1.7M	0.77	68.37	414	318	11,007	18,800
2021-05-20	$382.24	$380.00	16.7%	4.8%	15.3%	22.6%	15.7%	7.7%	0.3%	-3.5M	-45.5M	-1.6M	0.03	68.00	2,867	89	11,010	18,864
2021-05-21	$381.49	$380.00	16.0%	4.6%	14.9%	19.9%	18.5%	7.6%	0.3%	28.1M	-101.9M	-1.6M	0.13	75.03	3,176	415	13,410	18,870
2021-05-24	$385.86	$380.00	14.1%	4.0%	15.5%	12.3%	14.3%	6.4%	0.9%	-7.0M	-59.0M	-1.5M	0.48	70.26	668	318	8,554	17,253
2021-05-25	$384.61	$380.00	14.0%	4.0%	15.5%	11.9%	17.6%	7.0%	1.0%	-7.0M	-49.7M	-1.5M	0.72	76.46	564	406	8,937	17,484
2021-05-26	$385.06	$380.00	13.3%	3.8%	15.5%	9.3%	12.9%	6.1%	0.8%	-6.7M	-65.4M	-1.5M	0.52	74.15	363	190	9,358	17,776
2021-05-27	$385.65	$380.00	12.5%	3.6%	15.4%	6.5%	13.6%	5.4%	0.9%	-5.5M	-75.7M	-1.5M	1.13	76.77	181	204	9,510	17,864
2021-05-28	$386.68	$385.00	12.2%	3.5%	15.1%	5.2%	12.2%	5.0%	1.0%	-4.7M	-77.8M	-1.5M	1.47	78.94	415	609	9,535	17,935