VOO Options History — June 2021

In June 2021, VOO traded between $384.24 and $394.08. ATM implied volatility averaged 11.3%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 1.1% (HV 20d: 10.2%). Max pain ranged from $360.00 to $390.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.01.

Notable Days

2021-06-29: Highest Volume — 31,555 contracts
2021-06-18: Largest IV spike — 20.6% change
2021-06-18: Highest IV Rank — 10.4%
2021-06-03: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$389.33	$384.24	$394.08	$385.87	$393.86
Max Pain	$369.32	$360.00	$390.00	$385.00	$390.00
ATM IV	11.3%	8.8%	13.5%	13.5%	9.2%
Expected Move	3.3%	2.5%	4.0%	3.9%	2.6%
HV 20d	10.2%	7.3%	15.0%	15.0%	7.5%
HV 60d	11.4%	10.9%	11.8%	11.8%	10.9%
IV Rank	3.2%	0.0%	10.4%	10.2%	1.4%
IV Percentile	2.7%	0.0%	11.9%	6.7%	1.2%
Term Structure	2.6%	0.4%	3.6%	0.4%	2.7%
VWIV	12.9%	9.9%	16.8%	14.2%	15.2%
Skew 25d	5.4%	3.5%	7.2%	5.3%	4.5%
Skew 10d	10.6%	6.6%	14.3%	10.2%	8.4%
Call IV 25d	10.1%	8.3%	11.6%	11.4%	8.3%
Put IV 25d	15.5%	12.1%	18.6%	16.7%	12.8%
Bid-Ask Spread %	77.56	72.11	82.38	79.70	79.31
Gamma HHI	0.25	0.11	0.50	0.22	0.19
Net GEX	12.7M	-35.4M	55.6M	-6.4M	-35.4M
Net DEX	-174.6M	-367.1M	-75.6M	-77.8M	-126.1M
Net VEX	-1.6M	-2.2M	-1.4M	-1.4M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.01	0.21	22.22	0.54	7.46
Total Volume	2,901.136	337	31,555	701	3,840
Total OI	32,975.545	28,037	60,960	28,037	60,960

Daily Data (22 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
2021-06-01	$385.87	$385.00	13.5%	3.9%	15.0%	10.2%	14.2%	5.3%	0.4%	-6.4M	-77.8M	-1.4M	0.54	79.70	456	245	9,849	18,188
2021-06-02	$385.98	$385.00	12.9%	3.7%	14.5%	7.9%	15.4%	5.5%	0.7%	-6.1M	-75.6M	-1.5M	0.38	82.10	771	292	10,119	18,290
2021-06-03	$385.04	$360.00	13.2%	4.0%	14.5%	8.8%	15.2%	6.6%	2.9%	-6.5M	-76.4M	-1.6M	1.01	75.52	370	372	10,681	18,773
2021-06-04	$388.57	$360.00	10.8%	3.5%	14.7%	0.0%	13.2%	6.1%	3.4%	-2.8M	-106.8M	-1.5M	0.92	76.23	364	335	10,708	18,924
2021-06-07	$387.85	$360.00	11.0%	3.5%	14.2%	0.5%	12.7%	5.5%	3.4%	-2.7M	-100.1M	-1.5M	0.28	73.31	582	161	10,934	19,016
2021-06-08	$388.46	$360.00	11.3%	3.5%	14.0%	1.7%	14.1%	5.7%	3.3%	-639.6K	-113.9M	-1.5M	0.76	73.22	712	543	11,277	19,056
2021-06-09	$387.77	$360.00	12.6%	3.6%	13.0%	6.9%	16.8%	6.2%	3.1%	-3.9M	-103.0M	-1.5M	1.76	72.11	165	290	11,815	19,528
2021-06-10	$389.14	$360.00	11.6%	3.3%	11.0%	2.9%	12.9%	5.3%	3.3%	1.7M	-129.9M	-1.5M	0.81	76.49	186	151	11,857	19,629
2021-06-11	$389.53	$360.00	11.1%	3.2%	10.1%	0.9%	13.8%	5.0%	3.6%	7.2M	-146.7M	-1.4M	0.62	74.69	536	334	12,017	19,647
2021-06-14	$389.95	$360.00	11.6%	3.3%	9.4%	3.0%	13.2%	5.4%	3.5%	7.9M	-148.6M	-1.4M	1.18	76.94	298	351	12,003	19,681
2021-06-15	$390.42	$360.00	12.0%	3.4%	9.3%	4.4%	11.9%	5.3%	3.2%	7.5M	-151.2M	-1.4M	0.77	76.61	220	170	12,098	19,899
2021-06-16	$388.60	$360.00	11.8%	3.4%	9.4%	3.8%	12.3%	6.5%	3.6%	2.2M	-136.9M	-1.4M	0.76	81.21	602	455	12,137	19,977
2021-06-17	$388.62	$365.00	11.2%	3.2%	8.1%	1.4%	11.9%	5.8%	2.1%	5.4M	-137.6M	-1.4M	0.57	77.44	744	421	12,298	20,120
2021-06-18	$384.24	$365.00	13.5%	3.9%	7.5%	10.4%	13.1%	7.2%	1.6%	-28.0M	-82.1M	-1.4M	0.26	77.86	7,586	1,949	12,505	20,153
2021-06-21	$387.79	$375.00	11.6%	3.3%	8.1%	3.0%	13.6%	6.6%	2.1%	38.9M	-229.9M	-1.7M	0.56	77.45	858	479	17,785	14,523
2021-06-22	$390.56	$375.00	11.2%	3.2%	7.4%	1.3%	11.8%	5.3%	2.1%	46.2M	-284.4M	-1.7M	0.21	79.96	716	151	18,301	14,807
2021-06-23	$390.39	$375.00	10.6%	3.0%	7.3%	0.0%	10.7%	4.9%	2.0%	49.3M	-288.5M	-1.7M	2.16	78.87	1,199	2,584	18,643	14,855
2021-06-24	$392.18	$375.00	10.7%	3.1%	7.4%	0.6%	9.9%	4.4%	1.5%	47.3M	-317.4M	-1.7M	0.28	79.36	478	134	18,703	14,962
2021-06-25	$393.37	$375.00	8.8%	2.5%	7.5%	0.0%	10.1%	3.5%	2.7%	52.9M	-347.4M	-1.6M	0.50	73.99	616	311	18,831	14,993
2021-06-28	$394.08	$375.00	9.0%	2.6%	7.5%	0.6%	9.9%	3.7%	2.5%	55.6M	-367.1M	-1.5M	0.24	81.54	999	244	18,839	15,064
2021-06-29	$393.08	$385.00	9.2%	2.6%	7.5%	1.1%	13.1%	4.7%	2.7%	49.2M	-294.8M	-1.7M	22.22	82.38	1,359	30,196	17,860	15,157
2021-06-30	$393.86	$390.00	9.2%	2.6%	7.5%	1.4%	15.2%	4.5%	2.7%	-35.4M	-126.1M	-2.2M	7.46	79.31	454	3,386	18,146	42,814