VOO Options History — July 2021

In July 2021, VOO traded between $388.73 and $405.29. ATM implied volatility averaged 12.5%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 1.5% (HV 20d: 11.0%). Max pain ranged from $385.00 to $390.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2021-07-28: Highest Volume — 8,692 contracts
  • 2021-07-08: Largest IV spike — 42.8% change
  • 2021-07-19: Highest IV Rank — 34.8%
  • 2021-07-19: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$399.81$388.73$405.29$395.46$402.80
Max Pain$385.48$385.00$390.00$390.00$385.00
ATM IV12.5%8.7%18.4%9.7%11.8%
Expected Move3.7%2.5%5.3%2.8%3.4%
HV 20d11.0%7.3%14.1%7.5%14.1%
HV 60d11.7%10.9%12.5%10.9%12.3%
IV Rank13.6%0.0%34.8%2.9%10.9%
IV Percentile14.6%0.0%61.1%1.6%9.1%
Term Structure1.9%0.5%2.8%2.6%2.1%
VWIV13.5%9.2%20.3%9.9%12.2%
Skew 25d6.6%3.3%10.0%4.3%6.6%
Skew 10d12.6%6.7%18.5%8.2%13.5%
Call IV 25d10.5%8.3%14.1%8.4%10.5%
Put IV 25d17.1%11.7%24.1%12.6%17.0%
Bid-Ask Spread %70.6261.1882.8980.1773.12
Gamma HHI0.120.080.190.180.15
Net GEX306.7K-33.8M14.0M-29.8M-2.3M
Net DEX-243.1M-411.5M-46.5M-179.9M-135.1M
Net VEX-1.8M-2.2M-1.5M-2.2M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.1217.150.180.37
Total Volume1,740.815638,692900733
Total OI51,057.1933,94565,48662,37945,313

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$395.46$390.009.7%2.8%7.5%2.9%9.9%4.3%2.6%-29.8M-179.9M-2.2M0.1880.1776413618,24244,137
2021-07-02$398.69$390.008.7%2.5%7.3%0.0%9.2%3.3%2.8%-12.8M-303.1M-1.9M0.2682.891,14229718,28744,160
2021-07-06$398.02$385.009.8%3.4%7.3%3.9%13.0%6.1%2.3%-18.5M-264.1M-2.0M0.2561.181,21430318,35144,284
2021-07-07$399.54$385.0010.3%3.6%7.4%5.7%13.9%6.1%2.4%-9.5M-321.1M-1.9M0.1767.051,80730518,83244,409
2021-07-08$395.20$385.0014.7%4.2%8.5%21.4%14.9%7.7%1.5%-33.8M-122.0M-2.2M0.1261.873,56344418,83944,625
2021-07-09$400.29$385.0010.3%3.5%9.5%5.6%12.7%6.3%2.4%-3.2M-357.0M-1.8M1.0861.951,1301,22118,90944,833
2021-07-12$401.68$385.0012.3%3.7%9.5%12.7%12.3%6.0%2.3%8.4M-411.5M-1.6M0.2564.671,03925818,75545,699
2021-07-13$400.78$385.0012.9%3.8%9.6%14.9%12.8%6.9%2.1%4.2M-387.3M-1.6M0.2765.9094025118,91445,787
2021-07-14$401.19$385.0013.0%3.7%9.6%15.4%12.8%6.7%2.4%8.4M-399.6M-1.7M0.2374.0762714719,13745,842
2021-07-15$399.38$385.0012.9%3.7%9.6%15.0%13.2%6.9%1.5%12.9M-400.3M-1.7M0.5573.6757431619,31445,872
2021-07-16$396.48$385.0014.8%4.2%10.1%21.6%14.4%7.7%1.2%7.6M-369.1M-1.7M0.3071.721,15134119,43946,047
2021-07-19$388.73$385.0018.4%5.3%11.7%34.8%20.0%10.0%0.5%-2.2M-46.5M-1.8M1.3966.399141,27111,51522,430
2021-07-20$396.97$385.0015.5%4.4%13.5%24.2%15.3%8.2%0.9%1.8M-112.0M-1.8M0.8268.5979265011,72823,375
2021-07-21$398.96$385.0013.0%3.7%13.4%15.5%14.9%7.3%1.5%6.8M-147.3M-1.7M0.9569.4648946412,01423,880
2021-07-22$400.24$385.0013.3%3.8%13.4%16.3%13.3%7.0%1.5%8.5M-162.4M-1.6M0.4071.2040216112,25323,917
2021-07-23$404.52$385.0011.8%3.4%13.8%11.2%11.6%6.0%2.0%11.4M-197.1M-1.6M0.2270.851,00221812,31923,982
2021-07-26$404.96$385.0012.5%3.6%13.7%13.5%12.7%6.1%1.8%11.6M-200.2M-1.6M0.3170.4959618612,31923,978
2021-07-27$402.73$385.0012.8%3.7%14.0%14.8%12.9%7.0%1.8%10.4M-179.5M-1.6M0.4873.5266331912,57424,058
2021-07-28$404.15$385.0012.2%3.5%13.9%12.4%20.3%6.3%1.9%12.5M-199.8M-1.5M17.1577.204798,21312,68324,100
2021-07-29$405.29$385.0012.1%3.5%13.9%12.3%11.4%5.7%1.9%14.0M-209.7M-1.5M0.2376.9584219312,88824,161
2021-07-30$402.80$385.0011.8%3.4%14.1%10.9%12.2%6.6%2.1%-2.3M-135.1M-1.8M0.3773.1253519813,04132,272